# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0002071691-25-004164
**Filing Date:** 2025-10
**Character Count:** 1773910
**Document Hash:** de01d651be8ce368a194b70b1045efd0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-004164.hdr.sgml**: 20251029

**ACCESSION NUMBER**: 0002071691-25-004164

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251029

**DATE AS OF CHANGE**: 20251029

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN TRUST II
- **CENTRAL INDEX KEY:** 0000763852

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 251429182

**BUSINESS ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 20000721

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP
- **DATE OF NAME CHANGE:** 19931105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HELMSMAN FUND
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### JPMorgan Core Bond Fund (Series ID: S000003477)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009615 | Class I      | WOBDX           |
| C000009616 | Class A      | PGBOX           |
| C000009618 | Class C      | OBOCX           |
| C000009619 | Class R6     | JCBUX           |
| C000033520 | Class R5     | JCBRX           |
| C000070638 | Class R2     | JCBZX           |
| C000173234 | Class R3     | JCBPX           |
| C000173235 | Class R4     | JCBQX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMorgan Trust II

- **b. Investment Company Act file number:** 811-04236

- **c. CIK number of Registrant:** 0000763852

- **d. LEI of Registrant:** 549300IMXLYKELY96B40

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

  - **Street Address 1:** 277 Park Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

  - **Telephone number:** 800-480-4111

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

- **a. Name of Series:** JPMorgan Core Bond Fund

- **b. EDGAR series identifier (if any):** S000003477

- **c. LEI of Series:** DQ695W4P67V7A4LC6I09

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-08-31

**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:** $51706101656.59

**Total Liabilities:** $386500311.97

**Net Assets:** $51319601344.62

**Delayed Delivery Securities:** $24974835.16

**Cash Not Reported:** $3231930.83

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 31642.06930000 | **1-Year:** 1037328.12727000 | **5-Year:** 5877072.57974000 | **10-Year:** 7514879.67684000 | **30-Year:** 2898277.59107000

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

- **3-Month:** 3280.03154000 | **1-Year:** 163227.07067000 | **5-Year:** 210159.02009000 | **10-Year:** 15329.74438000 | **30-Year:** 517.30817000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009618 | 1.52%                | -0.41%               | 1.23%                |
| Class ID C000009615 | 1.51%                | -0.25%               | 1.31%                |
| Class ID C000033520 | 1.51%                | -0.24%               | 1.32%                |
| Class ID C000173234 | 1.48%                | -0.28%               | 1.29%                |
| Class ID C000173235 | 1.50%                | -0.25%               | 1.31%                |
| Class ID C000009616 | 1.48%                | -0.27%               | 1.29%                |
| Class ID C000070638 | 1.56%                | -0.40%               | 1.26%                |
| Class ID C000009619 | 1.62%                | -0.33%               | 1.32%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3979628.74             | $539780761.48                              |
| Month 2  | $-11696565.97            | $-229568778.53                             |
| Month 3  | $3400450.72              | $405935048.83                              |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                                                  | GNMA, Series 2004-73, Class JL                                                                                           | CUSIP: 38374H2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     773138 | PA      | $70301.93      | 0.00%             | 2034-09-16      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                                       | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                                                 | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25880000 | PA      | $26596329.93   | 0.05%             | 2040-07-15      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  172625000 | PA      | $122078242.19  | 0.24%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18080505 | PA      | $19336462.35   | 0.04%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-3, Class SK                                                                                            | CUSIP: 38374KRV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     693941 | PA      | $41654.51      | 0.00%             | 2035-01-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K55J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2298573 | PA      | $2109702.93    | 0.00%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-93, Class AS                                                                                           | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     690078 | PA      | $40750.00      | 0.00%             | 2038-12-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40557465 | PA      | $33882055.18   | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622A2MQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3298536 | PA      | $3099567.38    | 0.01%             | 2044-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H02, Class HF                                                                                          | CUSIP: 38375BH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        695 | PA      | $691.39        | 0.00%             | 2062-11-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24963000 | PA      | $17951048.82   | 0.03%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-45, Class QA                                                                                           | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     548324 | PA      | $37089.50      | 0.00%             | 2037-07-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Wolf Energy Asset Issuer LLC                                          | Wolf Energy Asset Issuer LLC                                                                                             | CUSIP: 977701AE1<br>LEI: 254900JUY1UOGKD5MA90 | Long             | ABS-O            | CORP              | US        |   40430607 | PA      | $40430607.28   | 0.08%             | 2050-07-25      | Variable      | 5.70%                 | No            |                  3 | On Loan: No      |
| PPL Electric Utilities Corp.                                          | PPL Electric Utilities Corp.                                                                                             | CUSIP: 69351UAW3<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $6514756.00    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB                                                       | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26490000 | PA      | $21737500.62   | 0.04%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                                    | Regency Centers LP                                                                                                       | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    1755000 | PA      | $1751842.53    | 0.00%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LDQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6842000 | PA      | $5664552.42    | 0.01%             | 2033-09-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Potomac Electric Power Co.                                            | Potomac Electric Power Co.                                                                                               | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |    1184000 | PA      | $1320998.60    | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                    | British Airways Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7376755 | PA      | $7117604.14    | 0.01%             | 2031-09-20      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138ABXM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170667 | PA      | $172771.53     | 0.00%             | 2031-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63637 | PA      | $64647.69      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3852, Class TP                                                                                      | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1329758 | PA      | $1341513.70    | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6399000 | PA      | $6376243.68    | 0.01%             | 2029-04-23      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   12800000 | PA      | $9001955.46    | 0.02%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-22, Class SC                                                                                    | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3386 | PA      | $107.25        | 0.00%             | 2037-03-25      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H05, Class FC                                                                                          | CUSIP: 38375UUV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7982141 | PA      | $7982034.08    | 0.02%             | 2065-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HAEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3428047 | PA      | $3261651.16    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                                     | Corp. Nacional del Cobre de Chile                                                                                        | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | NUSS              | CL        |   17281000 | PA      | $18283298.00   | 0.04%             | 2036-01-26      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                                        | Enbridge, Inc.                                                                                                           | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   17080000 | PA      | $17817754.37   | 0.03%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma, Series K                                                                                 | CUSIP: 744533BP4<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   12330000 | PA      | $7662324.25    | 0.01%             | 2051-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3195, Class PD                                                                                      | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135534 | PA      | $140592.94     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3740, Class SC                                                                                      | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     765494 | PA      | $84730.94      | 0.00%             | 2040-10-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-91, Class SD                                                                                    | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36699 | PA      | $38179.43      | 0.00%             | 2033-09-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| New York Life Insurance Co.                                           | New York Life Insurance Co.                                                                                              | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    9600000 | PA      | $7032060.48    | 0.01%             | 2050-05-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124666 | PA      | $128069.29     | 0.00%             | 2036-02-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J8CB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26688724 | PA      | $25433259.07   | 0.05%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                               | KeyCorp                                                                                                                  | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   26465000 | PA      | $27072129.86   | 0.05%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   56590000 | PA      | $57953709.78   | 0.11%             | 2031-05-22      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H11, Class FD                                                                                          | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5855055 | PA      | $5898503.79    | 0.01%             | 2066-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4615000 | PA      | $4623253.47    | 0.01%             | 2033-05-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7F91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     670809 | PA      | $654846.67     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-81, Class SB                                                                                           | CUSIP: 38376F4W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1271283 | PA      | $114500.35     | 0.00%             | 2039-09-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-75, Class MN                                                                                           | CUSIP: 38376CLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2616661 | PA      | $2742815.84    | 0.01%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                         | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                                                  | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15001600 | PA      | $14216255.65   | 0.03%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| COPT Defense Properties LP                                            | COPT Defense Properties LP                                                                                               | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    3440000 | PA      | $3176526.75    | 0.01%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31416CFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67228 | PA      | $70144.26      | 0.00%             | 2037-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26564664 | PA      | $21937412.31   | 0.04%             | 2059-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Queen's Health Systems (The)                                          | Queen's Health Systems (The)                                                                                             | CUSIP: 74825QAB6<br>LEI: 5493002Y81US5EEDOV69 | Long             | DBT              | CORP              | US        |   18840000 | PA      | $16424684.68   | 0.03%             | 2052-07-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3895, Class WA                                                                                      | CUSIP: 3137ACX95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     238457 | PA      | $249233.39     | 0.00%             | 2038-10-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059FAV3<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   17495000 | PA      | $17375898.41   | 0.03%             | 2025-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-1, Class CP                                | CUSIP: 9393362Y8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21385 | PA      | $14536.12      | 0.00%             | 2035-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1                                                                | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27842 | PA      | $25610.87      | 0.00%             | 2034-06-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     312030 | PA      | $311669.34     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   10846000 | PA      | $11019903.79   | 0.02%             | 2030-09-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-17, Class C                                                                                     | CUSIP: 31359VSW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6182 | PA      | $6252.30       | 0.00%             | 2029-04-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $8711412.43    | 0.02%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FARM Mortgage Trust                                                   | FARM Mortgage Trust, Series 2023-1, Class A                                                                              | CUSIP: 30767YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24806530 | PA      | $20672099.85   | 0.04%             | 2052-01-25      | Variable      | 2.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43534172 | PA      | $36441283.49   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-54CB, Class 1A11                                                                     | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     687926 | PA      | $527528.15     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WRQD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     544934 | PA      | $510735.92     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Accenture Capital, Inc.                                               | Accenture Capital, Inc.                                                                                                  | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   14250000 | PA      | $13918095.98   | 0.03%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-50, Class PS                                                                                    | CUSIP: 31395DTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367793 | PA      | $331252.14     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates                               | WaMu Mortgage Pass-Through Certificates, Series 2003-S4, Class 2A10                                                      | CUSIP: 9292275C6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23420 | PA      | $22997.43      | 0.00%             | 2033-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    5192000 | PA      | $4000334.60    | 0.01%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1864623 | PA      | $1837165.77    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  101570000 | PA      | $90040218.48   | 0.18%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class B                                                               | CUSIP: 22537EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33379000 | PA      | $33846489.58   | 0.07%             | 2033-07-15      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCVQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36050000 | PA      | $31340616.90   | 0.06%             | 2031-07-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45987429 | PA      | $41792517.39   | 0.08%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Capital One NA                                                        | Capital One NA                                                                                                           | CUSIP: 25466AAE1<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |    8109000 | PA      | $8098308.53    | 0.02%             | 2026-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36241LXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     498721 | PA      | $527928.79     | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BTGR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4555352 | PA      | $4416727.87    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W2G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18188172 | PA      | $15302295.72   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  270000000 | PA      | $266361328.80  | 0.52%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                      | Welltower OP LLC                                                                                                         | CUSIP: 95040QAF1<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4585323.35    | 0.01%             | 2048-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                         | Entergy Corp.                                                                                                            | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    2469000 | PA      | $2434383.90    | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   25815000 | PA      | $19435574.48   | 0.04%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3999024 | PA      | $3930778.60    | 0.01%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RFT TRUST                                                             | RFT TRUST, Series 2024-2, Class A1                                                                                       | CUSIP: 76201AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  117514483 | PA      | $117391092.60  | 0.23%             | 2028-09-27      | Variable      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410B4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17378 | PA      | $17729.36      | 0.00%             | 2036-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                                            | TransCanada PipeLines Ltd.                                                                                               | CUSIP: 89352HAD1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    6345000 | PA      | $6689538.07    | 0.01%             | 2037-10-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   18445000 | PA      | $17247419.82   | 0.03%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2450, Class SW                                                                                      | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40187 | PA      | $3882.96       | 0.00%             | 2032-03-15      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                             | MFA Trust, Series 2024-RTL3, Class A1                                                                                    | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15610000 | PA      | $15729706.85   | 0.03%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                                               | MPLX LP                                                                                                                  | CUSIP: 55336VBY5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   28080000 | PA      | $27881004.90   | 0.05%             | 2035-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XVVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6972451 | PA      | $6382644.01    | 0.01%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                                         | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                                                                | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     610343 | PA      | $610065.62     | 0.00%             | 2051-02-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NEJ6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3950000 | PA      | $4065869.02    | 0.01%             | 2034-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNRS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $22972207.44   | 0.04%             | 2033-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Nationwide Children's Hospital, Inc.                                  | Nationwide Children's Hospital, Inc.                                                                                     | CUSIP: 63861UAA7<br>LEI: 549300P18KU1WR8JWZ05 | Long             | DBT              | CORP              | US        |    4136000 | PA      | $3509491.87    | 0.01%             | 2052-11-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   13120000 | PA      | $10335788.40   | 0.02%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                             | CGI, Inc.                                                                                                                | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   10000000 | PA      | $8792791.80    | 0.02%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3840000 | PA      | $2432559.32    | 0.00%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3546, Class A                                                                                       | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180910 | PA      | $184008.54     | 0.00%             | 2039-02-15      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1XL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11691636 | PA      | $11814474.46   | 0.02%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                      | JPMorgan Prime Money Market Fund, Class Institutional                                                                    | CUSIP: 4812A2603<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        | 1941736021 | NS      | $1942512715.63 | 3.79%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2642, Class SL                                                                                      | CUSIP: 31393VYC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4017 | PA      | $3519.65       | 0.00%             | 2033-07-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class A5                                           | CUSIP: 31393RGG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2775786 | PA      | $2637544.03    | 0.01%             | 2043-05-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-12, Class A3                                                                         | CUSIP: 81744FGA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177895 | PA      | $174946.10     | 0.00%             | 2035-01-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-10, Class SA                                                                                           | CUSIP: 38374TAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     478979 | PA      | $33261.38      | 0.00%             | 2039-02-20      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| Conagra Brands, Inc.                                                  | Conagra Brands, Inc.                                                                                                     | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    3420000 | PA      | $3228008.83    | 0.01%             | 2038-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    9140000 | PA      | $9109678.05    | 0.02%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   11867000 | PA      | $11898763.33   | 0.02%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJQX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8177000 | PA      | $8377981.99    | 0.02%             | 2030-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1794000 | PA      | $1857614.67    | 0.00%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2013                                                                                      | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7128393 | PA      | $6857424.41    | 0.01%             | 2036-01-10      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H08, Class FC                                                                                          | CUSIP: 38375BM82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     523429 | PA      | $523037.91     | 0.00%             | 2063-02-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                                          | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   86250000 | PA      | $86980054.50   | 0.17%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3618BHKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9863484 | PA      | $10166210.63   | 0.02%             | 2053-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   27825000 | PA      | $22096641.37   | 0.04%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-111, Class EO                                                                                   | CUSIP: 31396LSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87309 | PA      | $70772.60      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 406                                                                                                | CUSIP: 3133Q3G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47431885 | PA      | $39432940.01   | 0.08%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   15800000 | PA      | $14911460.46   | 0.03%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   27316000 | PA      | $19362694.75   | 0.04%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                 | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    9430000 | PA      | $7027006.47    | 0.01%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-2                                                                                     | CUSIP: 78433LAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6495000 | PA      | $6116446.52    | 0.01%             | 2047-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M10, Class A2                                                                                     | CUSIP: 3136BMXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5800000 | PA      | $5061241.24    | 0.01%             | 2032-01-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4046117.54    | 0.01%             | 2038-10-31      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6000255 | PA      | $5046329.75    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class AP                                                                                    | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30278 | PA      | $24690.55      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-61, Class SK                                                                                    | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38507 | PA      | $40078.68      | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-4, Class C                                                           | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15300000 | PA      | $15380554.50   | 0.03%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31418MFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290762 | PA      | $300921.11     | 0.00%             | 2037-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   12240000 | PA      | $12165978.36   | 0.02%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-42, Class B                                                                                     | CUSIP: 3136B2AQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29330854 | PA      | $26186357.38   | 0.05%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                      | MRFC Mortgage Pass-Through Trust, Series 2000-TBC3, Class A1                                                             | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60445 | PA      | $58787.71      | 0.00%             | 2030-12-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BTGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3114561 | PA      | $3017362.11    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2373307.16    | 0.00%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10250000 | PA      | $9154022.03    | 0.02%             | 2035-12-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2445 | PA      | $2491.06       | 0.00%             | 2034-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class IG                                                                                    | CUSIP: 31395NE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94986 | PA      | $7998.30       | 0.00%             | 2036-07-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    4955000 | PA      | $4833319.12    | 0.01%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-33, Class Z                                                                                            | CUSIP: 38374DEC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     819827 | PA      | $842108.63     | 0.00%             | 2036-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class A                                                                          | CUSIP: 05493VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   43443000 | PA      | $42817638.02   | 0.08%             | 2048-11-27      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3064, Class SG                                                                                      | CUSIP: 31396ERQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93631 | PA      | $101231.03     | 0.00%             | 2035-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Union Carbide Corp.                                                   | Union Carbide Corp.                                                                                                      | CUSIP: 905581AS3<br>LEI: QE84C8O80MNLK8IFRL44 | Long             | DBT              | CORP              | US        |    2719000 | PA      | $3087069.24    | 0.01%             | 2096-10-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12575272 | PA      | $11793787.59   | 0.02%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT                                                       | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12878614 | PA      | $11677642.87   | 0.02%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3611                                                                                                | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293340 | PA      | $260720.38     | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-46, Class SK                                                                                    | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17621 | PA      | $18728.21      | 0.00%             | 2034-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34350000 | PA      | $34215785.96   | 0.07%             | 2030-07-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 329, Class 1                                                                                        | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19750 | PA      | $17705.23      | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-53, Class ES                                                                                           | CUSIP: 38375LFW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     433992 | PA      | $17743.01      | 0.00%             | 2037-09-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                            | RALI Trust, Series 2007-QS1, Class 1A1                                                                                   | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60000 | PA      | $47992.56      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2653, Class PZ                                                                                      | CUSIP: 31393WQ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     703258 | PA      | $716628.78     | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Grene Energy                                                          | Grene Energy                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | DK        |    4696957 | PA      | $4378503.16    | 0.01%             | 2027-04-22      | Fixed         | 12.50%                | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-55, Class SA                                                                                           | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146388 | PA      | $2039.56       | 0.00%             | 2038-06-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2434, Class TC                                                                                      | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125683 | PA      | $131737.33     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-4, Class BD                                                                                     | CUSIP: 31397MW94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4708 | PA      | $4353.91       | 0.00%             | 2039-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   20674000 | PA      | $18213794.00   | 0.04%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4A23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35240 | PA      | $36403.07      | 0.00%             | 2036-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2024-SFR2, Class B                                                                    | CUSIP: 74290XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14285000 | PA      | $13671982.08   | 0.03%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Vodafone Group plc                                                    | Vodafone Group plc                                                                                                       | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    3745000 | PA      | $3537139.88    | 0.01%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LK6E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15496000 | PA      | $15747438.72   | 0.03%             | 2032-10-01      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407DT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30272 | PA      | $30664.44      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   15412000 | PA      | $15977618.40   | 0.03%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H06, Class FA                                                                                          | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     338294 | PA      | $338175.64     | 0.00%             | 2061-02-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H26, Class FG                                                                                          | CUSIP: 38376RKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1297827 | PA      | $1298400.37    | 0.00%             | 2065-10-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HXVP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1453469 | PA      | $1455551.78    | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-94, Class DZ                                                                                    | CUSIP: 3136B3WZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9309198 | PA      | $8820805.03    | 0.02%             | 2049-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H10, Class TA                                                                                          | CUSIP: 38375UFT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6014956 | PA      | $6024176.68    | 0.01%             | 2064-04-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J8AJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3309964 | PA      | $3341680.49    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-63, Class P                                                                                     | CUSIP: 31396QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9817 | PA      | $9660.64       | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412BPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26514 | PA      | $26730.83      | 0.00%             | 2036-02-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                             | Florida Power & Light Co.                                                                                                | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    9410000 | PA      | $8969496.45    | 0.02%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                        | Diversified ABS Phase LLC, Series 2024-1A, Class A2                                                                      | CUSIP: 255123AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18367417 | PA      | $18548152.05   | 0.04%             | 2044-05-30      | Fixed         | 7.67%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-67                                                                                              | CUSIP: 31396WQF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173564 | PA      | $153991.01     | 0.00%             | 2037-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust II                                            | Alexander Funding Trust II                                                                                               | CUSIP: 014916AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25600000 | PA      | $27412678.40   | 0.05%             | 2028-07-31      | Fixed         | 7.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNXZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32550000 | PA      | $30844002.75   | 0.06%             | 2033-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-42, Class B                                                                                     | CUSIP: 31396VR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381220 | PA      | $397401.61     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAK5<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    3615000 | PA      | $2684567.00    | 0.01%             | 2049-06-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   17300000 | PA      | $14686691.76   | 0.03%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  175000000 | PA      | $176551758.25  | 0.34%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97972 | PA      | $101615.17     | 0.00%             | 2035-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| New England Power Co.                                                 | New England Power Co.                                                                                                    | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |    3024000 | PA      | $2309582.39    | 0.00%             | 2047-12-05      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-92, Class YA                                                                                    | CUSIP: 31396XNU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69438 | PA      | $73250.76      | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833DG2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1261249.58    | 0.00%             | 2047-11-13      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HM2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3032119 | PA      | $3081909.71    | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2876360 | PA      | $2932992.03    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                            | ROCK Trust, Series 2024-CNTR, Class B                                                                                    | CUSIP: 74970WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   45950000 | PA      | $47522592.80   | 0.09%             | 2041-11-13      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                    | Canadian Imperial Bank of Commerce                                                                                       | CUSIP: 13607HR53<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    8000000 | PA      | $7533824.08    | 0.01%             | 2032-04-07      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H05                                                                                                    | CUSIP: 38380L5P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34602914 | PA      | $2016543.64    | 0.00%             | 2070-03-20      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-66, Class SG                                                                                    | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86810 | PA      | $94517.20      | 0.00%             | 2035-07-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-19, Class ZY                                                                                    | CUSIP: 31397QP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     702663 | PA      | $753786.05     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Terra ABS I LLC                                                       | Terra ABS LLC, Series 2022-1A, Class A1                                                                                  | CUSIP: 88089JAA5<br>LEI: 549300TL5VN5A8NJIT07 | Long             | ABS-O            | CORP              | US        |   11892250 | PA      | $12183609.65   | 0.02%             | 2042-12-22      | Fixed         | 8.15%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3622ABZP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39757292 | PA      | $41953882.32   | 0.08%             | 2072-06-20      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33046871 | PA      | $34586706.86   | 0.07%             | 2071-09-20      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-163, Class WA                                                                                          | CUSIP: 38378AS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1500233 | PA      | $1555726.79    | 0.00%             | 2038-12-20      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   15614000 | PA      | $15130001.60   | 0.03%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H26, Class FC                                                                                          | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4084052 | PA      | $4106151.75    | 0.01%             | 2066-12-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HBG9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   17400000 | PA      | $18209970.70   | 0.04%             | 2031-07-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                  | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   36855000 | PA      | $37026226.12   | 0.07%             | 2035-02-15      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| CF Industries, Inc.                                                   | CF Industries, Inc.                                                                                                      | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |   16825000 | PA      | $15042940.08   | 0.03%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-81, Class S                                                                                            | CUSIP: 38373M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1288168 | PA      | $5763.26       | 0.00%             | 2038-09-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates           | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A3                                   | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     104366 | PA      | $21867.33      | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   25946000 | PA      | $26030808.39   | 0.05%             | 2030-05-08      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2017-1A, Class A                                                                                 | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1988681 | PA      | $1833999.18    | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  3 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   33829000 | PA      | $35933402.29   | 0.07%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8456115 | PA      | $8032392.66    | 0.02%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                                              | Resolution Funding Corp. STRIPS                                                                                          | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   26456000 | PA      | $22085965.38   | 0.04%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8159687 | PA      | $8044423.86    | 0.02%             | 2026-05-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-23, Class KO                                                                                    | CUSIP: 31395B4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36321 | PA      | $33006.47      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-17, Class JI                                                                                           | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     643133 | PA      | $52248.13      | 0.00%             | 2037-04-16      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    4020000 | PA      | $3339696.24    | 0.01%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-56, Class S                                                                                     | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179504 | PA      | $15265.29      | 0.00%             | 2035-07-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2006-1, Class A1                                                                          | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     377702 | PA      | $360323.73     | 0.00%             | 2036-02-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                          | Leidos, Inc.                                                                                                             | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    8020000 | PA      | $7130357.44    | 0.01%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2024-4, Class D                                                           | CUSIP: 802919AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24035000 | PA      | $24427450.69   | 0.05%             | 2031-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23981998 | PA      | $22831248.73   | 0.04%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                                              | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41695 | PA      | $39838.32      | 0.00%             | 2034-05-20      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  265210000 | PA      | $267297645.60  | 0.52%             | 2026-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                | Oklahoma Development Finance Authority, Natural Gas Co., Series 2022                                                     | CUSIP: 6789084E1<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |   11680000 | PA      | $10790445.36   | 0.02%             | 2052-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23                                                               | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39239 | PA      | $23675.03      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Starwoood Anoo                                                        | Starwoood Anoo                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   18619077 | PA      | $18549255.15   | 0.04%             | 2026-01-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2023-1, Class MT                                                       | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   53707378 | PA      | $45104396.27   | 0.09%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3164, Class MG                                                                                      | CUSIP: 31396TDX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44905 | PA      | $47804.42      | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FARM Mortgage Trust                                                   | FARM Mortgage Trust, Series 2024-2, Class A                                                                              | CUSIP: 307910AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   50979299 | PA      | $50204362.25   | 0.10%             | 2054-08-01      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                    | HERO Funding Trust, Series 2016-3A, Class A1                                                                             | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2228173 | PA      | $2109933.02    | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3387, Class SA                                                                                      | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     876686 | PA      | $71771.05      | 0.00%             | 2037-11-15      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-26, Class SC                                                                                           | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     440576 | PA      | $12134.26      | 0.00%             | 2037-05-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                        | Piedmont Natural Gas Co., Inc.                                                                                           | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1657037.45    | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                            | ROCK Trust, Series 2024-CNTR, Class A                                                                                    | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33500000 | PA      | $34483472.90   | 0.07%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622A3DB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9199097 | PA      | $9337631.31    | 0.02%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                    | Southern Co. (The)                                                                                                       | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   28704000 | PA      | $30057965.10   | 0.06%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Dow Chemical Co. (The)                                                | Dow Chemical Co. (The)                                                                                                   | CUSIP: 260543CN1<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |     249000 | PA      | $248768.22     | 0.00%             | 2025-11-30      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Mitsubishi HC Finance America LLC                                     | Mitsubishi HC Finance America LLC                                                                                        | CUSIP: 606790AB9<br>LEI: 3538008O2MCHLB9FAL82 | Long             | DBT              | CORP              | US        |   13025000 | PA      | $13545104.01   | 0.03%             | 2028-09-12      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3274, Class B                                                                                       | CUSIP: 31397F5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170222 | PA      | $177921.88     | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-57, Class 1AP                                          | CUSIP: 31394JDD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87570 | PA      | $70287.01      | 0.00%             | 2043-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  198360000 | PA      | $168249570.88  | 0.33%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410EFM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141024 | PA      | $144382.23     | 0.00%             | 2036-09-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-3, Class A4                                                                 | CUSIP: 12669FPC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59245 | PA      | $59170.47      | 0.00%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   12855000 | PA      | $11386908.22   | 0.02%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NP4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9419769 | PA      | $9695392.72    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-53, Class US                                                                                    | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358435 | PA      | $29096.54      | 0.00%             | 2036-06-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-1                                                                                     | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16298354 | PA      | $16005752.37   | 0.03%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2466, Class DH                                                                                      | CUSIP: 31392MM82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26941 | PA      | $28264.65      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                              | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    3046000 | PA      | $3011795.64    | 0.01%             | 2026-09-15      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-61, Class Z                                                                                     | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130052 | PA      | $135159.16     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-60, Class AK                                                                                    | CUSIP: 31395NUZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54751 | PA      | $62140.05      | 0.00%             | 2036-07-25      | Floating      | 10.95%                | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                                  | Consumers Energy Co.                                                                                                     | CUSIP: 210518CZ7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $1544945.69    | 0.00%             | 2046-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                                                         | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   41700000 | PA      | $41771832.42   | 0.08%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Union Pacific Corp.                                                   | Union Pacific Corp.                                                                                                      | CUSIP: 907818FE3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $4378649.40    | 0.01%             | 2059-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 292480AJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $7428262.81    | 0.01%             | 2044-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2544, Class HC                                                                                      | CUSIP: 31393FQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85819 | PA      | $89471.60      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HABH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     597140 | PA      | $581184.46     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                       | Eli Lilly & Co.                                                                                                          | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   17320000 | PA      | $15874601.14   | 0.03%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                       | Oncor Electric Delivery Co. LLC                                                                                          | CUSIP: 68233JCM4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   19830000 | PA      | $17618985.74   | 0.03%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                            | BAMLL Commercial Mortgage Securities Trust, Series 2014-520M, Class C                                                    | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7700000 | PA      | $5272108.38    | 0.01%             | 2046-08-15      | Variable      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   20755000 | PA      | $21023547.91   | 0.04%             | 2030-09-11      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617GJCQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     796297 | PA      | $814247.94     | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406HTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51665 | PA      | $52710.84      | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                           | Aetna, Inc.                                                                                                              | CUSIP: 00817YAG3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    2959000 | PA      | $3222041.28    | 0.01%             | 2037-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833CD0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    3512000 | PA      | $2838726.84    | 0.01%             | 2046-08-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3331                                                                                                | CUSIP: 31397J5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67572 | PA      | $58418.71      | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3802, Class LS                                                                                      | CUSIP: 3137A6CE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1365265 | PA      | $121079.06     | 0.00%             | 2040-01-15      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   10428000 | PA      | $9341603.87    | 0.02%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| University of Southern California                                     | University of Southern California, Series A                                                                              | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    9370000 | PA      | $5291895.27    | 0.01%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 312941XL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     787023 | PA      | $802518.95     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2024-FRR2, Class B                                                                          | CUSIP: 05493UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17745000 | PA      | $16398097.72   | 0.03%             | 2050-07-27      | Variable      | 2.49%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class APT2                                        | CUSIP: 3137FWGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13836659 | PA      | $13231237.44   | 0.03%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     603380 | PA      | $584062.56     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     419876 | PA      | $413056.15     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SARL                                                      | JBS USA LUX Sarl                                                                                                         | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8980000 | PA      | $9335787.60    | 0.02%             | 2035-04-20      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Toledo Edison Co. (The)                                               | Toledo Edison Co. (The)                                                                                                  | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5800000 | PA      | $6276904.42    | 0.01%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                             | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF                                                                    | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2916491 | PA      | $2501296.06    | 0.00%             | 2035-09-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400FL2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2197000 | PA      | $2255205.30    | 0.00%             | 2039-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 2010-1, Class DZ                                                                           | CUSIP: 92261XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3287491 | PA      | $3206966.25    | 0.01%             | 2040-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXLX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14980927 | PA      | $15278826.77   | 0.03%             | 2059-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31409EL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9117 | PA      | $9325.80       | 0.00%             | 2036-05-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5140932 | PA      | $5175940.52    | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6201060.82    | 0.01%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     455000 | PA      | $538952.94     | 0.00%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| The Campbell's Co.                                                    | The Campbell's Co.                                                                                                       | CUSIP: 134429BK4<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    4828000 | PA      | $3083725.10    | 0.01%             | 2050-04-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-2                                                                           | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10550000 | PA      | $10066266.04   | 0.02%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60502159 | PA      | $52128666.01   | 0.10%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40665589 | PA      | $35243954.91   | 0.07%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JY3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3773661 | PA      | $3458428.74    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Presidio Finance LLC                                                  | Presidio Finance LLC, Series 2023-1, Class A1                                                                            | CUSIP: 741011AA8<br>LEI: 549300SWS6E75B2IYH47 | Long             | ABS-O            | CORP              | US        |   14358158 | PA      | $14642449.62   | 0.03%             | 2038-12-25      | Fixed         | 7.81%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3344, Class SL                                                                                      | CUSIP: 31397JYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130520 | PA      | $11667.66      | 0.00%             | 2037-07-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Fells Point Funding Trust                                             | Fells Point Funding Trust                                                                                                | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   51620000 | PA      | $50732743.57   | 0.10%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding II                                                       | HERO Funding II                                                                                                          | CUSIP: 42772HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2841456 | PA      | $2469035.15    | 0.00%             | 2044-09-21      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| Aqua Finance Trust                                                    | Aqua Finance Trust, Series 2020-AA, Class B                                                                              | CUSIP: 038413AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2081804 | PA      | $1996455.43    | 0.00%             | 2046-07-17      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     397934 | PA      | $410567.80     | 0.00%             | 2036-06-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-116, Class HI                                                                                   | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     943377 | PA      | $56136.41      | 0.00%             | 2038-01-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                          | Hilton Grand Vacations Trust, Series 2020-AA, Class A                                                                    | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2977491 | PA      | $2920949.82    | 0.01%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ACE55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39451448 | PA      | $38815068.58   | 0.08%             | 2073-01-20      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-101, Class DO                                                                                   | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2879194 | PA      | $2102292.56    | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $9789453.10    | 0.02%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                                | MidAmerican Energy Co.                                                                                                   | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |   10500000 | PA      | $10781493.77   | 0.02%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LTUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     622442 | PA      | $613275.90     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-22, Class AO                                                                                    | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146191 | PA      | $130243.66     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417KPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33890 | PA      | $33578.66      | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    9640000 | PA      | $9643797.68    | 0.02%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10434000 | PA      | $8270957.41    | 0.02%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Jonah                                                                 | Jonah                                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   32106598 | PA      | $32479034.81   | 0.06%             | 2037-11-10      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-54CB, Class 1A7                                                                      | CUSIP: 12668ANZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10187 | PA      | $7897.59       | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XCF5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   17280000 | PA      | $18359273.55   | 0.04%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   77814451 | PA      | $65313587.36   | 0.13%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                       | AstraZeneca plc                                                                                                          | CUSIP: 046353AG3<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    4270000 | PA      | $3628102.73    | 0.01%             | 2042-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   19265000 | PA      | $15171805.71   | 0.03%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133ALJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14654055 | PA      | $11777584.75   | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10674776 | PA      | $10324703.95   | 0.02%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KC3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4615575 | PA      | $4375527.36    | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   19325000 | PA      | $19737464.49   | 0.04%             | 2029-02-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2838893 | PA      | $2777901.78    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series F                                                                                          | CUSIP: 257469AJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    5067000 | PA      | $5131079.97    | 0.01%             | 2033-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19348 | PA      | $19643.33      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  256218000 | PA      | $221838748.19  | 0.43%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XH5F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16556364 | PA      | $14495395.67   | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   12355000 | PA      | $12835996.46   | 0.03%             | 2029-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M52J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172461 | PA      | $183115.92     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21000000 | PA      | $20613941.46   | 0.04%             | 2034-01-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H09, Class TA                                                                                          | CUSIP: 38375UFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     607448 | PA      | $608681.73     | 0.00%             | 2064-04-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                     | Republic of Chile                                                                                                        | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    9568000 | PA      | $8462896.00    | 0.02%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HEHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3649316 | PA      | $3473151.93    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bastion Funding I LLC                                                 | Bastion Funding I LLC, Series 2023-1A, Class A2                                                                          | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   52846395 | PA      | $53194969.48   | 0.10%             | 2038-04-25      | Fixed         | 7.12%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36210ASU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1214 | PA      | $1248.55       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2444, Class ES                                                                                      | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61610 | PA      | $5568.10       | 0.00%             | 2032-03-15      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  129787280 | PA      | $128032384.48  | 0.25%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                                             | DH Europe Finance II SARL                                                                                                | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    7065000 | PA      | $5708351.01    | 0.01%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class AO                                                                                      | CUSIP: 31398LQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186005 | PA      | $159754.62     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR11, Class E1                                                                  | CUSIP: 74333XAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23735000 | PA      | $22400694.25   | 0.04%             | 2039-01-17      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1274811 | PA      | $1256043.82    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ADG7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    9450000 | PA      | $8824164.49    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140J2RQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $8711720.60    | 0.02%             | 2030-12-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XD6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9409024 | PA      | $7876891.20    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    4606000 | PA      | $4308404.45    | 0.01%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2201, Class C                                                                                       | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11302 | PA      | $11568.23      | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   66889658 | PA      | $55577106.75   | 0.11%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7030000 | PA      | $6900658.97    | 0.01%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                                        | Aircastle Ltd.                                                                                                           | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     150000 | PA      | $153061.28     | 0.00%             | 2030-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-201, Class Z                                                                                           | CUSIP: 38383CZ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18005460 | PA      | $12564400.94   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-54, Class WI                                                                                    | CUSIP: 31396WFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127292 | PA      | $11572.81      | 0.00%             | 2037-06-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    8661000 | PA      | $9112745.29    | 0.02%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-H20, Class ID                                                                                          | CUSIP: 38380LR21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17062178 | PA      | $996147.94     | 0.00%             | 2069-12-20      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4                               | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128544 | PA      | $114239.39     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G                                                     | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28633981 | PA      | $25821221.87   | 0.05%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3225, Class EO                                                                                      | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123085 | PA      | $100360.84     | 0.00%             | 2036-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-99, Class SC                                                                                    | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183093 | PA      | $14196.40      | 0.00%             | 2039-12-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    9020000 | PA      | $8656946.80    | 0.02%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A2, Class 1A1                                                                  | CUSIP: 16163LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26927 | PA      | $27188.90      | 0.00%             | 2035-06-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2003-12, Class 30                                                               | CUSIP: 55265K4C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1809 | PA      | $405.46        | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    8553000 | PA      | $8758083.92    | 0.02%             | 2030-02-21      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HAFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2473303 | PA      | $2353378.91    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                    | New Century Home Equity Loan Trust, Series 2003-5, Class AI6                                                             | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     592351 | PA      | $586650.93     | 0.00%             | 2033-11-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3364568 | PA      | $3155477.56    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617HGTZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1858398 | PA      | $1876271.05    | 0.00%             | 2049-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31334WEW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3018755 | PA      | $2881343.07    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86424 | PA      | $88828.10      | 0.00%             | 2038-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16827788 | PA      | $17045789.38   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2022-2A, Class E                                                                             | CUSIP: 23345AAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5955000 | PA      | $5994180.92    | 0.01%             | 2029-05-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2063, Class PG                                                                                      | CUSIP: 3133TEB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14301 | PA      | $14502.75      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W3, Class 1A3                                                                 | CUSIP: 31396VQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95140 | PA      | $96592.73      | 0.00%             | 2037-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-11, Class NB                                                                                    | CUSIP: 31397NLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1513 | PA      | $1508.09       | 0.00%             | 2029-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                   | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                                                          | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20049597 | PA      | $19456730.31   | 0.04%             | 2061-09-25      | Variable      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   25708000 | PA      | $25963695.62   | 0.05%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAB6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4228000 | PA      | $3107580.00    | 0.01%             | 2047-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-39                                                                                              | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22476 | PA      | $3287.34       | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAC2<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    2274000 | PA      | $1850954.02    | 0.00%             | 2047-05-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-130, Class GI                                                                                   | CUSIP: 31396PAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129982 | PA      | $8120.56       | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   25788000 | PA      | $27302568.44   | 0.05%             | 2028-12-04      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                           | Penske Truck Leasing Co. LP                                                                                              | CUSIP: 709599CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2576001.70    | 0.01%             | 2029-07-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4AG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29620 | PA      | $29824.55      | 0.00%             | 2035-12-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13597095 | PA      | $13085700.70   | 0.03%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Credit One Ltd.                                                       | Credit One Ltd.                                                                                                          | CUSIP: N/A<br>LEI: 984500DAE0FFZ45C8093       | Long             | ABS-MBS          | CORP              | NG        |   71500000 | PA      | $72572500.00   | 0.14%             | 2029-02-25      | Fixed         | 6.47%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JHN90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1409138 | PA      | $1375715.94    | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     862397 | PA      | $911443.68     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-62, Class PB                                                                                    | CUSIP: 31359XEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6729 | PA      | $6821.57       | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                               | Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class XC                                                       | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158759 | PA      | $1.59          | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31419ABT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38456 | PA      | $39294.26      | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   11863000 | PA      | $12252562.18   | 0.02%             | 2033-07-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     672928 | PA      | $657818.68     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23335454 | PA      | $20794993.86   | 0.04%             | 2063-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404XJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9398 | PA      | $9581.08       | 0.00%             | 2034-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $1873490.75    | 0.00%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     962000 | PA      | $535066.11     | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCG4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1005798.13    | 0.00%             | 2052-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   33708000 | PA      | $29660911.68   | 0.06%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Arizona Public Service Co.                                            | Arizona Public Service Co.                                                                                               | CUSIP: 040555CM4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    3036000 | PA      | $2808423.05    | 0.01%             | 2041-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                          | Leidos, Inc.                                                                                                             | CUSIP: 52532XAJ4<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $9015408.98    | 0.02%             | 2033-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-130, Class SX                                                                                   | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2938 | PA      | $3036.79       | 0.00%             | 2034-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ACP38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   82156200 | PA      | $75749455.33   | 0.15%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                       | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                                                                | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2175732.00    | 0.00%             | 2045-03-15      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5162442 | PA      | $5302248.10    | 0.01%             | 2031-08-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-16, Class HZ                                                                                    | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133604 | PA      | $139841.51     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class OH                                                                                      | CUSIP: 31396JLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65727 | PA      | $57347.48      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A2                                                         | CUSIP: 59020ULR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     144086 | PA      | $136466.89     | 0.00%             | 2034-08-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-36, Class DE                                                                                    | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75839 | PA      | $78859.47      | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7800023.03    | 0.02%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19361613.40   | 0.04%             | 2032-09-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    8870000 | PA      | $8837095.94    | 0.02%             | 2025-10-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  102804149 | PA      | $88949174.11   | 0.17%             | 2032-03-01      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 LP                                                           | CARS-DB4 LP, Series 2020-1A, Class A5                                                                                    | CUSIP: 12510HAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5629010 | PA      | $5470993.79    | 0.01%             | 2050-02-15      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HE2W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11352717 | PA      | $11519242.46   | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17760204 | PA      | $17150786.77   | 0.03%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4                                                                 | CUSIP: 31396WVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53916 | PA      | $72523.02      | 0.00%             | 2037-07-25      | Floating      | 12.40%                | No            |                  2 | On Loan: No      |
| National Grid plc                                                     | National Grid plc                                                                                                        | CUSIP: 636274AF9<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |   21700000 | PA      | $22330992.60   | 0.04%             | 2034-01-11      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J92K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2057142 | PA      | $1973238.71    | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                                  | Steel Dynamics, Inc.                                                                                                     | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    5270000 | PA      | $4991470.86    | 0.01%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-44                                                                                              | CUSIP: 31397LMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7798 | PA      | $6918.49       | 0.00%             | 2038-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4300000 | PA      | $4491711.72    | 0.01%             | 2032-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     649511 | PA      | $625985.59     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                                          | DNB Bank ASA                                                                                                             | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   22075000 | PA      | $21194778.36   | 0.04%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class DF                                                                                    | CUSIP: 31396KYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293028 | PA      | $291212.91     | 0.00%             | 2036-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-2, Class WA                                                                                     | CUSIP: 31397QHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223053 | PA      | $232184.71     | 0.00%             | 2051-02-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1928000 | PA      | $1451784.00    | 0.00%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                            | RALI Trust, Series 2005-QA6, Class A32                                                                                   | CUSIP: 76110H6F1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600514 | PA      | $314763.01     | 0.00%             | 2035-05-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A7W88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10123228 | PA      | $8423947.51    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MMP Capital LLC                                                       | MMP Capital LLC, Series 2025-A, Class A                                                                                  | CUSIP: 55317QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10524829 | PA      | $10589351.90   | 0.02%             | 2031-12-15      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| American Municipal Power, Inc.                                        | American Municipal Power, Inc., Meldahl Hydroelectric Project, Series 2010B                                              | CUSIP: 02765UDV3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   11370000 | PA      | $13094534.52   | 0.03%             | 2050-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1856 | PA      | $1838.78       | 0.00%             | 2029-03-01      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202DCS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130522 | PA      | $134329.65     | 0.00%             | 2029-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                             | South Bow USA Infrastructure Holdings LLC                                                                                | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    8260000 | PA      | $8363131.55    | 0.02%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-55, Class S                                                                                     | CUSIP: 31397L4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183298 | PA      | $5730.00       | 0.00%             | 2028-07-25      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                                                 | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230324 | PA      | $216260.66     | 0.00%             | 2034-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Molson Coors Beverage Co.                                             | Molson Coors Beverage Co.                                                                                                | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   20196000 | PA      | $15987675.46   | 0.03%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-90, Class AO                                                                                    | CUSIP: 31396KU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53418 | PA      | $48033.09      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-5A, Class D                                                             | CUSIP: 30167FAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12600000 | PA      | $12825974.70   | 0.02%             | 2029-02-15      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M12, Class A2                                                                                     | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25972368 | PA      | $25509026.54   | 0.05%             | 2027-06-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H12, Class IJ                                                                                          | CUSIP: 38380QEW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32821951 | PA      | $1813619.59    | 0.00%             | 2070-07-20      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2015-2, Class A                                                             | CUSIP: 02377BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15235855 | PA      | $14839625.22   | 0.03%             | 2027-09-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   22000000 | PA      | $22254541.32   | 0.04%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    2798000 | PA      | $2718590.30    | 0.01%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class OG                                                                                      | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33969 | PA      | $30099.03      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                   | Chase Funding Trust, Series 2003-4, Class 1A5                                                                            | CUSIP: 161546FV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     416404 | PA      | $409872.96     | 0.00%             | 2033-05-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                          | Exelon Corp.                                                                                                             | CUSIP: 30161NAU5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    1177000 | PA      | $1170036.07    | 0.00%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   56405000 | PA      | $56152305.60   | 0.11%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| CNO Global Funding                                                    | CNO Global Funding                                                                                                       | CUSIP: 18977W2A7<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   11240000 | PA      | $10922400.65   | 0.02%             | 2026-10-07      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-72, Class SM                                                                                           | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     669758 | PA      | $53497.62      | 0.00%             | 2039-08-16      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    6210000 | PA      | $6193056.57    | 0.01%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2122000 | PA      | $2120995.42    | 0.00%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   17265000 | PA      | $17350606.60   | 0.03%             | 2027-01-18      | Variable      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2005-5F, Class 8A3                                                                       | CUSIP: 36242D7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61712 | PA      | $59644.92      | 0.00%             | 2035-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| LSEGA Financing plc                                                   | LSEGA Financing plc                                                                                                      | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |   30170000 | PA      | $28586389.97   | 0.06%             | 2028-04-06      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412LUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84335 | PA      | $89647.87      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 1P                                           | CUSIP: 22541QXK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177775 | PA      | $131471.83     | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3905000 | PA      | $3469806.06    | 0.01%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5CE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218035 | PA      | $226117.18     | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1580743 | PA      | $1482534.16    | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Utah Acquisition Sub, Inc.                                            | Utah Acquisition Sub, Inc.                                                                                               | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    2504000 | PA      | $2489411.55    | 0.00%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                             | KLA Corp.                                                                                                                | CUSIP: 482480AM2<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6352055.71    | 0.01%             | 2052-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165ES5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   17320000 | PA      | $17178769.95   | 0.03%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XQZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18673819 | PA      | $16349290.18   | 0.03%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRAN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6325804 | PA      | $5910874.44    | 0.01%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KJBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     781455 | PA      | $650267.67     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1454154.63    | 0.00%             | 2044-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    3583000 | PA      | $3491663.24    | 0.01%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   12760000 | PA      | $13045358.39   | 0.03%             | 2029-04-20      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                            | Australia & New Zealand Banking Group Ltd.                                                                               | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    1834000 | PA      | $1833621.76    | 0.00%             | 2026-05-19      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-129, Class AW                                                                                          | CUSIP: 38377MBJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     230585 | PA      | $236603.25     | 0.00%             | 2037-04-20      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-33, Class XS                                                                                           | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     268103 | PA      | $15163.56      | 0.00%             | 2038-04-16      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31409V4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52087 | PA      | $53613.39      | 0.00%             | 2036-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405N7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25759 | PA      | $26273.46      | 0.00%             | 2034-10-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2015-2, Class A                                                                         | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1879321 | PA      | $185451.37     | 0.00%             | 2041-07-25      | Variable      | 3.17%                 | Yes           |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37635000 | PA      | $38687603.91   | 0.08%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1469 | PA      | $1506.23       | 0.00%             | 2036-11-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YMN65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7399487 | PA      | $6553815.96    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442RAD3<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    2258000 | PA      | $1861726.04    | 0.00%             | 2044-12-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K90, Class B                                                                           | CUSIP: 30308QAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $8441774.15    | 0.02%             | 2052-02-25      | Variable      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   11700000 | PA      | $10559307.68   | 0.02%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                      | Welltower OP LLC                                                                                                         | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     460000 | PA      | $506282.14     | 0.00%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-71, Class ST                                                                                           | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77587 | PA      | $78296.89      | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    3755000 | PA      | $2753855.53    | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-48, Class 1A                                           | CUSIP: 31392UZ56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     746242 | PA      | $721843.16     | 0.00%             | 2033-07-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                             | Mid-America Apartments LP                                                                                                | CUSIP: 59523UAS6<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $4788193.52    | 0.01%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-7, Class 30                                                                    | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61212 | PA      | $43676.58      | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR11, Class A6                                                | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     570023 | PA      | $539411.69     | 0.00%             | 2033-10-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2016-K56, Class B                                                                           | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8451000 | PA      | $8371336.65    | 0.02%             | 2049-06-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4217, Class KY                                                                                      | CUSIP: 3137B2KH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1794000 | PA      | $1589961.20    | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26935 | PA      | $28003.65      | 0.00%             | 2036-03-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    2066000 | PA      | $2055045.34    | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFIN LLC                                                              | CFIN LLC, Series 2024-1A, Class A                                                                                        | CUSIP: 125307AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   93000000 | PA      | $94599600.00   | 0.18%             | 2028-11-27      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| American Water Capital Corp.                                          | American Water Capital Corp.                                                                                             | CUSIP: 03040WAP0<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    2241000 | PA      | $1786507.70    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XPRT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32329234 | PA      | $27151924.48   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                | Oklahoma Development Finance Authority, Public Service Co., Series 2022                                                  | CUSIP: 6789084G6<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |   27500000 | PA      | $26646906.00   | 0.05%             | 2044-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   10770000 | PA      | $10972110.14   | 0.02%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                   | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19                                         | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     413217 | PA      | $186383.72     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lendingpoint SPE Trust                                                | Lendingpoint SPE Trust, Series 2020-VFN1, Class A2B1                                                                     | CUSIP: 52607AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     131799 | PA      | $129729.85     | 0.00%             | 2026-12-15      | Floating      | 9.21%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7541000 | PA      | $6651962.70    | 0.01%             | 2032-01-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                             | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4                                                                    | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155460 | PA      | $152434.23     | 0.00%             | 2035-06-19      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664BU4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   13241000 | PA      | $12112210.18   | 0.02%             | 2042-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1997-1, Class 2Z                                                                           | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106322 | PA      | $107815.92     | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ford Foundation (The)                                                 | Ford Foundation (The), Series 2020                                                                                       | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $2224768.08    | 0.00%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-26, Class AK                                                                                           | CUSIP: 38378JBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     885311 | PA      | $896994.99     | 0.00%             | 2041-09-20      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                 | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 3A1                                                         | CUSIP: 576433VM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49703 | PA      | $48777.48      | 0.00%             | 2034-12-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4663000 | PA      | $4639125.35    | 0.01%             | 2033-06-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H29, Class FA                                                                                          | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1019688 | PA      | $1020084.94    | 0.00%             | 2062-10-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2990, Class WP                                                                                      | CUSIP: 31395V4V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1846 | PA      | $1895.95       | 0.00%             | 2035-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-56, Class AC                                                                                    | CUSIP: 31397MAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109623 | PA      | $109689.11     | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044CR0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8261863.20    | 0.02%             | 2042-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133AFZD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7398475 | PA      | $6145697.31    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  138669921 | PA      | $64556124.62   | 0.13%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15424 | PA      | $15839.23      | 0.00%             | 2037-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   10780000 | PA      | $10729568.68   | 0.02%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                      | Multi-Family Connecticut Avenue Securities Trust, Series 2023-01, Class M7                                               | CUSIP: 62548NAA6<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |   41726317 | PA      | $43498876.37   | 0.08%             | 2053-11-25      | Floating      | 8.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3149, Class SO                                                                                      | CUSIP: 31396RJA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63840 | PA      | $51322.97      | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   17240000 | PA      | $14945577.88   | 0.03%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                                                | Invitation Homes Trust, Series 2024-SFR1, Class D                                                                        | CUSIP: 46188DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22630000 | PA      | $21739799.16   | 0.04%             | 2041-09-17      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    7762000 | PA      | $7772380.12    | 0.02%             | 2044-07-05      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                               | APA Infrastructure Ltd.                                                                                                  | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    7325000 | PA      | $7319537.31    | 0.01%             | 2027-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2002-52, Class GH                                                                                           | CUSIP: 38373XE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182277 | PA      | $181798.96     | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-30, Class LS                                                                                    | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1299352 | PA      | $91011.58      | 0.00%             | 2041-04-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-6, Class SH                                                                                            | CUSIP: 38375Y6G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     293602 | PA      | $1166.63       | 0.00%             | 2039-02-20      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2296, Class PD                                                                                      | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32593 | PA      | $33900.00      | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29268BAF8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     897000 | PA      | $927513.98     | 0.00%             | 2039-10-07      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617G82F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124891 | PA      | $129103.08     | 0.00%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   15245000 | PA      | $13389198.25   | 0.03%             | 2032-01-20      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class ZB                                                                                      | CUSIP: 31396JMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31033 | PA      | $32840.59      | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18673548 | PA      | $16716027.84   | 0.03%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  116650000 | PA      | $109568981.05  | 0.21%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N83D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8070995 | PA      | $8175550.02    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                   | Fifth Third Bancorp                                                                                                      | CUSIP: 316773DL1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    8401000 | PA      | $8797469.40    | 0.02%             | 2032-01-29      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7LX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     305612 | PA      | $299047.88     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2567, Class QD                                                                                      | CUSIP: 31393KA39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136510 | PA      | $142784.06     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 393, Class 6                                                                                        | CUSIP: 3136FGCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33896 | PA      | $3096.69       | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20770388 | PA      | $18593358.38   | 0.04%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ohio Edison Co.                                                       | Ohio Edison Co.                                                                                                          | CUSIP: 677347CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     780000 | PA      | $883757.62     | 0.00%             | 2036-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1899, Class ZE                                                                                      | CUSIP: 3133T86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4381 | PA      | $4418.98       | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                      | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    6530000 | PA      | $5785011.89    | 0.01%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2036104.66    | 0.00%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co.                                                                                                         | CUSIP: 641423CA4<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    3354000 | PA      | $3281143.44    | 0.01%             | 2041-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X7CH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4853599 | PA      | $4853787.83    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833QB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50000000 | PA      | $46152168.50   | 0.09%             | 2027-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3929 | PA      | $3952.95       | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12053600 | PA      | $11986423.12   | 0.02%             | 2033-01-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2022-1A, Class C                                                                        | CUSIP: 67571EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4908000 | PA      | $4914467.76    | 0.01%             | 2028-08-21      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class B                                                               | CUSIP: 224927AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5100000 | PA      | $5169876.12    | 0.01%             | 2033-05-16      | Fixed         | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10440204 | PA      | $10108898.68   | 0.02%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                     | Cigna Group (The)                                                                                                        | CUSIP: 125523CU2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   20860000 | PA      | $21601629.95   | 0.04%             | 2031-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617JR4K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1459463 | PA      | $1473168.63    | 0.00%             | 2049-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDUX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11034000 | PA      | $10885834.12   | 0.02%             | 2026-06-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MAK6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    2517000 | PA      | $2485115.65    | 0.00%             | 2026-10-19      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-112, Class ST                                                                                   | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     386531 | PA      | $40411.09      | 0.00%             | 2040-01-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36180B5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     837899 | PA      | $780871.57     | 0.00%             | 2039-01-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3920, Class LP                                                                                      | CUSIP: 3137AF3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     669860 | PA      | $685739.16     | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    7861000 | PA      | $6426583.28    | 0.01%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9244000 | PA      | $9290923.38    | 0.02%             | 2030-10-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   29236000 | PA      | $30756272.00   | 0.06%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3584504 | PA      | $3135930.16    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA                                                       | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12347871 | PA      | $11924550.01   | 0.02%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43243100 | PA      | $32379960.20   | 0.06%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                              | Tricon Residential Trust, Series 2023-SFR2, Class C                                                                      | CUSIP: 895978AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5835000 | PA      | $5814800.40    | 0.01%             | 2040-12-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-14, Class NI                                                                                           | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     372687 | PA      | $24608.57      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K138, Class AM                                          | CUSIP: 3137H5XV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24220000 | PA      | $20993019.24   | 0.04%             | 2032-01-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2024-5, Class D                                                           | CUSIP: 802920AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12380000 | PA      | $12537312.66   | 0.02%             | 2032-02-17      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F040693<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22300000 | PA      | $20806987.57   | 0.04%             | 2055-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAU2<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    4150000 | PA      | $3667177.09    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4535539 | PA      | $3967879.74    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5273080 | PA      | $4948790.81    | 0.01%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-2, Class E1                                                                  | CUSIP: 43732VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   52016178 | PA      | $50213006.04   | 0.10%             | 2026-12-17      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Corp. Trust                             | GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1                                                    | CUSIP: 36261WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33629857 | PA      | $31638512.12   | 0.06%             | 2060-12-25      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128C6QE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     461956 | PA      | $477025.36     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                                    | Evergy Metro, Inc.                                                                                                       | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |    6931000 | PA      | $7151118.86    | 0.01%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LE3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $8771911.80    | 0.02%             | 2032-01-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class A                                            | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88688 | PA      | $62260.48      | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16312493 | PA      | $14137918.52   | 0.03%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-164, Class AO                                                                                          | CUSIP: 38384XSY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9047562 | PA      | $7304951.91    | 0.01%             | 2054-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-110, Class GL                                                                                   | CUSIP: 31394US60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1397024 | PA      | $1463511.23    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21000000 | PA      | $21234609.48   | 0.04%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XQS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31082038 | PA      | $27536199.28   | 0.05%             | 2053-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KHG2, Class C                                                                          | CUSIP: 302983AG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32666000 | PA      | $27843734.02   | 0.05%             | 2030-02-25      | Variable      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma                                                                                           | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    6680000 | PA      | $6823226.88    | 0.01%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR3, Class E1                                                                   | CUSIP: 74331UAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50390000 | PA      | $50011717.23   | 0.10%             | 2039-04-17      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   16725000 | PA      | $17405248.06   | 0.03%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                                          | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   56650000 | PA      | $55588905.85   | 0.11%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ADGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41331875 | PA      | $41905560.66   | 0.08%             | 2064-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HYAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5081000 | PA      | $4143473.70    | 0.01%             | 2035-05-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-91, Class PI                                                                                           | CUSIP: 38374MSK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148777 | PA      | $12694.02      | 0.00%             | 2035-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44676141 | PA      | $37293060.11   | 0.07%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                    | Aqua Finance Trust, Series 2019-A, Class A                                                                               | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1880766 | PA      | $1834319.95    | 0.00%             | 2040-07-16      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   12475000 | PA      | $11952922.50   | 0.02%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   49395000 | PA      | $49963631.78   | 0.10%             | 2031-07-03      | Variable      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2014-1, Class A                                                                         | CUSIP: 48249FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3819250 | PA      | $93342.46      | 0.00%             | 2032-10-25      | Variable      | 1.69%                 | Yes           |                  3 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   25400000 | PA      | $24121659.15   | 0.05%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    8056000 | PA      | $8080168.00    | 0.02%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128L3L79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73412 | PA      | $74328.21      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BayCare Health System, Inc.                                           | BayCare Health System, Inc., Series 2020                                                                                 | CUSIP: 072722AE1<br>LEI: 1H90SRZU22X0SF1UZR52 | Long             | DBT              | CORP              | US        |    9475000 | PA      | $7160436.10    | 0.01%             | 2050-11-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2003-A5, Class 2A6                                                        | CUSIP: 5899293T3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66543 | PA      | $64885.49      | 0.00%             | 2033-08-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Nationwide Mutual Insurance Co.                                       | Nationwide Mutual Insurance Co.                                                                                          | CUSIP: 638671AC1<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $9231598.80    | 0.02%             | 2031-12-01      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| 20 Times Square Trust                                                 | 20 Times Square Trust, Series 2018-20TS, Class D                                                                         | CUSIP: 90137LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21000000 | PA      | $19320000.00   | 0.04%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BPM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156393 | PA      | $162500.61     | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8B86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14877697 | PA      | $14689724.97   | 0.03%             | 2026-12-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     411915 | PA      | $410614.50     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43000000 | PA      | $42529669.87   | 0.08%             | 2032-10-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-1, Class SA                                                                                     | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12080 | PA      | $14249.35      | 0.00%             | 2032-02-25      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class BK73                                                                       | CUSIP: 05494BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20476000 | PA      | $18739303.49   | 0.04%             | 2051-02-27      | Variable      | 2.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2262, Class Z                                                                                       | CUSIP: 3133TQ5B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3843 | PA      | $4038.78       | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410XC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117386 | PA      | $121211.40     | 0.00%             | 2036-10-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-62, Class PS                                                                                    | CUSIP: 31395N7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37783 | PA      | $54187.24      | 0.00%             | 2036-07-25      | Floating      | 13.12%                | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    6831000 | PA      | $4482870.05    | 0.01%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Reference REMIC, Series R007, Class ZA                                                                            | CUSIP: 31396NRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1122915 | PA      | $1177000.57    | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  160035000 | PA      | $150882998.44  | 0.29%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Ausgrid Finance Pty. Ltd.                                             | Ausgrid Finance Pty. Ltd.                                                                                                | CUSIP: 052113AB3<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |    1500000 | PA      | $1500125.87    | 0.00%             | 2028-08-01      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                         | Pioneer Natural Resources Co.                                                                                            | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   18050000 | PA      | $16138406.99   | 0.03%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4745 | PA      | $4836.97       | 0.00%             | 2034-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 299, Class 300                                                                                     | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     785567 | PA      | $722936.08     | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKQZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6239000 | PA      | $6236180.60    | 0.01%             | 2033-06-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class TO                                                                                      | CUSIP: 31398LR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     338702 | PA      | $286761.46     | 0.00%             | 2039-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-59, Class SU                                                                                    | CUSIP: 31394ETN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86561 | PA      | $94033.58      | 0.00%             | 2035-06-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2017-FRE2, Class M6                                                                    | CUSIP: 89175GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7229827 | PA      | $7120638.97    | 0.01%             | 2047-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-38, Class ZK                                                                                           | CUSIP: 38374NQB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1003494 | PA      | $1000731.63    | 0.00%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   19000000 | PA      | $16675959.14   | 0.03%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-13, Class ST                                                                                    | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1045 | PA      | $1097.07       | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   22080000 | PA      | $22920227.02   | 0.04%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cleveland Electric Illuminating Co. (The)                             | Cleveland Electric Illuminating Co. (The)                                                                                | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3890000 | PA      | $3812739.70    | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    6400000 | PA      | $6225956.35    | 0.01%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        215 | PA      | $215.60        | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $29656194.60   | 0.06%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    9155000 | PA      | $9240291.73    | 0.02%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2418, Class FO                                                                                      | CUSIP: 31339D2Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47273 | PA      | $47481.39      | 0.00%             | 2032-02-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14606103 | PA      | $13660120.05   | 0.03%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   25300000 | PA      | $25643419.16   | 0.05%             | 2026-06-26      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391XJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94962 | PA      | $98384.64      | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-72, Class EK                                                                                    | CUSIP: 31396WQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1208428 | PA      | $134198.91     | 0.00%             | 2037-07-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2022-3A, Class D                                                           | CUSIP: 96043PAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   70490000 | PA      | $71638979.95   | 0.14%             | 2028-04-17      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  111315000 | PA      | $110249680.94  | 0.21%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury Long Bond                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1903 | NC      | $56252.68      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38133305 | PA      | $39861688.93   | 0.08%             | 2071-09-20      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-28CB, Class 1A4                                                                      | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     838722 | PA      | $717275.80     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JKQH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     296548 | PA      | $302795.31     | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  617050000 | PA      | $601430921.88  | 1.17%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6148900 | PA      | $6179629.13    | 0.01%             | 2033-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-59, Class BG                                                                                    | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25427 | PA      | $22660.69      | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1935, Class FL                                                                                      | CUSIP: 3133T8Z83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        231 | PA      | $231.11        | 0.00%             | 2027-02-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   11955000 | PA      | $12279458.22   | 0.02%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2247, Class Z                                                                                       | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18646 | PA      | $19390.79      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9MY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4286950 | PA      | $3999748.33    | 0.01%             | 2035-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-97, Class FC                                                                                    | CUSIP: 31396XB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108539 | PA      | $108024.97     | 0.00%             | 2037-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     356248 | PA      | $368136.61     | 0.00%             | 2035-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    9440000 | PA      | $8577834.79    | 0.02%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220318 | PA      | $225621.13     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LUY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79092 | PA      | $81796.69      | 0.00%             | 2040-07-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2126, Class CB                                                                                      | CUSIP: 3133TJDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62962 | PA      | $63728.30      | 0.00%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5186855 | PA      | $5188560.31    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 313929RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139440 | PA      | $143135.22     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDB2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   15000000 | PA      | $15809573.55   | 0.03%             | 2034-07-06      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4                                                                       | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133703 | PA      | $139782.99     | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3151                                                                                                | CUSIP: 31396NU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120006 | PA      | $101702.32     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                            | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    9650000 | PA      | $9808987.32    | 0.02%             | 2030-04-10      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                            | Impac Secured Assets Trust, Series 2006-1, Class 2A1                                                                     | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     377393 | PA      | $350123.83     | 0.00%             | 2036-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A6                                                            | CUSIP: 17307GBJ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       5481 | PA      | $4590.21       | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2469000 | PA      | $2246522.26    | 0.00%             | 2032-04-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $7215295.90    | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-92, Class YS                                                                                    | CUSIP: 31396XMZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115725 | PA      | $9029.18       | 0.00%             | 2037-06-25      | Floating      | 1.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-9, Class CI                                                                                            | CUSIP: 38375JMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     489974 | PA      | $33300.41      | 0.00%             | 2037-03-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36000000 | PA      | $31588711.92   | 0.06%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-113, Class AO                                                                                   | CUSIP: 31398GWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127648 | PA      | $105512.44     | 0.00%             | 2040-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2003-9, Class 8A1                                                                   | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62070 | PA      | $58832.50      | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   11100000 | PA      | $10932234.49   | 0.02%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410QWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93053 | PA      | $95634.92      | 0.00%             | 2036-09-01      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36209DEH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17526 | PA      | $17693.93      | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LH2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34142000 | PA      | $34613017.23   | 0.07%             | 2032-12-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     770000 | PA      | $768429.75     | 0.00%             | 2026-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2005-W1, Class 1A2                                                                 | CUSIP: 31394CB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     563329 | PA      | $585715.00     | 0.00%             | 2044-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-112, Class SA                                                                                          | CUSIP: 38374EZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     211221 | PA      | $1022.94       | 0.00%             | 2033-12-16      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    4555000 | PA      | $4844450.57    | 0.01%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $9930523.56    | 0.02%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NYU Langone Hospitals                                                 | NYU Langone Hospitals, Series 2020                                                                                       | CUSIP: 62954RAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9170000 | PA      | $6200830.94    | 0.01%             | 2055-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-135                                                                                             | CUSIP: 3136AHYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1763564 | PA      | $1326608.24    | 0.00%             | 2044-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                             | GSMPS Mortgage Loan Trust, Series 2004-4, Class 1AF                                                                      | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     234270 | PA      | $210181.06     | 0.00%             | 2034-06-25      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-42, Class SC                                                                                           | CUSIP: 38374UVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     644670 | PA      | $53486.19      | 0.00%             | 2039-06-20      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132AEPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14422643 | PA      | $13723365.27   | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-2, Class C                                                                  | CUSIP: 21872GAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5526000 | PA      | $5358525.18    | 0.01%             | 2052-06-15      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-39, Class OT                                                                                    | CUSIP: 31398PU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57584 | PA      | $50212.66      | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    3831000 | PA      | $3780981.97    | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H04, Class SA                                                                                          | CUSIP: 38375BL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     514457 | PA      | $513817.81     | 0.00%             | 2063-02-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates           | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A2                                   | CUSIP: 86358RXY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       6940 | PA      | $5893.65       | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-11, Class PS                                                                                    | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53792 | PA      | $64156.33      | 0.00%             | 2036-03-25      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class A736                                                                       | CUSIP: 05494BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15256000 | PA      | $14734127.33   | 0.03%             | 2052-09-27      | Variable      | 2.16%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4257, Class DZ                                                                                      | CUSIP: 3137B57H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6580130 | PA      | $5750079.10    | 0.01%             | 2043-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A1                                                                       | CUSIP: 46630GAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90212 | PA      | $91489.29      | 0.00%             | 2035-07-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31334Y2K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1175636 | PA      | $1073469.08    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K93, Class B                                                                           | CUSIP: 30313FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $7807097.58    | 0.02%             | 2052-05-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     764091 | PA      | $770248.22     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XDGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46373607 | PA      | $39002156.18   | 0.08%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2586, Class WI                                                                                      | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49224 | PA      | $6602.11       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2925000 | PA      | $2935865.03    | 0.01%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-35, Class ZB                                                                                           | CUSIP: 38374TP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6650402 | PA      | $6870430.83    | 0.01%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5070890 | PA      | $4752684.17    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   17530000 | PA      | $17144139.46   | 0.03%             | 2026-06-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412LW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159246 | PA      | $167390.39     | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H07, Class HA                                                                                          | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     644023 | PA      | $643120.66     | 0.00%             | 2063-03-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                         | Sutter Health                                                                                                            | CUSIP: 86944BAL7<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4875413.85    | 0.01%             | 2053-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132L5L84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10444946 | PA      | $9543246.66    | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Trane Technologies Financing Ltd.                                     | Trane Technologies Financing Ltd.                                                                                        | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |   10410000 | PA      | $10756591.27   | 0.02%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Crown Castle Towers LLC                                               | Crown Castle Towers LLC                                                                                                  | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $9877120.00    | 0.02%             | 2028-07-15      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2005-14, Class A2                                                                | CUSIP: 12669GK67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71798 | PA      | $29380.14      | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-47, Class MT                                                                                    | CUSIP: 31396QHD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6352 | PA      | $6598.07       | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-4, Class 1A6                                                               | CUSIP: 57643MAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121397 | PA      | $119238.98     | 0.00%             | 2033-12-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-6, Class 7A1                                                                   | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71486 | PA      | $71707.64      | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XCYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42138727 | PA      | $35510339.32   | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703DBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5508000 | PA      | $5650621.07    | 0.01%             | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1829, Class ZB                                                                                      | CUSIP: 3133T6J36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $11.92         | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   16445000 | PA      | $14605123.86   | 0.03%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                      | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556CX1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1877949.15    | 0.00%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                             | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   33280000 | PA      | $34564792.70   | 0.07%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3819, Class ZQ                                                                                      | CUSIP: 3137A8N20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1842980 | PA      | $1955135.99    | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Street Capital Group, Inc.                                            | Street Capital Group, Inc.                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   35651956 | PA      | $35651956.33   | 0.07%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| HERO Funding Trust                                                    | HERO Funding Trust, Series 2016-4A, Class A2                                                                             | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1409784 | PA      | $1380155.45    | 0.00%             | 2047-09-20      | Fixed         | 4.29%                 | Yes           |                  3 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2                                                                       | CUSIP: 46630GAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36083 | PA      | $36594.00      | 0.00%             | 2035-07-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HTD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14219 | PA      | $14961.08      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   23200000 | PA      | $23655548.01   | 0.05%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MA                                                       | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31235747 | PA      | $29072290.43   | 0.06%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31322YU25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145872 | PA      | $137792.01     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   22930000 | PA      | $23523934.47   | 0.05%             | 2034-06-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403DES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65490 | PA      | $67384.23      | 0.00%             | 2036-01-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                               | Duke Energy Indiana LLC, Series YYY                                                                                      | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    6895000 | PA      | $4676585.46    | 0.01%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19781208 | PA      | $17392006.97   | 0.03%             | 2032-01-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H01, Class JA                                                                                          | CUSIP: 38375BF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     848741 | PA      | $846484.28     | 0.00%             | 2063-01-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| DTE Electric Securitization Funding II LLC                            | DTE Electric Securitization Funding II LLC, Series A-2                                                                   | CUSIP: 23346TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18650000 | PA      | $20093827.80   | 0.04%             | 2037-09-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   24790000 | PA      | $27184371.65   | 0.05%             | 2033-08-12      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2500, Class MC                                                                                      | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73216 | PA      | $76151.27      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   61730000 | PA      | $61922906.25   | 0.12%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-K67, Class B                                                                           | CUSIP: 30300YAS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10500000 | PA      | $10361129.10   | 0.02%             | 2049-09-25      | Variable      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   13405000 | PA      | $13671803.07   | 0.03%             | 2031-03-04      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31412CEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169159 | PA      | $172666.24     | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33325000 | PA      | $33707539.01   | 0.07%             | 2032-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-118, Class A1                                                                                   | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176830 | PA      | $172971.85     | 0.00%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HXNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12178880 | PA      | $10974557.52   | 0.02%             | 2032-03-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                              | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                                                      | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38560000 | PA      | $34125600.00   | 0.07%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                          | Brooklyn Union Gas Co. (The)                                                                                             | CUSIP: 114259AT1<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    5620000 | PA      | $5519907.86    | 0.01%             | 2029-03-04      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| MNR ABS Issuer I LLC                                                  | MNR ABS Issuer I LLC                                                                                                     | CUSIP: 55317XAA7<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   21026121 | PA      | $21440335.92   | 0.04%             | 2038-12-15      | Fixed         | 8.12%                 | No            |                  3 | On Loan: No      |
| RALI Trust                                                            | RALI Trust, Series 2003-QS9, Class A3                                                                                    | CUSIP: 76110HCC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         28 | PA      | $0.00          | 0.00%             | 2018-05-25      | Floating      | 3.11%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36196RVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3003219 | PA      | $2857135.25    | 0.01%             | 2048-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   16020000 | PA      | $16524483.90   | 0.03%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3906000 | PA      | $3124800.00    | 0.01%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178033 | PA      | $189241.49     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L74B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16874940 | PA      | $16660491.35   | 0.03%             | 2026-12-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1996-48, Class Z                                                                                     | CUSIP: 31359KXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        745 | PA      | $744.46        | 0.00%             | 2026-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23167332 | PA      | $24213709.82   | 0.05%             | 2072-03-20      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K115, Class XAM                                         | CUSIP: 3137FWGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44580829 | PA      | $2927141.57    | 0.01%             | 2030-07-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2022-3A, Class C                                                                             | CUSIP: 23345RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6844555 | PA      | $6878595.66    | 0.01%             | 2028-07-17      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-109, Class PC                                                                                   | CUSIP: 31394UZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15810 | PA      | $16078.88      | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-28, Class EO                                                                                    | CUSIP: 31396VLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226191 | PA      | $195339.12     | 0.00%             | 2037-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    7254000 | PA      | $7167616.25    | 0.01%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WGFV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18383268 | PA      | $17203795.66   | 0.03%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140Y66N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20287494 | PA      | $20882516.25   | 0.04%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $30416015.70   | 0.06%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36291MSC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17852 | PA      | $18479.52      | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3621, Class BO                                                                                      | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     310570 | PA      | $270132.28     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    5645000 | PA      | $3681897.45    | 0.01%             | 2050-09-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| US Bancorp                                                            | US Bancorp                                                                                                               | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   19230000 | PA      | $19757445.82   | 0.04%             | 2031-05-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LE6W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3706953 | PA      | $3283380.51    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                                          | Flex Intermediate Holdco LLC                                                                                             | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    9235000 | PA      | $7353553.45    | 0.01%             | 2039-12-30      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class WQ                                                                                     | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     528557 | PA      | $440433.95     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   39380000 | PA      | $38573490.12   | 0.08%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XHSX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61616899 | PA      | $57101986.99   | 0.11%             | 2033-07-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2018-1, Class B                                                               | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8511062 | PA      | $8439994.15    | 0.02%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1333285 | PA      | $1323823.92    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series 20A                                                                               | CUSIP: 842400GY3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $1815952.59    | 0.00%             | 2051-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                 | MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A2                                                          | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102568 | PA      | $91969.14      | 0.00%             | 2034-04-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H07, Class FB                                                                                          | CUSIP: 38376RRE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2879907 | PA      | $2888799.08    | 0.01%             | 2066-03-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400JA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6838 | PA      | $6986.99       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   33567000 | PA      | $34271907.00   | 0.07%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                               | Quest Diagnostics, Inc.                                                                                                  | CUSIP: 74834LBD1<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |   11460000 | PA      | $12626239.74   | 0.02%             | 2033-11-30      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2359, Class ZB                                                                                      | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56274 | PA      | $60402.17      | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3535000 | PA      | $3335665.66    | 0.01%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10964000 | PA      | $10106914.63   | 0.02%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2021-SFR1, Class E1                                                                         | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15500000 | PA      | $15081588.35   | 0.03%             | 2038-08-17      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3487110 | PA      | $3549539.81    | 0.01%             | 2034-01-10      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   16770000 | PA      | $17340304.10   | 0.03%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                  | Royal Bank of Canada                                                                                                     | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   34180000 | PA      | $34471687.68   | 0.07%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KTQX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     697397 | PA      | $580332.51     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31280 | PA      | $32066.96      | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Alternative LN Issuer LLC                                             | Alternative LN Issuer LLC                                                                                                | CUSIP: 02158AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16493000 | PA      | $16493000.00   | 0.03%             | 2035-11-15      | Fixed         | 6.82%                 | No            |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  292700000 | PA      | $259336771.97  | 0.51%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction                                 | Seasoned Loans Structured Transaction, Series 2018-1, Class A1                                                           | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6548010 | PA      | $6406950.28    | 0.01%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 3138EN4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5111395 | PA      | $5045418.20    | 0.01%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38828216 | PA      | $40338300.13   | 0.08%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-71, Class SC                                                                                           | CUSIP: 38375XML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170432 | PA      | $659.06        | 0.00%             | 2038-08-20      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19825000 | PA      | $19574155.66   | 0.04%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19031000 | PA      | $19076949.78   | 0.04%             | 2031-02-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2110993 | PA      | $2057219.38    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Blackstone Holdings Finance Co. LLC                                   | Blackstone Holdings Finance Co. LLC                                                                                      | CUSIP: 09256BAH0<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    3107000 | PA      | $2615017.14    | 0.01%             | 2045-07-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y92G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5384256 | PA      | $5024373.52    | 0.01%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    7220000 | PA      | $7206204.02    | 0.01%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  149415000 | PA      | $138810037.29  | 0.27%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| OneSky Loan Trust                                                     | OneSky Loan Trust, 1st Lien Term Loan A                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   48544904 | PA      | $46712576.97   | 0.09%             | 2031-01-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                   | Realty Income Corp.                                                                                                      | CUSIP: 756109AS3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    2243000 | PA      | $2208136.62    | 0.00%             | 2027-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    2239000 | PA      | $2215954.08    | 0.00%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H07, Class MA                                                                                          | CUSIP: 38375BR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        417 | PA      | $416.23        | 0.00%             | 2062-04-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC, Series J                                                                              | CUSIP: 293791AT6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2509000 | PA      | $2616042.97    | 0.01%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-100, Class SM                                                                                   | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     442558 | PA      | $42427.80      | 0.00%             | 2037-10-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Caerus Uinta Abs I LLC                                                | Caerus Uinta ABS LLC, Series 2023-1A, Class A1                                                                           | CUSIP: 127656AA4<br>LEI: 549300KYPQ0HIKDTZK59 | Long             | ABS-O            | CORP              | US        |   12975925 | PA      | $13217859.64   | 0.03%             | 2040-04-28      | Fixed         | 7.48%                 | Yes           |                  3 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                    | Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2                                                             | CUSIP: 17310DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143688 | PA      | $131447.20     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2291640 | PA      | $2065324.23    | 0.00%             | 2056-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        532 | PA      | $535.80        | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                          | Santander Holdings USA, Inc.                                                                                             | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   29735000 | PA      | $31209385.89   | 0.06%             | 2030-01-09      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $20028320.40   | 0.04%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-73, Class HC                                                                                    | CUSIP: 31393DB91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246371 | PA      | $255960.63     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2991000 | PA      | $2962754.22    | 0.01%             | 2029-01-12      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    9495000 | PA      | $5873690.37    | 0.01%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJT97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8725000 | PA      | $8552127.04    | 0.02%             | 2033-03-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J22T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1230201 | PA      | $1235605.80    | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113264 | PA      | $115467.20     | 0.00%             | 2036-07-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58                                                                                              | CUSIP: 31395ND20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54710 | PA      | $47659.60      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400HZ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   14150000 | PA      | $14076864.31   | 0.03%             | 2034-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410F6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25923 | PA      | $26703.62      | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MNJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15590928 | PA      | $14588330.66   | 0.03%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-112, Class SA                                                                                   | CUSIP: 31396X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     629648 | PA      | $79271.25      | 0.00%             | 2037-12-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   29628000 | PA      | $29307328.75   | 0.06%             | 2028-07-21      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617NYZF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17556534 | PA      | $15984334.51   | 0.03%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2064, Class TE                                                                                      | CUSIP: 3133TELZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        983 | PA      | $999.95        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1M2                                                          | CUSIP: 20755AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17575000 | PA      | $18386469.39   | 0.04%             | 2043-01-25      | Floating      | 7.70%                 | Yes           |                  2 | On Loan: No      |
| America Movil SAB de CV                                               | America Movil SAB de CV                                                                                                  | CUSIP: 02364WBG9<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    8284000 | PA      | $6800832.64    | 0.01%             | 2049-04-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-81, Class GE                                                                                    | CUSIP: 31396XAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190075 | PA      | $201188.40     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4859 | PA      | $4968.92       | 0.00%             | 2028-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OGE Energy Corp.                                                      | OGE Energy Corp.                                                                                                         | CUSIP: 670837AD5<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |    7110000 | PA      | $7388533.68    | 0.01%             | 2029-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1825958 | PA      | $1737890.07    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUER4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36345897 | PA      | $37963939.76   | 0.07%             | 2071-10-20      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHCT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22000000 | PA      | $21292209.18   | 0.04%             | 2032-09-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                           | American Homes 4 Rent Trust, Series 2015-SFR2, Class E                                                                   | CUSIP: 02666BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1415000 | PA      | $1411532.54    | 0.00%             | 2052-10-17      | Fixed         | 6.07%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4667000 | PA      | $2199141.46    | 0.00%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-137, Class WA                                                                                          | CUSIP: 38377YX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     725388 | PA      | $751890.63     | 0.00%             | 2040-07-20      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 2P                                                | CUSIP: 93363EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34052 | PA      | $30928.90      | 0.00%             | 2036-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co.                                                                                                         | CUSIP: 641423BZ0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    1287000 | PA      | $1272114.27    | 0.00%             | 2040-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129706 | PA      | $132720.64     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-50, Class JO                                                                                    | CUSIP: 31395DUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293504 | PA      | $254242.28     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9MZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1739046 | PA      | $1622540.00    | 0.00%             | 2035-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392FB9<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     769000 | PA      | $824538.49     | 0.00%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QGH21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98227 | PA      | $99535.00      | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H14, Class FG                                                                                          | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170309 | PA      | $170270.19     | 0.00%             | 2063-05-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2023-1A, Class B                                                                       | CUSIP: 784024AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24700000 | PA      | $25510955.34   | 0.05%             | 2032-05-20      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95666 | PA      | $97661.70      | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLFY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29035000 | PA      | $29178716.86   | 0.06%             | 2033-10-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2024-SAT1, Class A                                                                         | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  108325000 | PA      | $109755160.81  | 0.21%             | 2027-03-26      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2197000 | PA      | $2392676.00    | 0.00%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1998-36, Class ZB                                                                                    | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9353 | PA      | $9435.87       | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YFF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17845372 | PA      | $15809572.13   | 0.03%             | 2053-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410LCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218914 | PA      | $232693.93     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                          | Hilton Grand Vacations Trust, Series 2024-3A, Class C                                                                    | CUSIP: 43283NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6396446 | PA      | $6481531.22    | 0.01%             | 2040-08-27      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M3, Class A2                                                                                      | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11352748 | PA      | $10925563.37   | 0.02%             | 2030-02-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23990000 | PA      | $21353911.39   | 0.04%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9848000 | PA      | $9708442.61    | 0.02%             | 2026-06-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3202, Class HI                                                                                      | CUSIP: 31397ABD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1409094 | PA      | $134455.78     | 0.00%             | 2036-08-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series B                                                                                 | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4230078.22    | 0.01%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31376J5Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177714 | PA      | $181844.59     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHS76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11615000 | PA      | $11445603.47   | 0.02%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5196000 | PA      | $5036263.58    | 0.01%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2000-2, Class ZE                                                                                     | CUSIP: 31359XSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45513 | PA      | $47205.58      | 0.00%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series D                                                                                          | CUSIP: 25746UCK3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1927000 | PA      | $1901410.11    | 0.00%             | 2026-08-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                                         | Cencora, Inc.                                                                                                            | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   30700000 | PA      | $31038241.55   | 0.06%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K070, Class A2                                          | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17323000 | PA      | $17089255.56   | 0.03%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   75604340 | PA      | $60089939.56   | 0.12%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                  | Glencore Funding LLC                                                                                                     | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   21000000 | PA      | $21547289.82   | 0.04%             | 2034-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | Port Authority of New York and New Jersey, Consolidated, Series 164                                                      | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   10965000 | PA      | $11551781.01   | 0.02%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10025000 | PA      | $9942497.26    | 0.02%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43606943 | PA      | $45537404.77   | 0.09%             | 2072-04-20      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFKE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82064 | PA      | $82774.96      | 0.00%             | 2037-05-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9BV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11525056 | PA      | $10979901.22   | 0.02%             | 2030-05-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-73, Class MI                                                                                           | CUSIP: 38375LD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     454685 | PA      | $2342.99       | 0.00%             | 2037-11-20      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2016-2, Class A                                                             | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4249000 | PA      | $4061961.99    | 0.01%             | 2028-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    3625000 | PA      | $3447337.55    | 0.01%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   50000000 | PA      | $54188318.50   | 0.11%             | 2033-11-17      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                                        | Aircastle Ltd.                                                                                                           | CUSIP: 00929JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   11525000 | PA      | $12023319.56   | 0.02%             | 2031-10-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411BE41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90314 | PA      | $91935.45      | 0.00%             | 2036-12-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09, Class CI                                                                                          | CUSIP: 38380QAG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37120072 | PA      | $2556756.32    | 0.00%             | 2070-05-20      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H7ME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3538514 | PA      | $3342313.49    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10517253 | PA      | $9957665.16    | 0.02%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FL5S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16074457 | PA      | $15798240.92   | 0.03%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-6, Class 30                                                                    | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111955 | PA      | $88230.12      | 0.00%             | 2034-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200MGS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34383 | PA      | $35225.71      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2256, Class MC                                                                                      | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24212 | PA      | $25203.77      | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2210, Class Z                                                                                       | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60228 | PA      | $62833.29      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DQWX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22568905 | PA      | $19752482.77   | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Corning, Inc.                                                         | Corning, Inc.                                                                                                            | CUSIP: 219350BK0<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    6270000 | PA      | $5923321.29    | 0.01%             | 2048-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QLSF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222998 | PA      | $230924.59     | 0.00%             | 2036-05-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LKZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5952969 | PA      | $5828203.19    | 0.01%             | 2027-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8196367.60    | 0.02%             | 2031-05-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-88, Class VI                                                                                    | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     585731 | PA      | $49361.43      | 0.00%             | 2037-09-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   17660000 | PA      | $17229351.19   | 0.03%             | 2027-07-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3477000 | PA      | $3042069.86    | 0.01%             | 2042-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7C38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112513 | PA      | $116995.99     | 0.00%             | 2038-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5843793.42    | 0.01%             | 2032-09-01      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1054 | PA      | $1061.39       | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2024-M2, Class A2                                                                                      | CUSIP: 3136BQT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  112205000 | PA      | $106060867.39  | 0.21%             | 2033-08-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-78, Class SW                                                                                           | CUSIP: 38381WUP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5845865 | PA      | $521113.24     | 0.00%             | 2049-06-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31415W3R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197885 | PA      | $212435.30     | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-103, Class MB                                                                                   | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469772 | PA      | $472310.22     | 0.00%             | 2039-12-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services, Inc. Trust                              | GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M                                                       | CUSIP: 36157RD93<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      32639 | PA      | $29024.14      | 0.00%             | 2029-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-49, Class SC                                                                                    | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     592757 | PA      | $582466.33     | 0.00%             | 2040-03-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10073775 | PA      | $8523185.29    | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR2, Class E1                                                                   | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   55300000 | PA      | $54340727.49   | 0.11%             | 2027-04-17      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2733, Class SB                                                                                      | CUSIP: 31394NUY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1303617 | PA      | $1287465.20    | 0.00%             | 2033-10-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  972166400 | PA      | $966470107.64  | 1.88%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-96, Class SC                                                                                           | CUSIP: 38374JG75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     649767 | PA      | $2630.45       | 0.00%             | 2034-11-20      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6743760 | PA      | $6332695.95    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $4737652.98    | 0.01%             | 2049-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   13927000 | PA      | $12274435.55   | 0.02%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                       | Oncor Electric Delivery Co. LLC                                                                                          | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1076000 | PA      | $1126640.06    | 0.00%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2571, Class SY                                                                                      | CUSIP: 31393LB28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60609 | PA      | $66308.36      | 0.00%             | 2032-12-15      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XHSP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $18921603.60   | 0.04%             | 2034-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A5V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2232744 | PA      | $2150539.19    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR8, Class A                                                                    | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7442756 | PA      | $7253775.66    | 0.01%             | 2038-10-17      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Aetna, Inc.                                                           | Aetna, Inc.                                                                                                              | CUSIP: 00817YAJ7<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    1777000 | PA      | $1478557.88    | 0.00%             | 2042-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1WZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5135109 | PA      | $5037835.14    | 0.01%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-20CB, Class 3A8                                                                      | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2121722 | PA      | $110495.24     | 0.00%             | 2035-07-25      | Floating      | 0.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-86, Class OB                                                                                    | CUSIP: 31396KJ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110858 | PA      | $94991.94      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2430, Class WF                                                                                      | CUSIP: 31339NW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97943 | PA      | $102628.49     | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36241LZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     315402 | PA      | $324248.52     | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MT                                                       | CUSIP: 35563PSB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   42207608 | PA      | $33658933.68   | 0.07%             | 2060-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1B26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1902129 | PA      | $1866582.58    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1901000 | PA      | $1351761.83    | 0.00%             | 2042-11-03      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-18, Class FA                                                                                    | CUSIP: 31396YWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106804 | PA      | $107654.49     | 0.00%             | 2038-03-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                           | ONEOK, Inc.                                                                                                              | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   29725000 | PA      | $29724597.52   | 0.06%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-18, Class MZ                                                                                    | CUSIP: 31396P5P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208557 | PA      | $220864.36     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4J38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24564 | PA      | $25845.51      | 0.00%             | 2037-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PAT5<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $3034305.07    | 0.01%             | 2047-05-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                      | DTE Electric Co.                                                                                                         | CUSIP: 23338VAT3<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     934000 | PA      | $902996.00     | 0.00%             | 2053-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36300000 | PA      | $26763907.60   | 0.05%             | 2033-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2015-1, Class A                                                                    | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    3025698 | PA      | $2964446.20    | 0.01%             | 2027-03-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1863, Class Z                                                                                       | CUSIP: 3133T7DV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.18          | 0.00%             | 2026-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M4, Class A2                                                                                      | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18167481 | PA      | $17755331.59   | 0.03%             | 2028-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   87765335 | PA      | $91661957.71   | 0.18%             | 2072-02-20      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FG                                                                                          | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15890 | PA      | $15795.98      | 0.00%             | 2060-04-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Goodgreen Ltd.                                                        | Goodgreen Ltd., Series 2024-1A, Class A                                                                                  | CUSIP: 38217YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   61527017 | PA      | $59921161.66   | 0.12%             | 2056-07-15      | Fixed         | 6.29%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-63, Class ZH                                                                                    | CUSIP: 31395NQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     530300 | PA      | $568882.47     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-68, Class PG                                                                                    | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195239 | PA      | $196729.47     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   43090000 | PA      | $44434664.39   | 0.09%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ45, Class A2                                          | CUSIP: 3137HA4L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19800000 | PA      | $20115103.14   | 0.04%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417YD95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103665 | PA      | $104269.91     | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3280601 | PA      | $3175591.16    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    3665000 | PA      | $3266048.37    | 0.01%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKAL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44672000 | PA      | $44015576.68   | 0.09%             | 2033-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NP3K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6254625 | PA      | $6335651.79    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WVA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6768590 | PA      | $6654978.49    | 0.01%             | 2032-11-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   19409000 | PA      | $18925183.12   | 0.04%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-85, Class MZ                                                                                    | CUSIP: 31396KB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24281 | PA      | $25720.07      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392FG8<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     923000 | PA      | $772695.50     | 0.00%             | 2042-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates      | Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates, Series 2003-8, Class 1P                                | CUSIP: 15132EFF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10159 | PA      | $7491.89       | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAN0<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    1354000 | PA      | $1334393.76    | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  166815000 | PA      | $103653367.80  | 0.20%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Prudential Funding Asia plc                                           | Prudential Funding Asia plc                                                                                              | CUSIP: 744330AA9<br>LEI: 2549005TNASWKLR0XC37 | Long             | DBT              | CORP              | GB        |   16987000 | PA      | $16222585.00   | 0.03%             | 2030-04-14      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-74, Class SH                                                                                    | CUSIP: 31393EBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44221 | PA      | $39621.43      | 0.00%             | 2033-08-25      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2420, Class XK                                                                                      | CUSIP: 31339DMW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89532 | PA      | $93692.99      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   17625000 | PA      | $17002770.70   | 0.03%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJWP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107247 | PA      | $110092.28     | 0.00%             | 2037-02-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38945544 | PA      | $36674838.82   | 0.07%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H05, Class FB                                                                                          | CUSIP: 38375BKE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     292504 | PA      | $292785.92     | 0.00%             | 2060-12-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   28294000 | PA      | $27947681.44   | 0.05%             | 2026-02-21      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63190000 | PA      | $52374696.59   | 0.10%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9120704 | PA      | $8721652.43    | 0.02%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3051, Class DP                                                                                      | CUSIP: 31396CTQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        422 | PA      | $422.88        | 0.00%             | 2025-10-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5806000 | PA      | $5667391.45    | 0.01%             | 2028-01-21      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12000000 | PA      | $12010312.56   | 0.02%             | 2028-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-77, Class FG                                                                                    | CUSIP: 31396XJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171342 | PA      | $170540.89     | 0.00%             | 2037-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31416CK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145863 | PA      | $149154.67     | 0.00%             | 2037-07-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-47, Class PE                                                                                    | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159453 | PA      | $165874.54     | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50000000 | PA      | $41703125.00   | 0.08%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  144750000 | PA      | $81693281.25   | 0.16%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2021-1A, Class B                                                                          | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11204000 | PA      | $10662623.84   | 0.02%             | 2031-11-20      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class DO                                                                                    | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69374 | PA      | $59168.66      | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    4970000 | PA      | $4962995.98    | 0.01%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-50, Class VZ                                                                                    | CUSIP: 31394AJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1156705 | PA      | $1204796.61    | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DN4J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   75119678 | PA      | $70230785.16   | 0.14%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                                          | HERO Funding, Series 2018-1A, Class A2                                                                                   | CUSIP: 42772GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    7912108 | PA      | $7713581.70    | 0.02%             | 2048-09-20      | Fixed         | 4.67%                 | Yes           |                  3 | On Loan: No      |
| JBS USA LUX SARL                                                      | JBS USA LUX Sarl                                                                                                         | CUSIP: 472140AC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16735000 | PA      | $16818549.15   | 0.03%             | 2055-02-25      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-16, Class WA                                                                                    | CUSIP: 31398MRP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397988 | PA      | $406098.70     | 0.00%             | 2040-03-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Renew                                                                 | Renew, Series 2024-1A, Class A                                                                                           | CUSIP: 75973VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14910094 | PA      | $15042816.54   | 0.03%             | 2059-11-20      | Fixed         | 6.21%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UFK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     159031 | PA      | $163312.13     | 0.00%             | 2034-09-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JR6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     274907 | PA      | $282775.82     | 0.00%             | 2036-06-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| Ygrene Energy Fund, Inc.                                              | Ygrene Energy Fund, Inc.                                                                                                 | CUSIP: N/A<br>LEI: 549300U6Y2YJ14NVVY40       | Long             | ABS-MBS          | CORP              | US        |  166138690 | PA      | $166138690.18  | 0.32%             | 2045-07-25      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| Mars, Inc.                                                            | Mars, Inc.                                                                                                               | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   28555000 | PA      | $29145021.69   | 0.06%             | 2032-03-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Guardian Life Insurance Co. of America (The)                          | Guardian Life Insurance Co. of America (The)                                                                             | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    1663000 | PA      | $1363129.50    | 0.00%             | 2077-01-24      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W10, Class 2A                                                                 | CUSIP: 31396XD35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31624 | PA      | $33185.23      | 0.00%             | 2047-08-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XLC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36442420 | PA      | $31090879.31   | 0.06%             | 2052-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-5A, Class C                                                             | CUSIP: 30168DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20966000 | PA      | $21385072.60   | 0.04%             | 2029-01-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                                                          | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11446 | PA      | $11497.69      | 0.00%             | 2033-10-25      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4561467 | PA      | $4275245.45    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   26935000 | PA      | $27156465.50   | 0.05%             | 2031-08-04      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7933863 | PA      | $6888428.13    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7314 | PA      | $7438.59       | 0.00%             | 2035-09-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44325 | PA      | $45506.98      | 0.00%             | 2037-09-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| BG Beta I Ltd.                                                        | BG Beta Ltd.                                                                                                             | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   60760000 | PA      | $62271465.76   | 0.12%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  178550000 | PA      | $80618919.21   | 0.16%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86392 | PA      | $87667.11      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   17715000 | PA      | $18271457.38   | 0.04%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3101, Class UZ                                                                                      | CUSIP: 31396GLR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     331087 | PA      | $351136.94     | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3531, Class SM                                                                                      | CUSIP: 31398CVX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42678 | PA      | $2797.05       | 0.00%             | 2039-05-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                                                | Texas Health Resources                                                                                                   | CUSIP: 882484AA6<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    4275000 | PA      | $3483937.50    | 0.01%             | 2055-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   14135000 | PA      | $14454596.59   | 0.03%             | 2027-07-13      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2571, Class FY                                                                                      | CUSIP: 31393L6N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102767 | PA      | $103373.57     | 0.00%             | 2032-12-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3316                                                                                                | CUSIP: 31397HKV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117900 | PA      | $99465.79      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JSNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     297781 | PA      | $298207.64     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LCZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7316268 | PA      | $7271755.77    | 0.01%             | 2026-01-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  782087500 | PA      | $733359780.76  | 1.43%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HAA31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     774393 | PA      | $775502.81     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cardinal Health, Inc.                                                 | Cardinal Health, Inc.                                                                                                    | CUSIP: 14149YBP2<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7702489.50    | 0.02%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408GU1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    3498000 | PA      | $3506945.40    | 0.01%             | 2041-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class A2                                          | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27100000 | PA      | $24949742.37   | 0.05%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     677970 | PA      | $654513.76     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class OP                                                                                      | CUSIP: 31398LQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     652005 | PA      | $556266.62     | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   25865000 | PA      | $24695254.08   | 0.05%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292GQD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        210 | PA      | $220.76        | 0.00%             | 2026-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09, Class IC                                                                                          | CUSIP: 38380QAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40569022 | PA      | $2547551.45    | 0.00%             | 2070-05-20      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2089, Class PJ                                                                                      | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17553 | PA      | $961.49        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   24230000 | PA      | $18399445.45   | 0.04%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31418MCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157041 | PA      | $158307.02     | 0.00%             | 2037-11-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   16083000 | PA      | $15554680.37   | 0.03%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DUDP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10586742 | PA      | $9246840.73    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L83S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10526611 | PA      | $10349112.62   | 0.02%             | 2027-02-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   25422000 | PA      | $24284368.30   | 0.05%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                    | Altria Group, Inc.                                                                                                       | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   27925000 | PA      | $24310294.45   | 0.05%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-1, Class AA                                                              | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1675831 | PA      | $1616948.06    | 0.00%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1                                                               | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     604569 | PA      | $499167.48     | 0.00%             | 2035-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11235538 | PA      | $9247036.89    | 0.02%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                          | Bridge Trust, Series 2024-SFR1, Class A                                                                                  | CUSIP: 10806DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   52755544 | PA      | $51209147.20   | 0.10%             | 2040-08-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   27270000 | PA      | $17561554.67   | 0.03%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H01, Class FD                                                                                          | CUSIP: 38375UCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     815265 | PA      | $817231.01     | 0.00%             | 2064-01-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DQ6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17032624 | PA      | $16496631.76   | 0.03%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                                                      | FHF Issuer Trust, Series 2024-1A, Class A2                                                                               | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13998501 | PA      | $14151896.16   | 0.03%             | 2030-02-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  208516705 | PA      | $177821896.96  | 0.35%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                       | AES Corp. (The)                                                                                                          | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   29565000 | PA      | $30419535.82   | 0.06%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG5U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3309612 | PA      | $3181756.90    | 0.01%             | 2032-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class B736                                                                       | CUSIP: 05494BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18347000 | PA      | $17678877.48   | 0.03%             | 2052-09-27      | Variable      | 2.15%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   14835000 | PA      | $15159461.92   | 0.03%             | 2030-01-27      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64188 | PA      | $65821.24      | 0.00%             | 2037-11-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2106, Class ZD                                                                                      | CUSIP: 3133THDD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85300 | PA      | $86574.12      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X5EM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9872830 | PA      | $9615716.03    | 0.02%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class QX                                                                                      | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24501 | PA      | $1961.78       | 0.00%             | 2032-02-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                               | MPLX LP                                                                                                                  | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   13240000 | PA      | $13351042.82   | 0.03%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    5655000 | PA      | $5544678.75    | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-2, Class MB                                                       | CUSIP: 35563PQQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20448000 | PA      | $13859664.62   | 0.03%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A2                                                               | CUSIP: 31393YU60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1253259 | PA      | $1282743.95    | 0.00%             | 2044-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                 | Gray Oak Pipeline LLC                                                                                                    | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   34443000 | PA      | $34333581.13   | 0.07%             | 2025-10-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2259, Class ZM                                                                                      | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55343 | PA      | $57192.16      | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403Q3S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7476 | PA      | $7638.66       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Airbus SE                                                             | Airbus SE                                                                                                                | CUSIP: 009279AC4<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | NL        |    1046000 | PA      | $850827.55     | 0.00%             | 2047-04-10      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   16650000 | PA      | $11010151.49   | 0.02%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3142GTGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16040614 | PA      | $16252158.05   | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                 | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   13575000 | PA      | $14148661.31   | 0.03%             | 2030-01-22      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-5                                                                           | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26355000 | PA      | $24199713.93   | 0.05%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-79, Class SB                                                                                    | CUSIP: 31396XDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137329 | PA      | $161940.08     | 0.00%             | 2037-08-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3654, Class DC                                                                                      | CUSIP: 31398WV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2181580 | PA      | $2211571.29    | 0.00%             | 2030-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-56, Class FC                                                                                    | CUSIP: 31395NXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     739243 | PA      | $734735.26     | 0.00%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class HO                                                                                           | CUSIP: 38375KKT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61869 | PA      | $50164.20      | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   41323000 | PA      | $40863943.21   | 0.08%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H09, Class HA                                                                                          | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62905 | PA      | $59856.41      | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2023-SFR1, Class D                                                                                    | CUSIP: 66981XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22082000 | PA      | $21280182.71   | 0.04%             | 2040-04-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   12958000 | PA      | $11672721.38   | 0.02%             | 2033-01-20      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                             | Bank of Nova Scotia (The)                                                                                                | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    7526000 | PA      | $7702611.81    | 0.02%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    6844000 | PA      | $6394633.98    | 0.01%             | 2030-01-22      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                                | Marlette Funding Trust, Series 2023-2A, Class B                                                                          | CUSIP: 57109LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2106822 | PA      | $2108931.09    | 0.00%             | 2033-06-15      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2022-1A, Class C                                                        | CUSIP: 82652TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1284133 | PA      | $1265149.55    | 0.00%             | 2038-10-20      | Fixed         | 3.94%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                         | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6                                                                | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      28109 | PA      | $26625.33      | 0.00%             | 2034-08-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                                            | Prudential Financial, Inc.                                                                                               | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    9236000 | PA      | $7192574.44    | 0.01%             | 2047-12-07      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                 | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271BB4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2450743.62    | 0.00%             | 2053-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W2, Class 2A9                                                                        | CUSIP: 31392JAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219366 | PA      | $221738.08     | 0.00%             | 2042-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust                                                                                        | CUSIP: 22530BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   65094000 | PA      | $65692864.80   | 0.13%             | 2034-02-15      | Fixed         | 6.95%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG3B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7871000 | PA      | $7765122.69    | 0.02%             | 2032-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15670000 | PA      | $15340868.73   | 0.03%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    7655000 | PA      | $4780421.65    | 0.01%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXN30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26820 | PA      | $28219.81      | 0.00%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-68, Class KI                                                                                           | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1511352 | PA      | $141061.76     | 0.00%             | 2035-09-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    3881000 | PA      | $3799776.14    | 0.01%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                   | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A2                                          | CUSIP: 32052WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4450549 | PA      | $374822.54     | 0.00%             | 2037-08-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   31814000 | PA      | $35266099.60   | 0.07%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ASG Resecuritization Trust                                            | ASG Resecuritization Trust, Series 2011-1, Class 2A35                                                                    | CUSIP: 00190VDB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     231459 | PA      | $67430.75      | 0.00%             | 2036-09-28      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  449750000 | PA      | $364444563.75  | 0.71%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-149, Class MF                                                                                   | CUSIP: 3136A3FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     375086 | PA      | $374143.99     | 0.00%             | 2041-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2004-A4, Class 1A1                                                                       | CUSIP: 466247DX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43023 | PA      | $41447.92      | 0.00%             | 2034-09-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                               | Kingdom of Saudi Arabia                                                                                                  | CUSIP: 80413TAW9<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    4399000 | PA      | $2754477.84    | 0.01%             | 2061-02-02      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-72, Class SB                                                                                    | CUSIP: 31394EWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40097 | PA      | $42128.11      | 0.00%             | 2035-08-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059ENP5<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    3119000 | PA      | $2801384.65    | 0.01%             | 2028-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36206HPN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2192 | PA      | $2206.72       | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2002-90, Class A1                                                                        | CUSIP: 31392GEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228564 | PA      | $234333.45     | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PG&E Energy Recovery Funding LLC                                      | PG&E Energy Recovery Funding LLC, Series A-2                                                                             | CUSIP: 71710TAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9710000 | PA      | $7848772.54    | 0.02%             | 2036-01-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YDB2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6321117.04    | 0.01%             | 2045-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.                        | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-1                               | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   11651254 | PA      | $11972240.03   | 0.02%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Tyson Foods, Inc.                                                     | Tyson Foods, Inc.                                                                                                        | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |   10200000 | PA      | $10628384.19   | 0.02%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-60, Class HT                                                                                    | CUSIP: 31396QPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1138925 | PA      | $1211530.47    | 0.00%             | 2039-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    1200000 | PA      | $1089226.61    | 0.00%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33709000 | PA      | $23924708.25   | 0.05%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73187 | PA      | $74121.68      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMLM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25924006 | PA      | $22529943.38   | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10254000 | PA      | $10390582.56   | 0.02%             | 2028-05-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173267 | PA      | $179800.90     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  318905000 | PA      | $322231080.29  | 0.63%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UOG ABS Issuer I LLC                                                  | UOG ABS Issuer LLC, Series 2023-1, Class A1                                                                              | CUSIP: 90319TAA1<br>LEI: 254900YID84NR2CXVT21 | Long             | ABS-O            | CORP              | US        |   28772993 | PA      | $29621796.66   | 0.06%             | 2040-06-05      | Fixed         | 8.35%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3153, Class EO                                                                                      | CUSIP: 31396RKM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142598 | PA      | $124137.48     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27705935 | PA      | $23425260.78   | 0.05%             | 2062-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   14675000 | PA      | $15032704.01   | 0.03%             | 2031-05-23      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11                                                           | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     286892 | PA      | $287451.20     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A2EY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5768777 | PA      | $5058408.10    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2344, Class ZD                                                                                      | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     364116 | PA      | $379500.97     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LK2R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35052000 | PA      | $35056627.92   | 0.07%             | 2033-07-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                             | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                                                    | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     413685 | PA      | $388057.69     | 0.00%             | 2035-03-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-86, Class IP                                                                                    | CUSIP: 31398FTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     571330 | PA      | $97192.12      | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BYW64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4789499 | PA      | $4648141.60    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31415RBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250074 | PA      | $262249.22     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  150605000 | PA      | $90027668.93   | 0.18%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36445062 | PA      | $30939730.34   | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11610 | PA      | $11808.13      | 0.00%             | 2034-01-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                        | Piedmont Natural Gas Co., Inc.                                                                                           | CUSIP: 720186AP0<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    7979000 | PA      | $7013652.15    | 0.01%             | 2052-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YUZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15755275 | PA      | $13958392.15   | 0.03%             | 2054-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4692651 | PA      | $4525699.78    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    6205000 | PA      | $5739147.90    | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MA                                                       | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24604062 | PA      | $23905348.16   | 0.05%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Northern Trust Corp.                                                  | Northern Trust Corp.                                                                                                     | CUSIP: 665859AS3<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |    2762000 | PA      | $2700190.69    | 0.01%             | 2032-05-08      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405UVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12483 | PA      | $12664.34      | 0.00%             | 2034-11-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    1918000 | PA      | $1885148.09    | 0.00%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ABE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   86109609 | PA      | $84972936.77   | 0.17%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174778 | PA      | $178993.06     | 0.00%             | 2036-11-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                   | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class A                                                           | CUSIP: 10638RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11547715 | PA      | $11419007.89   | 0.02%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-58, Class BE                                                                                           | CUSIP: 38374BNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     249779 | PA      | $249043.13     | 0.00%             | 2033-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                           | CSMC OA LLC, Series 2014-USA, Class B                                                                                    | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   25890000 | PA      | $22265658.90   | 0.04%             | 2037-09-15      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                                           | Business Jet Securities LLC, Series 2024-2A, Class A                                                                     | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   30661517 | PA      | $30829808.93   | 0.06%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2017-2A, Class A                                                                                 | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9204786 | PA      | $8304202.22    | 0.02%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  3 | On Loan: No      |
| BXG Receivables Note Trust                                            | BXG Receivables Note Trust, Series 2023-A, Class A                                                                       | CUSIP: 123919AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2241790 | PA      | $2285687.93    | 0.00%             | 2038-11-15      | Fixed         | 5.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413K3R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93999 | PA      | $94933.08      | 0.00%             | 2037-07-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-14, Class ES                                                                                    | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     614408 | PA      | $66158.88      | 0.00%             | 2037-03-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2022-3A, Class D                                                                             | CUSIP: 23345RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   46500000 | PA      | $47534522.70   | 0.09%             | 2028-07-17      | Fixed         | 8.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-46, Class QB                                                                                    | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46972 | PA      | $50303.10      | 0.00%             | 2034-05-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55769 | PA      | $58013.54      | 0.00%             | 2037-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M2                                                          | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9750000 | PA      | $10074368.85   | 0.02%             | 2043-07-25      | Floating      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9035000 | PA      | $6812954.69    | 0.01%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                                    | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1                                                             | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     205632 | PA      | $185827.63     | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2125, Class JZ                                                                                      | CUSIP: 3133TJHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26262 | PA      | $26655.40      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-97, Class KI                                                                                    | CUSIP: 31396XB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415437 | PA      | $28910.06      | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                  | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAM5<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    3050000 | PA      | $2233222.51    | 0.00%             | 2046-09-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class B                                                               | CUSIP: 22536VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40000000 | PA      | $41236812.00   | 0.08%             | 2034-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| J M Smucker Co. (The)                                                 | J M Smucker Co. (The)                                                                                                    | CUSIP: 832696AZ1<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |    8575000 | PA      | $9118808.66    | 0.02%             | 2053-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Republic of Poland                                                    | Republic of Poland                                                                                                       | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |   18163000 | PA      | $17035259.33   | 0.03%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39812709 | PA      | $35331122.14   | 0.07%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8036741 | PA      | $7159598.09    | 0.01%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                                             | HINNT LLC, Series 2022-A, Class C                                                                                        | CUSIP: 40486JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5500887 | PA      | $5520776.20    | 0.01%             | 2041-05-15      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2017-R1                                                                                          | CUSIP: 38218AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     817548 | PA      | $809322.98     | 0.00%             | 2051-10-20      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-40, Class SN                                                                                           | CUSIP: 38375KB68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     525008 | PA      | $18202.88      | 0.00%             | 2037-07-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                    | Wells Fargo Alternative Loan Trust, Series 2003-1, Class A                                                               | CUSIP: 949912AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8439 | PA      | $6541.65       | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   23003000 | PA      | $23663250.74   | 0.05%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                      | McDonald's Corp.                                                                                                         | CUSIP: 58013MFC3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    3210000 | PA      | $2710152.22    | 0.01%             | 2047-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31427ND63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29646252 | PA      | $26021831.76   | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26776651 | PA      | $23405165.09   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                                         | AIB Group plc                                                                                                            | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    7745000 | PA      | $8237999.22    | 0.02%             | 2029-09-13      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JGJR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     878443 | PA      | $859028.61     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31377UYB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14821546 | PA      | $14638389.51   | 0.03%             | 2028-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XQJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19749138 | PA      | $17900387.02   | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M38, Class 2A1                                                                                    | CUSIP: 3136BBHB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5941525 | PA      | $5585318.33    | 0.01%             | 2028-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     592383 | PA      | $633851.50     | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bedrock Abs I LLC                                                     | Bedrock ABS I LLC                                                                                                        | CUSIP: 076909AA8<br>LEI: 25490001S3H0GYUMTK70 | Long             | ABS-O            | CORP              | US        |   23160962 | PA      | $23898638.25   | 0.05%             | 2037-12-27      | Fixed         | 7.95%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-37, Class Z                                                                                     | CUSIP: 31392DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50388 | PA      | $52093.82      | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407LEA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7115 | PA      | $7479.36       | 0.00%             | 2036-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                                                        | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     691322 | PA      | $685550.16     | 0.00%             | 2037-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   24803000 | PA      | $14702452.98   | 0.03%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31295NZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3921 | PA      | $4011.94       | 0.00%             | 2032-09-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22551578 | PA      | $22229885.59   | 0.04%             | 2029-01-01      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90736 | PA      | $90948.04      | 0.00%             | 2034-08-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    3430000 | PA      | $3253029.42    | 0.01%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                                 | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    8568000 | PA      | $6822862.99    | 0.01%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux Sarl                                              | JBS USA Holding Lux Sarl                                                                                                 | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   24808000 | PA      | $27205420.31   | 0.05%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200WN31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12228 | PA      | $12658.06      | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828YX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   64261800 | PA      | $62600029.69   | 0.12%             | 2026-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-1A, Class E                                                                             | CUSIP: 23346KAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27300000 | PA      | $28668909.36   | 0.06%             | 2030-01-15      | Fixed         | 10.39%                | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-1, Class WA                                                                                     | CUSIP: 31398GL23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118679 | PA      | $120514.52     | 0.00%             | 2040-02-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62476 | PA      | $63518.03      | 0.00%             | 2036-11-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 264, Class F1                                                                                      | CUSIP: 3128HXM85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4460784 | PA      | $4415426.06    | 0.01%             | 2042-07-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3957, Class B                                                                                       | CUSIP: 3137AHAX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     859289 | PA      | $840654.10     | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13160000 | PA      | $10181823.30   | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                                   | NatWest Markets plc                                                                                                      | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   20945000 | PA      | $21737455.75   | 0.04%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   13055000 | PA      | $12464208.38   | 0.02%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-106, Class US                                                                                   | CUSIP: 31394UN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201913 | PA      | $213195.45     | 0.00%             | 2035-11-25      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                    | British Airways Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7140351 | PA      | $6709122.63    | 0.01%             | 2032-12-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-97, Class FB                                                                                    | CUSIP: 3136A72Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1511811 | PA      | $1492979.51    | 0.00%             | 2042-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux Sarl                                              | JBS USA Holding Lux Sarl                                                                                                 | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   32455000 | PA      | $31994245.78   | 0.06%             | 2066-04-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2163, Class PC                                                                                      | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6074 | PA      | $340.24        | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2176, Class OJ                                                                                      | CUSIP: 3133TLTY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31582 | PA      | $31894.68      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ADD6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   11887000 | PA      | $12255521.49   | 0.02%             | 2031-06-24      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-53, Class SW                                                                                           | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91761 | PA      | $100347.50     | 0.00%             | 2037-09-20      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103396 | PA      | $104731.13     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-28CB, Class 3A5                                                                      | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41031 | PA      | $15416.03      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2025-2, Class D                                                    | CUSIP: 10807HAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10805000 | PA      | $11025002.77   | 0.02%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1144260 | PA      | $1120354.08    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2006-W2, Class 1AF1                                                                       | CUSIP: 31395N5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1188283 | PA      | $1173473.12    | 0.00%             | 2046-02-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EJJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4529810 | PA      | $4408750.36    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26145268 | PA      | $22853592.72   | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ABML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12024336 | PA      | $10892664.40   | 0.02%             | 2071-12-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNE49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3817086 | PA      | $3749833.67    | 0.01%             | 2030-05-01      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 239, Class S30                                                                                     | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1036608 | PA      | $131804.43     | 0.00%             | 2036-08-15      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LTM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20932 | PA      | $20851.01      | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3014, Class OD                                                                                      | CUSIP: 31395XBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23235 | PA      | $20293.44      | 0.00%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7JB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31701 | PA      | $32175.49      | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2399, Class TH                                                                                      | CUSIP: 31339MWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56502 | PA      | $59100.59      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A1                                                         | CUSIP: 59020USH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     352354 | PA      | $313486.99     | 0.00%             | 2035-02-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                               | Entergy Mississippi LLC                                                                                                  | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |   12395000 | PA      | $12291482.54   | 0.02%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-2, Class A                                                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15882428 | PA      | $14974812.28   | 0.03%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class MC                                                                                      | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53886 | PA      | $56285.44      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L5FA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4725640 | PA      | $4707294.34    | 0.01%             | 2025-12-01      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-134, Class ST                                                                                          | CUSIP: 38382JEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40180888 | PA      | $967531.67     | 0.00%             | 2050-09-20      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31408G4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157357 | PA      | $162726.61     | 0.00%             | 2035-10-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2981, Class FA                                                                                      | CUSIP: 31395U5N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127899 | PA      | $127241.84     | 0.00%             | 2035-05-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-79, Class CS                                                                                           | CUSIP: 38375YNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     363408 | PA      | $362757.28     | 0.00%             | 2035-06-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    9695000 | PA      | $6326368.51    | 0.01%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H15, Class FJ                                                                                          | CUSIP: 38376RDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2981669 | PA      | $2980308.88    | 0.01%             | 2065-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2017-H08, Class XI                                                                                          | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21498269 | PA      | $917062.39     | 0.00%             | 2067-03-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   24880000 | PA      | $25442086.72   | 0.05%             | 2029-01-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 262, Class 35                                                                                      | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11290140 | PA      | $10633791.17   | 0.02%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M50, Class X1                                                                                     | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  161207632 | PA      | $6272734.05    | 0.01%             | 2030-10-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H01, Class FA                                                                                          | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        261 | PA      | $236.09        | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   47268208 | PA      | $42449180.10   | 0.08%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JWR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3280261 | PA      | $3107762.79    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-62, Class 1A1                                          | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1364041 | PA      | $1250996.13    | 0.00%             | 2044-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VYMD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8033778 | PA      | $8312931.01    | 0.02%             | 2071-09-20      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                        | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1                                               | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     233652 | PA      | $223471.90     | 0.00%             | 2034-10-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   13630000 | PA      | $14064954.43   | 0.03%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Aon North America, Inc.                                               | Aon North America, Inc.                                                                                                  | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9050000 | PA      | $8864907.95    | 0.02%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3029, Class SO                                                                                      | CUSIP: 31396AH64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70860 | PA      | $65531.42      | 0.00%             | 2035-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-18, Class SP                                                                                    | CUSIP: 31396YXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88044 | PA      | $86122.26      | 0.00%             | 2038-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $15633011.81   | 0.03%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL                                              | JBS USA Holding Lux SARL                                                                                                 | CUSIP: 46590XAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   15000000 | PA      | $14098737.00   | 0.03%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   16715000 | PA      | $17355215.76   | 0.03%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  105457727 | PA      | $86912413.29   | 0.17%             | 2032-10-01      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 365, Class 8                                                                                        | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123852 | PA      | $22532.33      | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44067151 | PA      | $46067918.21   | 0.09%             | 2072-03-20      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21845272 | PA      | $21173367.95   | 0.04%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   22315000 | PA      | $22984628.52   | 0.04%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JRPE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     245242 | PA      | $250990.02     | 0.00%             | 2033-05-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M1G, Class A2                                                                                     | CUSIP: 3136BLRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28657084 | PA      | $24837057.45   | 0.05%             | 2031-09-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-13, Class SJ                                                                                    | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68416 | PA      | $1207.12       | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31409JVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89809 | PA      | $91702.59      | 0.00%             | 2036-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9263000 | PA      | $9459120.77    | 0.02%             | 2029-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                            | DOC DR LLC                                                                                                               | CUSIP: 71951QAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2088526.02    | 0.00%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75151 | PA      | $77042.29      | 0.00%             | 2035-04-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128MXST7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26460 | PA      | $26703.85      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-58, Class WA                                                                                    | CUSIP: 31397UZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153783 | PA      | $151338.26     | 0.00%             | 2051-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                         | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    8002000 | PA      | $7846695.42    | 0.02%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                         | Citigroup Mortgage Loan Trust, Series 2009-10, Class 1A1                                                                 | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170051 | PA      | $169911.27     | 0.00%             | 2033-09-25      | Variable      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416YFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211293 | PA      | $221550.87     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class OK                                                                                      | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68651 | PA      | $60011.68      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5389037 | PA      | $5663477.28    | 0.01%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A1, Class 2A1                                                                  | CUSIP: 161630AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122407 | PA      | $117302.31     | 0.00%             | 2037-02-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQLH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2928685 | PA      | $2926061.34    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    5046000 | PA      | $4291365.75    | 0.01%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H14, Class FC                                                                                          | CUSIP: 38375B3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128543 | PA      | $128507.28     | 0.00%             | 2063-06-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Lendingpoint SPE Trust                                                | Lendingpoint SPE Trust, Series 2020-VFN1, Class A1B                                                                      | CUSIP: 52607AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     852405 | PA      | $843710.51     | 0.00%             | 2026-12-15      | Floating      | 9.21%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-71, Class AP                                                                                    | CUSIP: 31392FES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16262 | PA      | $16122.70      | 0.00%             | 2032-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    4342000 | PA      | $4341055.83    | 0.01%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2023-SFR2, Class E1                                                                                   | CUSIP: 00178YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11900000 | PA      | $11296578.37   | 0.02%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2023-M8, Class A2                                                                                      | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71539958 | PA      | $71967817.03   | 0.14%             | 2033-03-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                           | Toronto-Dominion Bank (The)                                                                                              | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   25100000 | PA      | $26098767.15   | 0.05%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     740878 | PA      | $720163.46     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HNPF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3968659 | PA      | $4076607.58    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA, Grantor Trust                                                   | FNMA, Grantor Trust, Series 2017-T1, Class A                                                                             | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85696510 | PA      | $83813457.75   | 0.16%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4A45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99351 | PA      | $103220.98     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10457041 | PA      | $10743193.68   | 0.02%             | 2030-03-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   12507000 | PA      | $10133061.34   | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                 | Gray Oak Pipeline LLC                                                                                                    | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12470000 | PA      | $12271260.75   | 0.02%             | 2027-10-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412BWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102543 | PA      | $104393.24     | 0.00%             | 2036-09-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-5                                                                           | CUSIP: 693342AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2170000 | PA      | $1876035.66    | 0.00%             | 2051-12-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MDRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9388732 | PA      | $8206611.68    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2005-6, Class 2A7                                                                  | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104669 | PA      | $94382.45      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    8210000 | PA      | $6664269.31    | 0.01%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LE4K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8910201 | PA      | $8157738.89    | 0.02%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Triad Holdings III LLC                                                | Triad Holdings III LLC                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   66587272 | PA      | $66587272.06   | 0.13%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Jonah Energy Abs I LLC                                                | Jonah Energy ABS LLC, Series 2022-1, Class B                                                                             | CUSIP: 47987EAD9<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   40349290 | PA      | $40659979.78   | 0.08%             | 2039-08-10      | Fixed         | 7.62%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S42Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133716 | PA      | $136918.00     | 0.00%             | 2037-05-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14180000 | PA      | $13071511.26   | 0.03%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2021-1, Class B                                                             | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8819130 | PA      | $8450725.84    | 0.02%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                     | ONEOK Partners LP                                                                                                        | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    1825000 | PA      | $1976889.84    | 0.00%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                                        | Smurfit Westrock Financing DAC                                                                                           | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    5760000 | PA      | $5864712.77    | 0.01%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Acrc                                                                  | Acrc                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   24666667 | PA      | $24008066.66   | 0.05%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PG&E Recovery Funding LLC                                             | PG&E Recovery Funding LLC, Series A-3                                                                                    | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26600000 | PA      | $26202452.89   | 0.05%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138XMJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1777778 | PA      | $1705706.13    | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3150000 | PA      | $2831094.95    | 0.01%             | 2045-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410GAM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20112 | PA      | $20550.77      | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   29115000 | PA      | $30384144.40   | 0.06%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   12950000 | PA      | $12214607.18   | 0.02%             | 2028-01-10      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HGBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18048742 | PA      | $15019108.35   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    9180000 | PA      | $9449367.55    | 0.02%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YLKF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12782130 | PA      | $11771834.31   | 0.02%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                            | CPS Auto Receivables Trust, Series 2022-D, Class C                                                                       | CUSIP: 12663UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9159750 | PA      | $9244279.84    | 0.02%             | 2029-01-16      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26043000 | PA      | $26067827.31   | 0.05%             | 2033-10-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2017-1, Class A                                                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    5319506 | PA      | $5013694.14    | 0.01%             | 2030-01-15      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2002-18                                                                          | CUSIP: 12669C7X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28965 | PA      | $23021.41      | 0.00%             | 2032-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFRD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4501046 | PA      | $4343299.73    | 0.01%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-94, Class GK                                                                                    | CUSIP: 31396K4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3604 | PA      | $3765.16       | 0.00%             | 2026-10-25      | Floating      | 10.94%                | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KSL1, Class B                                                                          | CUSIP: 30295VAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10011000 | PA      | $9947889.65    | 0.02%             | 2025-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4DJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96278 | PA      | $98668.86      | 0.00%             | 2036-09-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    7096000 | PA      | $6321797.73    | 0.01%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    6522000 | PA      | $5954918.88    | 0.01%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1184000 | PA      | $1209179.09    | 0.00%             | 2031-02-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    6940000 | PA      | $6270670.10    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   13240000 | PA      | $13498272.68   | 0.03%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                          | Brooklyn Union Gas Co. (The)                                                                                             | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $5041601.24    | 0.01%             | 2048-03-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                                                                         | CUSIP: 50205YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16785000 | PA      | $16797437.69   | 0.03%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1184000 | PA      | $1152868.93    | 0.00%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-90, Class ES                                                                                    | CUSIP: 31394FVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68457 | PA      | $72348.52      | 0.00%             | 2035-10-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2075, Class PM                                                                                      | CUSIP: 3133TGCK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44221 | PA      | $44723.64      | 0.00%             | 2028-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                           | Prologis LP                                                                                                              | CUSIP: 74340XBM2<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    3830000 | PA      | $3521930.66    | 0.01%             | 2030-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    2426000 | PA      | $2377198.27    | 0.00%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2021-B, Class A                                                                           | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11690865 | PA      | $11436286.36   | 0.02%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5955000 | PA      | $5896473.13    | 0.01%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71728 | PA      | $74174.32      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAUG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32273321 | PA      | $29289952.75   | 0.06%             | 2070-10-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                              | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class A                                                        | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   22973000 | PA      | $23704605.05   | 0.05%             | 2030-06-20      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   21875000 | PA      | $24150185.50   | 0.05%             | 2034-10-19      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    6266000 | PA      | $6419062.21    | 0.01%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2434, Class ZA                                                                                      | CUSIP: 3133TVUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132626 | PA      | $134424.32     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                 | Pagaya AI Technology in Housing Trust, Series 2023-1, Class C                                                            | CUSIP: 69547YAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $7559009.60    | 0.01%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class WN                                                                                     | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1938043 | PA      | $189719.26     | 0.00%             | 2036-03-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F022691<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  366195000 | PA      | $303992066.32  | 0.59%             | 2055-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2023-40                                                                                              | CUSIP: 3136BQGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14838828 | PA      | $12296028.36   | 0.02%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-H14, Class BF                                                                                          | CUSIP: 38382YDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7914299 | PA      | $8067357.45    | 0.02%             | 2071-09-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma, Series G                                                                                 | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    3901000 | PA      | $4266097.16    | 0.01%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ADH7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3016326.72    | 0.01%             | 2031-09-26      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                        | Long Beach Mortgage Loan Trust, Series 2004-3, Class M1                                                                  | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     181396 | PA      | $179677.52     | 0.00%             | 2034-07-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes Trust                                           | Tricon American Homes Trust, Series 2019-SFR1, Class E                                                                   | CUSIP: 89612LAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11000000 | PA      | $10886942.00   | 0.02%             | 2038-03-17      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31406H7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78711 | PA      | $78326.76      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  248957000 | PA      | $242840049.33  | 0.47%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class DT                                                                                      | CUSIP: 3137A0Y41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1473339 | PA      | $1586769.59    | 0.00%             | 2036-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-39, Class ZA                                                                                    | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     962199 | PA      | $1002038.78    | 0.00%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43127602 | PA      | $36168553.42   | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24452 | PA      | $24663.79      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  315775000 | PA      | $332649226.56  | 0.65%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-52, Class AP                                                                                           | CUSIP: 38373QR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95358 | PA      | $84982.48      | 0.00%             | 2033-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60280000 | PA      | $51404220.29   | 0.10%             | 2034-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co., Series FFF                                                                                 | CUSIP: 797440BJ2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     973000 | PA      | $1026917.72    | 0.00%             | 2037-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2023-1A, Class D                                                                        | CUSIP: 67571BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10792000 | PA      | $11271207.97   | 0.02%             | 2030-03-20      | Fixed         | 7.76%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12550000 | PA      | $12454992.61   | 0.02%             | 2026-02-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                              | Bimbo Bakeries USA, Inc.                                                                                                 | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    5080000 | PA      | $5080000.00    | 0.01%             | 2036-01-09      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  567895000 | PA      | $449944986.01  | 0.88%             | 2031-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                               | Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AX                                                        | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14868990 | PA      | $2969.34       | 0.00%             | 2049-01-15      | Variable      | 0.03%                 | Yes           |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                                 | Cheniere Energy, Inc.                                                                                                    | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |   13830000 | PA      | $14118062.03   | 0.03%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3147                                                                                                | CUSIP: 31396NLC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124594 | PA      | $114223.79     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    8500000 | PA      | $8577052.08    | 0.02%             | 2027-05-09      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617H9YZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6394423 | PA      | $6489750.94    | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XNAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16644127 | PA      | $14560998.32   | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138MN2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     683893 | PA      | $670272.75     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAA38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1198920 | PA      | $1163142.56    | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128Q3NB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76686 | PA      | $79078.93      | 0.00%             | 2036-05-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-4, Class SD                                                                                     | CUSIP: 31396YEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1366765 | PA      | $129749.69     | 0.00%             | 2038-02-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AY3<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   15800000 | PA      | $15953648.21   | 0.03%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30288 | PA      | $31189.65      | 0.00%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                            | DOC DR LLC                                                                                                               | CUSIP: 71951QAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4502325.92    | 0.01%             | 2027-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                             | Florida Power & Light Co.                                                                                                | CUSIP: 341081GL5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    5440000 | PA      | $5578691.55    | 0.01%             | 2033-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Eni USA, Inc.                                                         | Eni USA, Inc.                                                                                                            | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4040000 | PA      | $4296986.14    | 0.01%             | 2027-11-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                  | Glencore Funding LLC                                                                                                     | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   16105000 | PA      | $14701630.27   | 0.03%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  261915000 | PA      | $209880420.29  | 0.41%             | 2031-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   21675000 | PA      | $22087989.16   | 0.04%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-52, Class KB                                                                                    | CUSIP: 313921KW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14663 | PA      | $15018.84      | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                  | FHLB                                                                                                                     | CUSIP: 3130AL5Y6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   40000000 | PA      | $30807890.00   | 0.06%             | 2036-02-11      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A5                                                            | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      30752 | PA      | $29497.33      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2230, Class Z                                                                                       | CUSIP: 3133TNSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15570 | PA      | $16142.48      | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6157545 | PA      | $5166764.86    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    7990000 | PA      | $8247906.25    | 0.02%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3740, Class SB                                                                                      | CUSIP: 3137GARP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     704457 | PA      | $63240.67      | 0.00%             | 2040-10-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-43, Class FD                                                                                    | CUSIP: 31398RCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165616 | PA      | $165251.77     | 0.00%             | 2040-05-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   10982000 | PA      | $10897780.80   | 0.02%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-21, Class LO                                                                                    | CUSIP: 31392CNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3647 | PA      | $3185.96       | 0.00%             | 2032-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3608, Class SC                                                                                      | CUSIP: 31398LQC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226202 | PA      | $20136.59      | 0.00%             | 2039-12-15      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    2145000 | PA      | $1842942.73    | 0.00%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14822556 | PA      | $12457284.67   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG3C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3847880 | PA      | $3805032.05    | 0.01%             | 2032-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                 | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   64665000 | PA      | $46627205.22   | 0.09%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3860, Class PZ                                                                                      | CUSIP: 3137AAYT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8843799 | PA      | $8956678.45    | 0.02%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M1S, Class A2                                                                                     | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48740000 | PA      | $42644331.90   | 0.08%             | 2032-04-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   18415000 | PA      | $18760970.89   | 0.04%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W5                                                                            | CUSIP: 31396WLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80559 | PA      | $65412.30      | 0.00%             | 2037-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   37800000 | PA      | $39302478.56   | 0.08%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   10980000 | PA      | $9515114.50    | 0.02%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2802, Class OH                                                                                      | CUSIP: 31394YPD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108617 | PA      | $111877.84     | 0.00%             | 2034-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1758000 | PA      | $1627602.71    | 0.00%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H21, Class CF                                                                                          | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4119 | PA      | $4121.46       | 0.00%             | 2061-05-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   12150000 | PA      | $11919901.23   | 0.02%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-3A, Class C                                                                             | CUSIP: 23345WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10148846.00   | 0.02%             | 2029-05-15      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200QW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     151702 | PA      | $156734.35     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJDH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10701945 | PA      | $11241571.67   | 0.02%             | 2032-12-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A3                                                               | CUSIP: 31393YU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519332 | PA      | $535749.77     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31414UW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354687 | PA      | $367469.84     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp.                                               | Boston Scientific Corp.                                                                                                  | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    5011000 | PA      | $4742288.58    | 0.01%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W6, Class 2A4                                                                        | CUSIP: 31393BU52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1239051 | PA      | $1233761.84    | 0.00%             | 2042-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $2612845.56    | 0.01%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Bank of New Zealand                                                   | Bank of New Zealand                                                                                                      | CUSIP: 06407EAH8<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |   16360000 | PA      | $16841539.42   | 0.03%             | 2029-01-30      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAC7<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    5540000 | PA      | $4281423.08    | 0.01%             | 2049-10-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H08, Class FC                                                                                          | CUSIP: 38375UVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8485993 | PA      | $8485942.11    | 0.02%             | 2065-03-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828M56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  110049000 | PA      | $109601925.94  | 0.21%             | 2025-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H26, Class MA                                                                                          | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38802 | PA      | $38758.26      | 0.00%             | 2062-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                                         | BAT International Finance plc                                                                                            | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   11000000 | PA      | $10830570.96   | 0.02%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-102, Class PN                                                                                   | CUSIP: 31398NAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     603172 | PA      | $616706.91     | 0.00%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    6820000 | PA      | $6408673.11    | 0.01%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QGMA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136104 | PA      | $139003.38     | 0.00%             | 2037-02-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                      | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M7                                               | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |    7491444 | PA      | $7591373.20    | 0.01%             | 2054-07-25      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                         | AIB Group plc                                                                                                            | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   33860000 | PA      | $35200821.46   | 0.07%             | 2035-03-28      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3361000 | PA      | $3192407.57    | 0.01%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8307371 | PA      | $7261554.06    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 3138LYTT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290395 | PA      | $285048.07     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Children's Hospital                                                   | Children's Hospital, Series 2020                                                                                         | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |   13680000 | PA      | $8568919.03    | 0.02%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                          | FirstEnergy Transmission LLC                                                                                             | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     830000 | PA      | $688539.70     | 0.00%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NUBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86466 | PA      | $88897.61      | 0.00%             | 2036-10-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class NT                                                                                   | CUSIP: 3136A1Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2484107 | PA      | $2655516.69    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cleveland Electric Illuminating Co. (The)                             | Cleveland Electric Illuminating Co. (The)                                                                                | CUSIP: 186108CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     840000 | PA      | $875481.86     | 0.00%             | 2036-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2004-W10, Class A6                                                                 | CUSIP: 31394ALV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1362624 | PA      | $1381681.72    | 0.00%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    6890000 | PA      | $4721046.81    | 0.01%             | 2061-03-22      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2234, Class PZ                                                                                      | CUSIP: 3133TNXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16431 | PA      | $17170.95      | 0.00%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   31110000 | PA      | $27705326.58   | 0.05%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18035320 | PA      | $17828263.27   | 0.03%             | 2033-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class AM                                          | CUSIP: 3137FEBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $18784446.90   | 0.04%             | 2027-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A                                                                  | CUSIP: 31393AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55993 | PA      | $56708.65      | 0.00%             | 2042-10-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   80049210 | PA      | $66628197.85   | 0.13%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                                    | Puget Energy, Inc.                                                                                                       | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   11300000 | PA      | $11493836.58   | 0.02%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7883000 | PA      | $6541489.11    | 0.01%             | 2033-09-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-58, Class MB                                                                                    | CUSIP: 31398RYR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1940106 | PA      | $1993500.12    | 0.00%             | 2040-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAZ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    3950000 | PA      | $3835236.74    | 0.01%             | 2043-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  218300000 | PA      | $205969459.85  | 0.40%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337S3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  122788000 | PA      | $91657630.80   | 0.18%             | 2032-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297APY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175309 | PA      | $178963.52     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                           | Nationwide Building Society                                                                                              | CUSIP: 63861VAN7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   22695000 | PA      | $23119588.50   | 0.05%             | 2036-07-14      | Variable      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   16452000 | PA      | $10734906.31   | 0.02%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   16739000 | PA      | $16369731.30   | 0.03%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     924470 | PA      | $868452.89     | 0.00%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                      | McDonald's Corp.                                                                                                         | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    6540000 | PA      | $6439399.37    | 0.01%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                        | Carvana Auto Receivables Trust, Series 2023-P4, Class A4                                                                 | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16476000 | PA      | $17125513.58   | 0.03%             | 2029-09-10      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-21, Class PE                                                                                    | CUSIP: 31392CPT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52679 | PA      | $54979.71      | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NVNH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15307000 | PA      | $15722193.34   | 0.03%             | 2030-08-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34969613 | PA      | $36268059.40   | 0.07%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   13720000 | PA      | $14280811.59   | 0.03%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class C                                                        | CUSIP: 826943AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2572943 | PA      | $2640830.26    | 0.01%             | 2040-01-20      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     726976 | PA      | $774225.84     | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2436, Class MC                                                                                      | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21360 | PA      | $21785.43      | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1890, Class H                                                                                       | CUSIP: 3133T85L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        599 | PA      | $600.53        | 0.00%             | 2026-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLTP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7554000 | PA      | $7882374.72    | 0.02%             | 2031-02-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   36630000 | PA      | $38248988.12   | 0.07%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H15                                                                                                    | CUSIP: 38380QJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41280126 | PA      | $2488626.04    | 0.00%             | 2070-08-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3                                                              | CUSIP: 17307GCA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       7742 | PA      | $5452.83       | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                               | Pfizer Investment Enterprises Pte. Ltd.                                                                                  | CUSIP: 716973AE2<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |   15300000 | PA      | $15330599.08   | 0.03%             | 2033-05-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2968, Class EH                                                                                      | CUSIP: 31395RQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2587687 | PA      | $2678496.74    | 0.01%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2929, Class MS                                                                                      | CUSIP: 31395MB65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113637 | PA      | $120923.40     | 0.00%             | 2035-02-15      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2475, Class S                                                                                       | CUSIP: 31392RB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162118 | PA      | $17340.43      | 0.00%             | 2032-02-15      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   17890000 | PA      | $18390325.52   | 0.04%             | 2031-05-13      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   15002000 | PA      | $15262667.85   | 0.03%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64782 | PA      | $66924.46      | 0.00%             | 2034-10-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-2, Class AA                                                              | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1122521 | PA      | $1065858.01    | 0.00%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2006-A3, Class 6A1                                                                       | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95459 | PA      | $94636.89      | 0.00%             | 2034-08-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                                           | Huntington Bancshares, Inc.                                                                                              | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   17160000 | PA      | $17691107.66   | 0.03%             | 2031-01-15      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302017 | PA      | $314174.32     | 0.00%             | 2036-10-01      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| Baxalta, Inc.                                                         | Baxalta, Inc.                                                                                                            | CUSIP: 07177MAN3<br>LEI: 5493000JW8DCO3T45R55 | Long             | DBT              | CORP              | US        |     327000 | PA      | $305196.09     | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9350000 | PA      | $7122950.33    | 0.01%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XFGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   62691417 | PA      | $52075927.52   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-101, Class A2                                                                       | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1375906 | PA      | $1388431.53    | 0.00%             | 2036-06-27      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-29, Class J                                                                                     | CUSIP: 31359PFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4815 | PA      | $4858.20       | 0.00%             | 2027-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LLQX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18531976 | PA      | $18076216.64   | 0.04%             | 2027-12-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                                     | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1                                                           | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24975000 | PA      | $25010674.29   | 0.05%             | 2040-09-25      | Variable      | 5.39%                 | Yes           |                  3 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A1, Class 1A3                                                                  | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43059 | PA      | $42999.00      | 0.00%             | 2037-02-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AS4<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5090503.90    | 0.01%             | 2033-06-01      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class QS                                                                                      | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86092 | PA      | $92923.13      | 0.00%             | 2032-02-15      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                   | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MTU                                                            | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   68275983 | PA      | $59312261.56   | 0.12%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1840000 | PA      | $1647420.93    | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2004-S1, Class 1A7                                                                       | CUSIP: 466247ER0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18695 | PA      | $17887.09      | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                      | Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class A                                                 | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   60885000 | PA      | $61050850.74   | 0.12%             | 2030-10-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates  | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-37A, Class 2A                          | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     308481 | PA      | $304100.01     | 0.00%             | 2033-12-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H26, Class JA                                                                                          | CUSIP: 38375BYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        937 | PA      | $934.00        | 0.00%             | 2061-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122191 | PA      | $124792.73     | 0.00%             | 2037-01-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   14995000 | PA      | $15777348.83   | 0.03%             | 2036-01-14      | Variable      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1304950000 | PA      | $1345627744.81 | 2.62%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34130 | PA      | $34255.54      | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   11274000 | PA      | $10657552.00   | 0.02%             | 2030-09-13      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                                                  | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113286 | PA      | $113769.99     | 0.00%             | 2042-12-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Hornbeck Offshore Services LLC                                        | Hornbeck Offshore Services LLC                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   46825160 | PA      | $46825160.00   | 0.09%             | 2044-01-01      | Fixed         | 8.90%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-82                                                                                                     | CUSIP: 38374MBR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101079 | PA      | $85190.17      | 0.00%             | 2035-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-1, Class SD                                                                                     | CUSIP: 31396PHH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72928 | PA      | $123703.11     | 0.00%             | 2037-02-25      | Floating      | 12.22%                | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2017-2, Class A                                                             | CUSIP: 02377CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6938158 | PA      | $6577680.08    | 0.01%             | 2029-10-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust        | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2003-MS7, Class P                                 | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        175 | PA      | $141.20        | 0.00%             | 2033-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2025-C, Class B                                                                           | CUSIP: 68378RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23150000 | PA      | $23222804.44   | 0.05%             | 2033-07-08      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                    | Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class 1A2                                                           | CUSIP: 94985GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79706 | PA      | $69751.89      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46497 | PA      | $46996.28      | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-78, Class BZ                                                                                    | CUSIP: 31396KDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72133 | PA      | $76846.67      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138MSDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2374565 | PA      | $2152589.29    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  167615000 | PA      | $131255763.12  | 0.26%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    6745000 | PA      | $6773084.49    | 0.01%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QPNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332928 | PA      | $342478.23     | 0.00%             | 2036-09-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Alleghany Corp.                                                       | Alleghany Corp.                                                                                                          | CUSIP: 017175AE0<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |    8945000 | PA      | $8723202.28    | 0.02%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                  | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11250000 | PA      | $11908921.84   | 0.02%             | 2033-11-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LASW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3262534 | PA      | $3069976.08    | 0.01%             | 2035-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-3                                                                                     | CUSIP: 78433LAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7950000 | PA      | $5302902.17    | 0.01%             | 2043-11-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6276 | PA      | $6295.23       | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Honeywell International, Inc.                                         | Honeywell International, Inc.                                                                                            | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   23400000 | PA      | $21761221.72   | 0.04%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16584 | PA      | $16945.27      | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                     | Structured Asset Securities Corp., Series 2005-RF3, Class 1A                                                             | CUSIP: 86359DMC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295882 | PA      | $253759.09     | 0.00%             | 2035-06-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2835, Class QO                                                                                      | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13123 | PA      | $11739.34      | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334U1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  149800000 | PA      | $113183654.98  | 0.22%             | 2032-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A9FU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2377949 | PA      | $1978740.84    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2004-6F, Class 2A4                                                                       | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153275 | PA      | $155715.94     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29502929 | PA      | $29171147.89   | 0.06%             | 2028-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   29565000 | PA      | $31030616.88   | 0.06%             | 2029-06-08      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-80, Class SA                                                                                    | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     465571 | PA      | $39607.25      | 0.00%             | 2038-09-25      | Floating      | 1.39%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132E0P55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33714798 | PA      | $28550328.48   | 0.06%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                   | Union Pacific Corp.                                                                                                      | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    1962000 | PA      | $1429238.95    | 0.00%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-97, Class SA                                                                                           | CUSIP: 38374EVW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95989 | PA      | $449.26        | 0.00%             | 2033-11-16      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   11965000 | PA      | $11477817.51   | 0.02%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                      | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1                                                             | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     263182 | PA      | $256912.03     | 0.00%             | 2030-06-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418D7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5872084 | PA      | $5127299.84    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   11682000 | PA      | $6998218.92    | 0.01%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L74G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4743044 | PA      | $4480569.89    | 0.01%             | 2034-11-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-70, Class Z                                                                                     | CUSIP: 31396WRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431286 | PA      | $453165.51     | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-51, Class SY                                                                                    | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35139 | PA      | $36028.66      | 0.00%             | 2034-07-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H18, Class NA                                                                                          | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147535 | PA      | $147505.95     | 0.00%             | 2062-08-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Jonah Energy ABS II LLC                                               | Jonah Energy ABS LLC, Series 2025-1A, Class A1                                                                           | CUSIP: 479913AD7<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   55050455 | PA      | $55782626.14   | 0.11%             | 2040-12-10      | Fixed         | 6.59%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y92F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10425064 | PA      | $9601113.43    | 0.02%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H15, Class FD                                                                                          | CUSIP: 38376RDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2033747 | PA      | $2032570.63    | 0.00%             | 2065-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51449 | PA      | $54212.07      | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Virginia Power Fuel Securitization LLC                                | Virginia Power Fuel Securitization LLC, Series A-2                                                                       | CUSIP: 92808VAB8<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |    8150000 | PA      | $8303156.59    | 0.02%             | 2031-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H02, Class MI                                                                                          | CUSIP: 38380LW58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37715746 | PA      | $2167588.06    | 0.00%             | 2070-01-20      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| PRET Trust                                                            | PRET Trust, Series 2024-RPL2, Class A1                                                                                   | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17983943 | PA      | $17273078.74   | 0.03%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3523, Class SD                                                                                      | CUSIP: 31398CGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72651 | PA      | $75386.10      | 0.00%             | 2036-06-15      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5600728 | PA      | $5401489.41    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607                                                                                                | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     674781 | PA      | $561223.22     | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2024-SFR5, Class C                                                                    | CUSIP: 74332HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15640000 | PA      | $14671591.53   | 0.03%             | 2029-08-09      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QSAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14039267 | PA      | $13913252.07   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  179791051 | PA      | $159280491.79  | 0.31%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440113 | PA      | $455974.18     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3260, Class CS                                                                                      | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112963 | PA      | $10528.48      | 0.00%             | 2037-01-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M8, Class A2                                                                                      | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27845543 | PA      | $27435612.15   | 0.05%             | 2028-06-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-7, Class C                                                           | CUSIP: 80287FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13325000 | PA      | $13602170.66   | 0.03%             | 2031-03-17      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Engie SA                                                              | Engie SA                                                                                                                 | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |   13225000 | PA      | $13705913.90   | 0.03%             | 2034-04-10      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53280000 | PA      | $54052143.88   | 0.11%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAK3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   13418000 | PA      | $13795892.07   | 0.03%             | 2030-01-10      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5863374 | PA      | $5133527.67    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K737, Class B                                                                          | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $9830037.00    | 0.02%             | 2053-01-25      | Variable      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLQZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16368000 | PA      | $16370451.60   | 0.03%             | 2033-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Goodman US Finance Three LLC                                          | Goodman US Finance Three LLC                                                                                             | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5157000 | PA      | $5084502.95    | 0.01%             | 2028-03-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| Ohio State University (The)                                           | Ohio State University (The), General Receipts, Series 2011A                                                              | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |    9576000 | PA      | $7869372.94    | 0.02%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LC5C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9225000 | PA      | $7747353.80    | 0.02%             | 2033-08-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                    | Essex Portfolio LP                                                                                                       | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    6190000 | PA      | $6388482.66    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                                          | Mondelez International, Inc.                                                                                             | CUSIP: 609207AW5<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |   12690000 | PA      | $7440516.66    | 0.01%             | 2050-09-04      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| New York State Electric & Gas Corp.                                   | New York State Electric & Gas Corp.                                                                                      | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |    2326000 | PA      | $2298387.89    | 0.00%             | 2026-12-01      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26884TAZ5<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    7330000 | PA      | $7493916.54    | 0.01%             | 2034-10-30      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCV LLC                                                          | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                                                 | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2540958 | PA      | $2540159.58    | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| County of Franklin OH                                                 | County of Franklin, Hospital Facilities, Nationwide Children's Hospital Project                                          | CUSIP: 353187EV5<br>LEI: 549300VCBUC1RZE7KL42 | Long             | DBT              | MUN               | US        |    4675000 | PA      | $2944090.60    | 0.01%             | 2050-11-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                  | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A2                                           | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36342 | PA      | $36986.20      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                                               | Purewest ABS Issuer LLC, Series 2025-1, Class A2                                                                         | CUSIP: 74628AAB0<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |   95555158 | PA      | $97189151.09   | 0.19%             | 2040-04-05      | Fixed         | 6.53%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-42, Class S                                                                                     | CUSIP: 31398PSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157688 | PA      | $13787.56      | 0.00%             | 2040-05-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Reference REMIC, Series R006, Class ZA                                                                            | CUSIP: 31396JT21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     849244 | PA      | $900925.50     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-1, Class B                                                               | CUSIP: 90933HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1076135 | PA      | $1068078.87    | 0.00%             | 2026-01-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   19600000 | PA      | $20059407.93   | 0.04%             | 2035-12-03      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3453, Class B                                                                                       | CUSIP: 31397THP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72289 | PA      | $74071.83      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9615000 | PA      | $9395676.08    | 0.02%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-115, Class ES                                                                                   | CUSIP: 31396LT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6827 | PA      | $7653.10       | 0.00%             | 2036-12-25      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   19270000 | PA      | $21103469.01   | 0.04%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31404J3N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204287 | PA      | $204468.31     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1987, Class PE                                                                                      | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7653 | PA      | $7721.50       | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2021-M3, Class X1                                                                                      | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  133413015 | PA      | $8602111.02    | 0.02%             | 2033-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                           | Ocwen Loan Investment Trust, Series 2024-HB1, Class A                                                                    | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5343213 | PA      | $5257155.94    | 0.01%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class BKW1                                                             | CUSIP: 12529YBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14340000 | PA      | $13966729.80   | 0.03%             | 2026-01-29      | Variable      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3793, Class AB                                                                                      | CUSIP: 3137A5DZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45678 | PA      | $45516.25      | 0.00%             | 2026-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                          | Santander Holdings USA, Inc.                                                                                             | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $14877083.48   | 0.03%             | 2035-05-31      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class CT                                                                                      | CUSIP: 3137A0XM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3305839 | PA      | $3535596.79    | 0.01%             | 2036-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09                                                                                                    | CUSIP: 38380QBM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41156172 | PA      | $2078279.67    | 0.00%             | 2070-05-20      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66242 | PA      | $68651.92      | 0.00%             | 2035-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                    | HERO Funding Trust, Series 2017-1A, Class A2                                                                             | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    5236966 | PA      | $5060753.21    | 0.01%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| Virginia Electric and Power Co.                                       | Virginia Electric and Power Co., Series A                                                                                | CUSIP: 927804FB5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2235681.74    | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2022-SFR3, Class D                                                                                    | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22000000 | PA      | $21363489.40   | 0.04%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2022-SFR1, Class E1                                                                                   | CUSIP: 00179WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   28018000 | PA      | $27558331.09   | 0.05%             | 2039-03-17      | Fixed         | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                                           | Sigeco Securitization I LLC, Series A1                                                                                   | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16336325 | PA      | $16611851.64   | 0.03%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H10, Class FC                                                                                          | CUSIP: 38376RAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $1.87          | 0.00%             | 2065-04-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                   | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1                                                          | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   43532202 | PA      | $42404078.09   | 0.08%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18182 | PA      | $18577.89      | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LYA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1165883 | PA      | $1124398.98    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                   | Suncor Energy, Inc.                                                                                                      | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    1997000 | PA      | $2160194.28    | 0.00%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| FHF Trust                                                             | FHF Trust, Series 2022-2A, Class A                                                                                       | CUSIP: 31568EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5077219 | PA      | $5098865.41    | 0.01%             | 2027-12-15      | Fixed         | 6.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-16, Class OA                                                                                    | CUSIP: 31394V4X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38744 | PA      | $34648.52      | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   10600000 | PA      | $9874927.88    | 0.02%             | 2039-04-22      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-57, Class 1A3                                          | CUSIP: 31394JDA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249195 | PA      | $269259.63     | 0.00%             | 2043-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405H4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42087 | PA      | $42797.21      | 0.00%             | 2034-08-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-60, Class JC                                                                                    | CUSIP: 31397LJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145518 | PA      | $148827.46     | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DTE Electric Securitization Funding II LLC                            | DTE Electric Securitization Funding II LLC, Series A-1                                                                   | CUSIP: 23346TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16370432 | PA      | $17228551.72   | 0.03%             | 2032-03-01      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY7A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2682123 | PA      | $2647762.74    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617FBML8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28859206 | PA      | $30476865.70   | 0.06%             | 2072-07-20      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   14745000 | PA      | $12975282.69   | 0.03%             | 2031-02-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                                            | MMAF Equipment Finance LLC, Series 2024-A, Class A4                                                                      | CUSIP: 55318CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18608400 | PA      | $19231604.62   | 0.04%             | 2049-07-13      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DWBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10981402 | PA      | $9570544.07    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    7083000 | PA      | $7202137.33    | 0.01%             | 2027-09-11      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                                  | Steel Dynamics, Inc.                                                                                                     | CUSIP: 858119BP4<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    3519000 | PA      | $2316140.42    | 0.00%             | 2050-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2023-4A, Class C                                                               | CUSIP: 362929AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19000000 | PA      | $19326971.00   | 0.04%             | 2029-08-15      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKMK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22856000 | PA      | $22948688.62   | 0.04%             | 2030-06-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-5A, Class C                                                             | CUSIP: 30167FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2431133 | PA      | $2435622.41    | 0.00%             | 2027-12-15      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| RT Fin LLC                                                            | RT Fin LLC                                                                                                               | CUSIP: 74983KAA9<br>LEI: 2549000QL0MZ8X7VL058 | Long             | ABS-O            | CORP              | US        |    8930813 | PA      | $9097953.40    | 0.02%             | 2043-10-15      | Fixed         | 7.85%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132HBRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     809787 | PA      | $759915.46     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class A                                                               | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   34969889 | PA      | $35088087.57   | 0.07%             | 2033-05-16      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust                             | SFS Auto Receivables Securitization Trust, Series 2024-1A, Class A3                                                      | CUSIP: 78435VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9356227 | PA      | $9407509.46    | 0.02%             | 2029-05-21      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1491000 | PA      | $1495066.45    | 0.00%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H19, Class FE                                                                                          | CUSIP: 38375UPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4680553 | PA      | $4680195.23    | 0.01%             | 2064-09-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406GDY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8310 | PA      | $8504.53       | 0.00%             | 2035-01-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M3, Class A2                                                                                      | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6780996 | PA      | $6637282.03    | 0.01%             | 2026-12-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   10000000 | PA      | $12455216.10   | 0.02%             | 2033-11-15      | Variable      | 9.02%                 | Yes           |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                                   | Amcor Flexibles North America, Inc.                                                                                      | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6143554.26    | 0.01%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                               | Eni SpA                                                                                                                  | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   14030000 | PA      | $13620170.37   | 0.03%             | 2054-05-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9X98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3586815 | PA      | $3512358.69    | 0.01%             | 2027-06-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HEDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1051141 | PA      | $1000717.47    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                    | State Street Corp.                                                                                                       | CUSIP: 857477CA9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    9010000 | PA      | $9045203.96    | 0.02%             | 2034-01-26      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   11526000 | PA      | $11909371.01   | 0.02%             | 2030-01-18      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 12                                                                                      | CUSIP: 31282YDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     281242 | PA      | $39192.82      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   14550000 | PA      | $8354716.94    | 0.02%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1435000 | PA      | $1595005.71    | 0.00%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138NJA73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4247293 | PA      | $4254981.55    | 0.01%             | 2026-12-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-4, Class A                                                                         | CUSIP: 48247QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5775441 | PA      | $84650.63      | 0.00%             | 2037-09-25      | Variable      | 1.02%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M5, Class A1                                                                                      | CUSIP: 3136BLN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14423276 | PA      | $13584649.33   | 0.03%             | 2034-01-01      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14012887 | PA      | $14424776.66   | 0.03%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40842159 | PA      | $34515609.38   | 0.07%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CK Hutchison International 16 Ltd.                                    | CK Hutchison International 16 Ltd.                                                                                       | CUSIP: 12563TAB6<br>LEI: 254900OULDVPV9SGEO05 | Long             | DBT              | CORP              | KY        |    6500000 | PA      | $6374290.00    | 0.01%             | 2026-10-03      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   21602000 | PA      | $23248253.86   | 0.05%             | 2034-01-10      | Variable      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    9791000 | PA      | $9703240.82    | 0.02%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22939943 | PA      | $20590777.78   | 0.04%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 1A4                                                 | CUSIP: 22541SU55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     358794 | PA      | $366554.68     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   41515000 | PA      | $43409684.40   | 0.08%             | 2035-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-2A, Class D                                                                             | CUSIP: 23346CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9358000 | PA      | $9599665.67    | 0.02%             | 2029-02-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403MXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158782 | PA      | $156055.16     | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mayo Clinic                                                           | Mayo Clinic, Series 2016                                                                                                 | CUSIP: 578454AD2<br>LEI: 5493001OHMD58DCY4635 | Long             | DBT              | CORP              | US        |    2975000 | PA      | $2358972.43    | 0.00%             | 2052-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  207900000 | PA      | $150654410.68  | 0.29%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y24W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24557529 | PA      | $22616715.87   | 0.04%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2981000 | PA      | $3291748.38    | 0.01%             | 2033-10-15      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Global Funding                                             | Corebridge Global Funding                                                                                                | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    4955000 | PA      | $4969324.46    | 0.01%             | 2032-08-21      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W15, Class 2AF                                                                       | CUSIP: 31394B2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330388 | PA      | $327259.22     | 0.00%             | 2044-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2021-3A, Class D                                                           | CUSIP: 96043JAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14568932 | PA      | $14517339.29   | 0.03%             | 2027-01-15      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1981, Class Z                                                                                       | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3577 | PA      | $3575.43       | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40000000 | PA      | $39554322.80   | 0.08%             | 2034-02-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2204, Class GB                                                                                      | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1829 | PA      | $206.88        | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan REMIC Trust                                         | Reperforming Loan REMIC Trust, Series 2005-R1, Class 2A                                                                  | CUSIP: 12669GXG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23610 | PA      | $12922.80      | 0.00%             | 2035-03-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    6035000 | PA      | $5979164.84    | 0.01%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNGD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1682755 | PA      | $1656171.26    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A3                                                              | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128441 | PA      | $123133.82     | 0.00%             | 2034-11-20      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12020000 | PA      | $8640830.98    | 0.02%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class BO                                                                                      | CUSIP: 31398LQM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     340864 | PA      | $298717.94     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241K3Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     326772 | PA      | $345047.74     | 0.00%             | 2035-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2023-4A, Class C                                                           | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12352000 | PA      | $12649870.95   | 0.02%             | 2028-11-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2006-W2, Class 2A                                                                         | CUSIP: 31395N5E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402991 | PA      | $412069.85     | 0.00%             | 2045-11-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36290T6X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44303 | PA      | $44957.55      | 0.00%             | 2037-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   28395000 | PA      | $28988884.55   | 0.06%             | 2034-04-21      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J7XD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4375628 | PA      | $4169803.53    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 310                                                                                                | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2650717 | PA      | $2041891.61    | 0.00%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                             | Consolidated Edison Co. of New York, Inc., Series 2017                                                                   | CUSIP: 209111FL2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    3355000 | PA      | $2563340.44    | 0.00%             | 2047-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust                | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2024-RTL1, Class A1                                       | CUSIP: 15169CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37151000 | PA      | $37499182.89   | 0.07%             | 2029-10-25      | Variable      | 6.89%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2208, Class PG                                                                                      | CUSIP: 3133TNFP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63050 | PA      | $65078.59      | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Southern Power Co.                                                    | Southern Power Co.                                                                                                       | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    7079000 | PA      | $6689839.27    | 0.01%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   52040000 | PA      | $53120444.07   | 0.10%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-123, Class LB                                                                                          | CUSIP: 38382HK41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10180909 | PA      | $8488628.01    | 0.02%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                        | AIA Group Ltd.                                                                                                           | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    7535000 | PA      | $5883026.60    | 0.01%             | 2040-09-16      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     425000 | PA      | $491313.26     | 0.00%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3779, Class Z                                                                                       | CUSIP: 3137A4FZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14957718 | PA      | $14882571.97   | 0.03%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3200                                                                                                | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110139 | PA      | $93943.41      | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Jonah Energy ABS II LLC                                               | Jonah Energy ABS LLC                                                                                                     | CUSIP: 479915AA8<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   25000000 | PA      | $25000000.00   | 0.05%             | 2041-01-10      | Fixed         | 5.91%                 | No            |                  3 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   11765000 | PA      | $11247835.07   | 0.02%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AK9<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    1392000 | PA      | $1173841.57    | 0.00%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JVR38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4249917 | PA      | $4019292.39    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3835000 | PA      | $3923810.66    | 0.01%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                          | MASTR Resecuritization Trust, Series 2005-PO, Class 3                                                                    | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60420 | PA      | $45617.31      | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   10194000 | PA      | $8305774.55    | 0.02%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK54                                                             | CUSIP: 12529YAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14570000 | PA      | $14283699.50   | 0.03%             | 2026-02-28      | Variable      | 1.86%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 20 Year                                                                                                      | CUSIP: 3132D9DH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5358563 | PA      | $5215243.35    | 0.01%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        385 | PA      | $404.30        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mutual of Omaha Cos. Global Funding                                   | Mutual of Omaha Cos. Global Funding                                                                                      | CUSIP: 62829D2A7<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |   18500000 | PA      | $18745903.48   | 0.04%             | 2026-07-27      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371MVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9094 | PA      | $9292.01       | 0.00%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  195000000 | PA      | $194931445.80  | 0.38%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   42640000 | PA      | $43615466.33   | 0.08%             | 2031-05-27      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M2S, Class A2                                                                                     | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56250000 | PA      | $54172198.13   | 0.11%             | 2032-08-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                          | Drive Auto Receivables Trust, Series 2025-1, Class D                                                                     | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9190000 | PA      | $9364709.25    | 0.02%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5709388 | PA      | $5547863.10    | 0.01%             | 2028-06-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class A2                                          | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14689000 | PA      | $14525858.09   | 0.03%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31381BJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3657 | PA      | $3740.34       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-27, Class J                                                                                     | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2544 | PA      | $2568.73       | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2796755.76    | 0.01%             | 2053-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2466, Class PH                                                                                      | CUSIP: 31392MN99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99961 | PA      | $104726.95     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3345648 | PA      | $3577226.07    | 0.01%             | 2032-01-10      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class A2                                          | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355000 | PA      | $352204.55     | 0.00%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Cottage Health Obligated Group                                        | Cottage Health Obligated Group, Series 2020                                                                              | CUSIP: 22170QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10450000 | PA      | $7167350.70    | 0.01%             | 2049-11-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDLZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7998000 | PA      | $7887178.51    | 0.02%             | 2026-06-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-79, Class SY                                                                                           | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     588260 | PA      | $2948.60       | 0.00%             | 2037-12-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                              | Electricite de France SA                                                                                                 | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |   19275000 | PA      | $20291972.90   | 0.04%             | 2034-04-22      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A                                           | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4729090 | PA      | $4301869.70    | 0.01%             | 2037-10-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2543, Class YX                                                                                      | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209641 | PA      | $219016.76     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BU7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   23420000 | PA      | $21078356.69   | 0.04%             | 2030-07-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H12, Class HI                                                                                          | CUSIP: 38380QED0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28070454 | PA      | $2363748.95    | 0.00%             | 2070-07-20      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-54CB, Class 1A2                                                                      | CUSIP: 12668ANU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2719443 | PA      | $152723.64     | 0.00%             | 2035-11-25      | Floating      | 0.41%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3233370 | PA      | $3298507.43    | 0.01%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   76853000 | PA      | $44364594.69   | 0.09%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404SLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99612 | PA      | $102267.08     | 0.00%             | 2034-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                     | Time Warner Cable Enterprises LLC                                                                                        | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3041000 | PA      | $3546746.70    | 0.01%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $4554279.54    | 0.01%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26990000 | PA      | $26256209.38   | 0.05%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-188, Class W                                                                                           | CUSIP: 38379HTQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     961313 | PA      | $970821.79     | 0.00%             | 2041-10-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3424, Class PI                                                                                      | CUSIP: 31397T4Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     478356 | PA      | $49746.92      | 0.00%             | 2038-04-15      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp.                                                     | NTT Finance Corp.                                                                                                        | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   15975000 | PA      | $16367475.56   | 0.03%             | 2035-07-16      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAAW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6999532 | PA      | $6694814.66    | 0.01%             | 2030-06-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc., Asset-Backed Certificates                                | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M2                                                           | CUSIP: 126671Z33<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2598 | PA      | $3186.88       | 0.00%             | 2034-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 10 Year Ultra Note                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      20984 | NC      | $14885534.56   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Eagle Funding Luxco Sarl                                              | Eagle Funding Luxco Sarl                                                                                                 | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   94917000 | PA      | $96298991.52   | 0.19%             | 2030-08-17      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1382000 | PA      | $1361133.18    | 0.00%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                        | Public Service Co. of Colorado                                                                                           | CUSIP: 744448CY5<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |   10460000 | PA      | $9516763.22    | 0.02%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-17                                                                                                     | CUSIP: 383742TE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86951 | PA      | $58.33         | 0.00%             | 2038-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-77, Class S                                                                                     | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20886 | PA      | $21597.75      | 0.00%             | 2032-12-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| WW Grainger, Inc.                                                     | WW Grainger, Inc.                                                                                                        | CUSIP: 384802AB0<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |    4364000 | PA      | $3866368.15    | 0.01%             | 2045-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22132256 | PA      | $20691890.47   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                          | Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A7                                                    | CUSIP: 94985JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36479 | PA      | $33156.78      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-75, Class WA                                                                                           | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     362281 | PA      | $372372.11     | 0.00%             | 2040-06-20      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105102 | PA      | $107993.49     | 0.00%             | 2035-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-78, Class Z                                                                                     | CUSIP: 31392FA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295641 | PA      | $306219.14     | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42090000 | PA      | $41900033.94   | 0.08%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                      | DTE Electric Co.                                                                                                         | CUSIP: 23338VAL0<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $5710152.98    | 0.01%             | 2050-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     211767 | PA      | $215430.22     | 0.00%             | 2037-03-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2671, Class S                                                                                       | CUSIP: 31394HVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49389 | PA      | $54125.78      | 0.00%             | 2033-09-15      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9380000 | PA      | $7970866.14    | 0.02%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20140000 | PA      | $18800217.92   | 0.04%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                             | CGI, Inc.                                                                                                                | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   14101000 | PA      | $13728354.42   | 0.03%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury Ultra Bond                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -737 | NC      | $341141.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4871 | PA      | $5005.81       | 0.00%             | 2036-12-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2575, Class ME                                                                                      | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     596587 | PA      | $622651.44     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H12, Class FA                                                                                          | CUSIP: 38376RBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4368973 | PA      | $4368809.08    | 0.01%             | 2065-05-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223888 | PA      | $232326.02     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                        | Synopsys, Inc.                                                                                                           | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   20850000 | PA      | $21030927.13   | 0.04%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Five Corners Funding Trust II                                         | Five Corners Funding Trust II                                                                                            | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15000000 | PA      | $14024491.05   | 0.03%             | 2030-05-15      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMJL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6908311 | PA      | $6043761.01    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                                          | Evergy, Inc.                                                                                                             | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    7869000 | PA      | $7455105.94    | 0.01%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2025-3A, Class C                                                               | CUSIP: 37989YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5205000 | PA      | $5231919.74    | 0.01%             | 2031-05-15      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                            | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    9710000 | PA      | $9571241.19    | 0.02%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Goodman US Finance Six LLC                                            | Goodman US Finance Six LLC                                                                                               | CUSIP: 38239EAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11095000 | PA      | $11092316.45   | 0.02%             | 2034-10-07      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-3A, Class D                                                                             | CUSIP: 23345WAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13224000 | PA      | $13753392.42   | 0.03%             | 2029-05-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                         | MASTR Reperforming Loan Trust, Series 2006-2, Class 1A1                                                                  | CUSIP: 57645LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     492977 | PA      | $400649.59     | 0.00%             | 2036-05-25      | Variable      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42170006 | PA      | $44049075.73   | 0.09%             | 2072-03-20      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3461, Class LZ                                                                                      | CUSIP: 31397TXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51714 | PA      | $54037.37      | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16483938 | PA      | $13198430.45   | 0.03%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2014-1, Class A                                                               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3572308 | PA      | $3565132.42    | 0.01%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                                       | Solventum Corp.                                                                                                          | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   26344000 | PA      | $27357860.69   | 0.05%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    5260000 | PA      | $4120583.27    | 0.01%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2435, Class CJ                                                                                      | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130491 | PA      | $136541.63     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3142GTGY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   60164105 | PA      | $60693261.95   | 0.12%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   10433000 | PA      | $10505080.87   | 0.02%             | 2030-10-02      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53645 | PA      | $55861.34      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138EJ3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182246 | PA      | $172394.27     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2023-2, Class B                                                           | CUSIP: 80287JAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27553710 | PA      | $27619337.15   | 0.05%             | 2028-05-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18345000 | PA      | $17965049.55   | 0.04%             | 2033-06-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KLRA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21880 | PA      | $23073.19      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    7325000 | PA      | $6998712.64    | 0.01%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class B                                                                          | CUSIP: 05493VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5428000 | PA      | $5305582.32    | 0.01%             | 2048-11-27      | Variable      | 1.95%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2022-1A, Class C                                                               | CUSIP: 22534LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   43105000 | PA      | $43169769.57   | 0.08%             | 2032-10-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   66726081 | PA      | $53033970.83   | 0.10%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3373, Class TO                                                                                      | CUSIP: 31397KUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67799 | PA      | $58512.90      | 0.00%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-3, Class A                                                                  | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2924319 | PA      | $2911244.29    | 0.01%             | 2052-10-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YWBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17957139 | PA      | $18753532.69   | 0.04%             | 2072-03-20      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXED0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35828650 | PA      | $32290350.11   | 0.06%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     926461 | PA      | $900557.20     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LMAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7156762 | PA      | $7003350.78    | 0.01%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    7365000 | PA      | $7281794.72    | 0.01%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WC                                                                                          | CUSIP: 38378GPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1092571 | PA      | $1042607.62    | 0.00%             | 2042-01-20      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-6, Class GS                                                                                     | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301875 | PA      | $24798.01      | 0.00%             | 2039-02-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059EU51<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    3500000 | PA      | $3090674.44    | 0.01%             | 2028-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-1, Class A                                                               | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15891571 | PA      | $15238231.58   | 0.03%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Southwestern Public Service Co.                                       | Southwestern Public Service Co.                                                                                          | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2367372.39    | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2086, Class GB                                                                                      | CUSIP: 3133TGE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5257 | PA      | $5336.24       | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   11289000 | PA      | $11740477.36   | 0.02%             | 2029-01-10      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AL97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6526043 | PA      | $6120627.81    | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-42, Class GB                                                                                    | CUSIP: 31393BUX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45723 | PA      | $45073.87      | 0.00%             | 2033-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3                                                                      | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81241 | PA      | $81762.94      | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5Q60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182196 | PA      | $186107.61     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                    | Devon Energy Corp.                                                                                                       | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   18502000 | PA      | $16568038.12   | 0.03%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36180B5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     410204 | PA      | $386571.48     | 0.00%             | 2038-09-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3394000 | PA      | $2951208.61    | 0.01%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust                                                                                        | CUSIP: 22530BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27013000 | PA      | $27915234.20   | 0.05%             | 2034-06-15      | Fixed         | 8.30%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W1, Class 2A2                                                                        | CUSIP: 31393U4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     773102 | PA      | $808294.62     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WTRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8515033 | PA      | $7778302.63    | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                                                                   | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        459 | PA      | $455.89        | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BVRT LLC                                                              | BVRT LLC, Series 2025-1, Class C                                                                                         | CUSIP: 05614UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15299827 | PA      | $14518919.66   | 0.03%             | 2033-05-10      | Floating      | 4.34%                 | Yes           |                  3 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-1, Class 3A2                               | CUSIP: 93934FKP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67064 | PA      | $63359.14      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                               | Commonwealth Edison Co.                                                                                                  | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    3615000 | PA      | $2735953.83    | 0.01%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                 | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BY8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    9165000 | PA      | $8097494.44    | 0.02%             | 2030-10-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3274, Class JO                                                                                      | CUSIP: 31397F6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20970 | PA      | $18278.23      | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                      | Republic of Peru                                                                                                         | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     737000 | PA      | $706046.00     | 0.00%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LKTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12660121 | PA      | $12119004.92   | 0.02%             | 2029-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   19870000 | PA      | $17732356.59   | 0.03%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                 | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675FBB2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   24190000 | PA      | $25187310.88   | 0.05%             | 2028-07-13      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37371004 | PA      | $33107720.39   | 0.06%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14250000 | PA      | $14100820.31   | 0.03%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A                                           | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1329277 | PA      | $1330276.43    | 0.00%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                 | Nomura Holdings, Inc.                                                                                                    | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   12180000 | PA      | $11173907.03   | 0.02%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                    | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2                                                             | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      95711 | PA      | $23136.53      | 0.00%             | 2037-06-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DNFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10501865 | PA      | $9179704.05    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                                          | PPL Electric Utilities Corp.                                                                                             | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |   14285000 | PA      | $13535512.19   | 0.03%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   88631059 | PA      | $87432649.67   | 0.17%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LDVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10924000 | PA      | $8951354.35    | 0.02%             | 2033-11-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31385XLM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82955 | PA      | $84804.33      | 0.00%             | 2033-08-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     233212 | PA      | $233545.90     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-14, Class CO                                                                                           | CUSIP: 38376WBS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     420568 | PA      | $354973.46     | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                  | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A5                                           | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66372 | PA      | $66792.70      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $12741854.45   | 0.02%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   13705000 | PA      | $13344652.65   | 0.03%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust, Series 2006-2, Class 1A1                                                                          | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     297555 | PA      | $183676.36     | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-2, Class B                                                               | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10219531 | PA      | $10197585.97   | 0.02%             | 2025-10-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        286 | PA      | $285.62        | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-106, Class ST                                                                                          | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3495687 | PA      | $100554.12     | 0.00%             | 2038-02-20      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-81, Class SB                                                                                    | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     538519 | PA      | $36971.10      | 0.00%             | 2038-09-25      | Floating      | 1.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14996242 | PA      | $13829276.31   | 0.03%             | 2062-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   28820000 | PA      | $30577032.63   | 0.06%             | 2034-09-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   25000000 | PA      | $22672674.00   | 0.04%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371NVA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73574 | PA      | $75466.91      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nasdaq, Inc.                                                          | Nasdaq, Inc.                                                                                                             | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    7712000 | PA      | $8040669.17    | 0.02%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-64, Class FB                                                                        | CUSIP: 31396WVR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210826 | PA      | $209429.46     | 0.00%             | 2037-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3365                                                                                                | CUSIP: 31397KNK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97790 | PA      | $82605.60      | 0.00%             | 2037-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAML RCAP Frn                                                         | BAML RCAP Frn                                                                                                            | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |   15930000 | PA      | $15930000.00   | 0.03%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                                    | Delta Air Lines Pass-Through Trust, Series 2020-1, Class AA                                                              | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4552491 | PA      | $4297078.02    | 0.01%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    8422000 | PA      | $8355749.09    | 0.02%             | 2025-12-02      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AB5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34096829 | PA      | $29736664.09   | 0.06%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                   | Thornburg Mortgage Securities Trust, Series 2004-4, Class 3A                                                             | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     415882 | PA      | $402609.70     | 0.00%             | 2044-12-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                                       | Prestige Auto Receivables Trust, Series 2022-1A, Class C                                                                 | CUSIP: 74113RAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3297115 | PA      | $3305653.05    | 0.01%             | 2028-08-15      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   17840000 | PA      | $17751549.99   | 0.03%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31206605 | PA      | $29147845.19   | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class EO                                                                                      | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74280 | PA      | $66046.73      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S1, Class A5                                                  | CUSIP: 929227H82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210307 | PA      | $214084.11     | 0.00%             | 2033-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-78, Class PE                                                                                    | CUSIP: 31396W5Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97867 | PA      | $102076.24     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2362 | PA      | $2412.97       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1209333 | PA      | $1208207.96    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                                | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                                                        | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14163163 | PA      | $13785503.78   | 0.03%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| EQV Abs Issuer I LLC                                                  | EQV ABS Issuer LLC                                                                                                       | CUSIP: 29476QAC0<br>LEI: 254900AKBSYT3UNVVC48 | Long             | ABS-O            | CORP              | US        |   23971323 | PA      | $24140536.38   | 0.05%             | 2040-12-15      | Fixed         | 6.90%                 | No            |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834QH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19005000 | PA      | $6564472.96    | 0.01%             | 2046-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| University of Miami                                                   | University of Miami, Series 2022                                                                                         | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |    6570000 | PA      | $5133521.73    | 0.01%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3200, Class AY                                                                                      | CUSIP: 31397AGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     458014 | PA      | $474064.56     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    1515000 | PA      | $1248747.04    | 0.00%             | 2044-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-21, Class 1A4                                          | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126046 | PA      | $126572.97     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUHW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1002026 | PA      | $953847.89     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-17, Class QS                                                                                    | CUSIP: 31397NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103732 | PA      | $9346.37       | 0.00%             | 2039-03-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                         | Mid-State Capital Corp. Trust, Series 2006-1, Class M1                                                                   | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2056135 | PA      | $2064326.41    | 0.00%             | 2040-10-15      | Fixed         | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 1A2                                                            | CUSIP: 17307GXU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     313233 | PA      | $264077.82     | 0.00%             | 2035-08-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3371, Class FA                                                                                      | CUSIP: 31397KNW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51816 | PA      | $51738.48      | 0.00%             | 2037-09-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   16015000 | PA      | $16405844.47   | 0.03%             | 2030-07-19      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M5, Class A2                                                                                      | CUSIP: 3136B8TG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39347133 | PA      | $36520297.69   | 0.07%             | 2030-01-25      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650CM0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3356173.24    | 0.01%             | 2035-07-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   44058000 | PA      | $45140431.92   | 0.09%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   28870000 | PA      | $30125428.41   | 0.06%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2462000 | PA      | $2472491.12    | 0.00%             | 2037-07-02      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DB1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1886000 | PA      | $1582745.42    | 0.00%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                               | Eni SpA                                                                                                                  | CUSIP: 26874RAC2<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    4843000 | PA      | $4672687.04    | 0.01%             | 2040-10-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-63, Class AP                                                                                    | CUSIP: 31398RPH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206001 | PA      | $179579.65     | 0.00%             | 2040-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                                                          | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   61030000 | PA      | $58398423.02   | 0.11%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    1075000 | PA      | $923608.51     | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31348SG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4129 | PA      | $4110.34       | 0.00%             | 2026-07-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M8, Class A2                                                                                      | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23010830 | PA      | $22623481.82   | 0.04%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   14245000 | PA      | $11173995.09   | 0.02%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                                | Northrop Grumman Corp.                                                                                                   | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $12754236.43   | 0.02%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3181, Class AZ                                                                                      | CUSIP: 31396UQN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     212596 | PA      | $224832.97     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2020-SFR1, Class D                                                                          | CUSIP: 33767MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6450000 | PA      | $6434494.85    | 0.01%             | 2037-08-17      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates                                 | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class 3A                                                           | CUSIP: 126671Y91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     219645 | PA      | $207714.96     | 0.00%             | 2034-04-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    5545000 | PA      | $5107785.51    | 0.01%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4805000 | PA      | $4532644.24    | 0.01%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                           | CSMC OA LLC, Series 2014-USA, Class D                                                                                    | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   16830000 | PA      | $12370218.30   | 0.02%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6211000 | PA      | $5299535.75    | 0.01%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1963, Class Z                                                                                       | CUSIP: 3133TAA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3954 | PA      | $3982.59       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAB4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    2136000 | PA      | $1645487.76    | 0.00%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412MPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68982 | PA      | $71676.73      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    9740000 | PA      | $9624718.53    | 0.02%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JL5B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4728249 | PA      | $4776611.50    | 0.01%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2024-M2, Class A1                                                                                      | CUSIP: 3136BQM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12538294 | PA      | $12792152.79   | 0.02%             | 2033-04-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     357831 | PA      | $364246.03     | 0.00%             | 2036-10-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    4203000 | PA      | $4378694.94    | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3102, Class HS                                                                                      | CUSIP: 31396H5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9706 | PA      | $11005.84      | 0.00%             | 2036-01-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400FT5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3408000 | PA      | $2615696.47    | 0.01%             | 2041-12-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   41825000 | PA      | $42474763.50   | 0.08%             | 2036-07-08      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7390386 | PA      | $6942569.92    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128DHKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     524280 | PA      | $544274.00     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1952000 | PA      | $1760235.03    | 0.00%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3085, Class WF                                                                                      | CUSIP: 31396FSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145442 | PA      | $146041.89     | 0.00%             | 2035-08-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5165818 | PA      | $4682890.46    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-76, Class ZG                                                                                    | CUSIP: 31396WZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109151 | PA      | $112246.96     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   12902000 | PA      | $11336335.46   | 0.02%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                                       | Stream Innovations Issuer Trust, Series 2024-2A, Class A                                                                 | CUSIP: 86324EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6067965 | PA      | $6153472.77    | 0.01%             | 2045-02-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-15, Class ZA                                                                                    | CUSIP: 31392CKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306591 | PA      | $317852.58     | 0.00%             | 2032-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3461, Class Z                                                                                       | CUSIP: 31397TXU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1013721 | PA      | $1068097.45    | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative LN Issuer LLC                                             | Alternative LN Issuer LLC                                                                                                | CUSIP: 02158AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   35938000 | PA      | $35938000.00   | 0.07%             | 2035-11-15      | Fixed         | 5.60%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H18, Class FA                                                                                          | CUSIP: 38376REW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1846889 | PA      | $1846445.08    | 0.00%             | 2065-06-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   23689000 | PA      | $23470900.35   | 0.05%             | 2028-06-05      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LTUT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     534691 | PA      | $524522.56     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4453 | PA      | $4462.51       | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11146000 | PA      | $11492729.66   | 0.02%             | 2035-01-18      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $86407288.00   | 0.17%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class A                                                               | CUSIP: 22535PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8015000 | PA      | $8106344.55    | 0.02%             | 2033-12-15      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2014-2, Class A                                                               | CUSIP: 90932QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6319007 | PA      | $6257205.32    | 0.01%             | 2026-09-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1252416 | PA      | $1174598.50    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K54N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9198154 | PA      | $8810827.66    | 0.02%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47355502 | PA      | $43875645.75   | 0.09%             | 2063-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K753, Class A2                                          | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40970000 | PA      | $41516953.60   | 0.08%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                  | American Express Co.                                                                                                     | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   14285000 | PA      | $14722989.24   | 0.03%             | 2031-01-30      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                  | American Express Co.                                                                                                     | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    5720000 | PA      | $5879556.77    | 0.01%             | 2036-01-30      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XCCJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20223953 | PA      | $17684323.67   | 0.03%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-99, Class FA                                                                                    | CUSIP: 3136A8VS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     779377 | PA      | $767312.61     | 0.00%             | 2042-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                            | F&G Annuities & Life, Inc.                                                                                               | CUSIP: 30190AAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10949000 | PA      | $11506882.65   | 0.02%             | 2028-01-13      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     552238 | PA      | $571791.95     | 0.00%             | 2036-03-01      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135CC8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $4509959.23    | 0.01%             | 2061-05-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138W5J66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1270982 | PA      | $1251160.85    | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4266000 | PA      | $4259162.03    | 0.01%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2023-1A, Class C                                                                        | CUSIP: 67571BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3400000 | PA      | $3453688.72    | 0.01%             | 2029-09-20      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    9675000 | PA      | $8753507.43    | 0.02%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                      | BP Capital Markets America, Inc.                                                                                         | CUSIP: 10373QCA6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9193298.31    | 0.02%             | 2034-11-17      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-59, Class WA                                                                                           | CUSIP: 38378ERH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     706363 | PA      | $727910.46     | 0.00%             | 2038-08-20      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CY3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    7175000 | PA      | $7227628.19    | 0.01%             | 2035-09-11      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   12830000 | PA      | $13495547.14   | 0.03%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-16, Class FC                                                                                    | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114195 | PA      | $114446.00     | 0.00%             | 2037-03-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NNY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52344 | PA      | $53484.35      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7SE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1093681 | PA      | $1076070.77    | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2095, Class PE                                                                                      | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35674 | PA      | $36217.11      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J5K32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7024158 | PA      | $6729876.15    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                  | FHLB                                                                                                                     | CUSIP: 3130AL3G7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   32500000 | PA      | $24782949.43   | 0.05%             | 2036-02-08      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-31, Class DB                                                                                    | CUSIP: 31397SHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1763978 | PA      | $1733389.64    | 0.00%             | 2031-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413HZ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18834 | PA      | $19223.36      | 0.00%             | 2037-09-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-46, Class SW                                                                                    | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14801 | PA      | $16332.15      | 0.00%             | 2036-06-25      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  200000000 | PA      | $196468750.00  | 0.38%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-K63, Class B                                                                           | CUSIP: 30300HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19737344.00   | 0.04%             | 2050-02-25      | Variable      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-67, Class SI                                                                                           | CUSIP: 38375LG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     477956 | PA      | $3575.26       | 0.00%             | 2037-11-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60000000 | PA      | $57974830.20   | 0.11%             | 2033-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux Sarl                                              | JBS USA Holding Lux Sarl                                                                                                 | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   29725000 | PA      | $29823075.85   | 0.06%             | 2036-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H17, Class FC                                                                                          | CUSIP: 38375UNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3946596 | PA      | $3947293.08    | 0.01%             | 2064-07-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MKJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2648002 | PA      | $2662633.76    | 0.01%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8850000 | PA      | $8865632.20    | 0.02%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| EQV Abs Issuer I LLC                                                  | EQV Abs Issuer I LLC                                                                                                     | CUSIP: 29476QAB2<br>LEI: 254900AKBSYT3UNVVC48 | Long             | ABS-MBS          | CORP              | US        |    1475153 | PA      | $1475153.13    | 0.00%             | 2040-12-15      | Fixed         | 5.85%                 | No            |                  3 | On Loan: No      |
| Renew                                                                 | Renew, Series 2024-2A, Class A                                                                                           | CUSIP: 75975DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12657822 | PA      | $12092102.07   | 0.02%             | 2060-11-20      | Fixed         | 5.33%                 | Yes           |                  3 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue | Regents of the University of California, Medical Center Pooled, Series 2020N                                             | CUSIP: 913366KD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   21120000 | PA      | $12983942.40   | 0.03%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates                                 | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1                                                           | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      40496 | PA      | $41294.70      | 0.00%             | 2034-03-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  113000000 | PA      | $114527265.06  | 0.22%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-42, Class PS                                                                                    | CUSIP: 31394DRU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5765 | PA      | $5937.74       | 0.00%             | 2035-05-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida Project Finance LLC                               | Duke Energy Florida Project Finance LLC, Series 2032                                                                     | CUSIP: 26444GAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9430000 | PA      | $8599691.80    | 0.02%             | 2033-03-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Monongahela Power Co.                                                 | Monongahela Power Co.                                                                                                    | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7920000 | PA      | $8328591.06    | 0.02%             | 2034-02-15      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Xylem, Inc.                                                           | Xylem, Inc.                                                                                                              | CUSIP: 98419MAL4<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |    7315000 | PA      | $6572624.06    | 0.01%             | 2031-01-30      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 3140QCU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6095248 | PA      | $5607416.41    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M38, Class X2                                                                                     | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47217649 | PA      | $1984430.30    | 0.00%             | 2028-11-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                                           | Stellantis Finance US, Inc.                                                                                              | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |   12937000 | PA      | $11028845.15   | 0.02%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KH4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     573499 | PA      | $477222.83     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates  | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-34A, Class 3A3                         | CUSIP: 86359A5B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46978 | PA      | $46680.61      | 0.00%             | 2033-11-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T2, Class 2A                                                                | CUSIP: 31393X7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266276 | PA      | $270778.06     | 0.00%             | 2043-07-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    6960000 | PA      | $7072606.88    | 0.01%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2013-2, Class A                                                                         | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3692213 | PA      | $101812.77     | 0.00%             | 2039-03-25      | Variable      | 1.70%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                                    | Columbia Pipelines Holding Co. LLC                                                                                       | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16276000 | PA      | $16664285.95   | 0.03%             | 2034-01-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H15, Class FA                                                                                          | CUSIP: 38375BUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        148 | PA      | $147.31        | 0.00%             | 2062-05-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132XVEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1121193 | PA      | $1065634.04    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BG Energy Capital plc                                                 | BG Energy Capital plc                                                                                                    | CUSIP: 05541VAF3<br>LEI: S2M8QDKEE05NZN8JD460 | Long             | DBT              | CORP              | GB        |    5781000 | PA      | $5457358.81    | 0.01%             | 2041-10-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-110                                                                                             | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154642 | PA      | $134222.88     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-62, Class SE                                                                                    | CUSIP: 31396WZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96634 | PA      | $103377.08     | 0.00%             | 2037-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H06, Class HB                                                                                          | CUSIP: 38375UET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     356171 | PA      | $356958.96     | 0.00%             | 2064-03-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                            | F&G Annuities & Life, Inc.                                                                                               | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9165000 | PA      | $9551360.38    | 0.02%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2882000 | PA      | $2104245.50    | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   17877000 | PA      | $16313446.30   | 0.03%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-2, Class B                                                                  | CUSIP: 21872GAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3370116 | PA      | $3277735.72    | 0.01%             | 2052-06-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| vMobo, Inc.                                                           | vMobo, Inc.                                                                                                              | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  110554453 | PA      | $105177084.68  | 0.20%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                    | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A                                                              | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     473852 | PA      | $468178.53     | 0.00%             | 2034-04-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Renew                                                                 | Renew, Series 2017-1A, Class A                                                                                           | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2645320 | PA      | $2480328.35    | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5010973 | PA      | $4838682.33    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    8000000 | PA      | $8226816.72    | 0.02%             | 2036-05-09      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                               | Duke Energy Indiana LLC                                                                                                  | CUSIP: 26443TAA4<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $3445503.44    | 0.01%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 383, Class 33                                                                                       | CUSIP: 3136FFPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85486 | PA      | $15472.90      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT                                                       | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24923392 | PA      | $22736132.64   | 0.04%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   18688000 | PA      | $14352844.85   | 0.03%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416B3N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9600 | PA      | $9993.67       | 0.00%             | 2038-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 345, Class 6                                                                                        | CUSIP: 3136FCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29006 | PA      | $3339.68       | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122713 | PA      | $125297.46     | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   19410000 | PA      | $17108202.65   | 0.03%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-109, Class AI                                                                                   | CUSIP: 31396XY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568707 | PA      | $45742.32      | 0.00%             | 2037-12-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42400447 | PA      | $44332829.95   | 0.09%             | 2072-03-20      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $3484768.08    | 0.01%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma                                                                                           | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    6205000 | PA      | $6222197.90    | 0.01%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7L29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1831351 | PA      | $1798790.44    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2014                                                                                      | CUSIP: 12665VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     939934 | PA      | $886786.90     | 0.00%             | 2036-08-11      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241KHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137465 | PA      | $142010.78     | 0.00%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38618063 | PA      | $36100806.49   | 0.07%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-130, Class CP                                                                                          | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1177760 | PA      | $1259365.38    | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2141                                                                                                | CUSIP: 3133TKGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1176 | PA      | $55.32         | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Whole Loan, Series 2007-W1, Class 1AF1                                                                             | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2073311 | PA      | $2056667.01    | 0.00%             | 2046-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Commercial Mortgage Securities Trust                     | Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class X1                                             | CUSIP: 07388VAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     227366 | PA      | $14.23         | 0.00%             | 2045-01-12      | Variable      | 1.17%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12505000 | PA      | $12614394.37   | 0.02%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-2, Class A                                                                         | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4449783 | PA      | $80158.38      | 0.00%             | 2038-08-25      | Variable      | 1.05%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  180150000 | PA      | $111172254.81  | 0.22%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                              | Tricon Residential Trust, Series 2024-SFR4, Class D                                                                      | CUSIP: 895975AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $9987450.00    | 0.02%             | 2041-11-17      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   14928000 | PA      | $15095895.22   | 0.03%             | 2030-03-17      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    8940000 | PA      | $8040335.97    | 0.02%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-103, Class SB                                                                                   | CUSIP: 31398TY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317891 | PA      | $28533.10      | 0.00%             | 2049-11-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   15473000 | PA      | $8908593.52    | 0.02%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MCW8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   23065000 | PA      | $24333638.89   | 0.05%             | 2030-01-13      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5621802 | PA      | $5526239.07    | 0.01%             | 2026-08-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60835786 | PA      | $53176778.51   | 0.10%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                  | Westgate Resorts LLC, Series 2023-1A, Class A                                                                            | CUSIP: 96033EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11928963 | PA      | $12068246.78   | 0.02%             | 2037-12-20      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                  | Westgate Resorts LLC, Series 2024-1A, Class A                                                                            | CUSIP: 96034KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17536760 | PA      | $17784593.36   | 0.03%             | 2038-01-20      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   20560000 | PA      | $21068672.70   | 0.04%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WWXQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2025957 | PA      | $1879068.85    | 0.00%             | 2037-04-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-132, Class OA                                                                                   | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1670 | PA      | $1621.00       | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DM3S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5933800 | PA      | $5188207.95    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2399, Class OH                                                                                      | CUSIP: 31339MTG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46889 | PA      | $48705.64      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26869 | PA      | $27346.69      | 0.00%             | 2036-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-72, Class TO                                                                                    | CUSIP: 31396KHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30952 | PA      | $25771.65      | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                             | Northern States Power Co.                                                                                                | CUSIP: 665772CX5<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   15470000 | PA      | $14199913.77   | 0.03%             | 2053-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                       | NGPL PipeCo LLC                                                                                                          | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    8283000 | PA      | $7459944.13    | 0.01%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2956 | PA      | $2925.28       | 0.00%             | 2027-09-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust, Series 2007-6, Class 1A8                                                                          | CUSIP: 52521NAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18178 | PA      | $16115.18      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   11195000 | PA      | $11996179.47   | 0.02%             | 2029-11-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LH5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10746000 | PA      | $11047323.64   | 0.02%             | 2033-01-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2296 | PA      | $2332.45       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                   | Teachers Insurance & Annuity Association of America                                                                      | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    3653000 | PA      | $3283938.51    | 0.01%             | 2044-09-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     488248 | PA      | $470270.58     | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  200455000 | PA      | $145094965.79  | 0.28%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-50, Class KB                                                                                           | CUSIP: 38375QD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     297558 | PA      | $305785.10     | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   85520000 | PA      | $80492359.59   | 0.16%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXX72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15701531 | PA      | $13933785.73   | 0.03%             | 2062-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   16126000 | PA      | $14683195.98   | 0.03%             | 2039-04-23      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class B                                                        | CUSIP: 826943AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4691837 | PA      | $4764597.57    | 0.01%             | 2040-01-20      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4796000 | PA      | $4426708.00    | 0.01%             | 2053-05-04      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                      | BP Capital Markets America, Inc.                                                                                         | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   25080000 | PA      | $15538419.84   | 0.03%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50373 | PA      | $53130.11      | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2006-1, Class X                                                                    | CUSIP: 05949TBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27760 | PA      | $17875.68      | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31410LAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57932 | PA      | $59194.13      | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2023-2, Class C                                                           | CUSIP: 80287JAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20100000 | PA      | $20398744.29   | 0.04%             | 2030-12-16      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAY9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     455000 | PA      | $393411.25     | 0.00%             | 2043-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-4A, Class D                                                             | CUSIP: 30166TAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14269000 | PA      | $14744515.85   | 0.03%             | 2029-12-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRRU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17364669 | PA      | $17254369.82   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-19, Class SD                                                                                           | CUSIP: 38375JTV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     233789 | PA      | $2338.19       | 0.00%             | 2037-04-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2038, Class PN                                                                                      | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10677 | PA      | $578.76        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10756000 | PA      | $10250202.97   | 0.02%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W8, Class 3F1                                                                        | CUSIP: 31393CX24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101675 | PA      | $101504.11     | 0.00%             | 2042-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                                          | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   43050000 | PA      | $41268883.74   | 0.08%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                       | Western Funding Auto Loan Trust, Series 2025-1, Class D                                                                  | CUSIP: 958250AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5860000 | PA      | $5949412.47    | 0.01%             | 2036-01-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-91, Class WA                                                                                           | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     998906 | PA      | $962974.45     | 0.00%             | 2043-04-20      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3443, Class SY                                                                                      | CUSIP: 31397T7H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59375 | PA      | $65403.47      | 0.00%             | 2037-03-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-14, Class BO                                                                                           | CUSIP: 38376WBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148536 | PA      | $125364.96     | 0.00%             | 2035-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411VHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59313 | PA      | $60543.46      | 0.00%             | 2037-02-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   43095000 | PA      | $44127835.89   | 0.09%             | 2031-05-28      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   24465000 | PA      | $18106791.15   | 0.04%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CX                                | CUSIP: 9393367B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     835780 | PA      | $125095.21     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31390RK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4191 | PA      | $4206.81       | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5MP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270266 | PA      | $291697.00     | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     732656 | PA      | $739031.58     | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-7, Class PF                                                                                     | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4508 | PA      | $4711.72       | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Aon North America, Inc.                                               | Aon North America, Inc.                                                                                                  | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   34340000 | PA      | $35450440.90   | 0.07%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12383277 | PA      | $11995309.03   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   46000000 | PA      | $46859914.34   | 0.09%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                        | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3                                                | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     913343 | PA      | $895337.56     | 0.00%             | 2035-07-19      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                              | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   24200000 | PA      | $24257154.11   | 0.05%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25855000 | PA      | $12491196.88   | 0.02%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98395 | PA      | $101165.39     | 0.00%             | 2036-07-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $6262351.56    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31335 | PA      | $32028.11      | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YGA62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20624855 | PA      | $21470595.31   | 0.04%             | 2072-03-20      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A                                                 | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85849 | PA      | $83643.10      | 0.00%             | 2033-09-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3393, Class JO                                                                                      | CUSIP: 31397PGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     265389 | PA      | $240069.73     | 0.00%             | 2032-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-28, Class PF                                                                                    | CUSIP: 31393YFC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29791 | PA      | $29783.16      | 0.00%             | 2034-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-4, Class AJ                                                                                     | CUSIP: 3136ACGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     837685 | PA      | $799015.92     | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1616000 | PA      | $1216186.85    | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   97341000 | PA      | $93362673.33   | 0.18%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6047303 | PA      | $5108928.95    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-43, Class SA                                                                                           | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     464025 | PA      | $21273.22      | 0.00%             | 2039-06-20      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138M1MB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1730018 | PA      | $1667876.86    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3256                                                                                                | CUSIP: 31397EBP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64446 | PA      | $54386.82      | 0.00%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A1                                                          | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55070 | PA      | $50804.26      | 0.00%             | 2029-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27015427 | PA      | $22440925.56   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-32, Class SA                                                                                    | CUSIP: 31396Y5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104584 | PA      | $9063.90       | 0.00%             | 2038-04-25      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |   10095000 | PA      | $10840201.19   | 0.02%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  102326578 | PA      | $88843157.87   | 0.17%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23696887 | PA      | $23500065.64   | 0.05%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3315, Class HZ                                                                                      | CUSIP: 31397H3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133285 | PA      | $141346.80     | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  204145300 | PA      | $112303838.79  | 0.22%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417NEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144811 | PA      | $149182.13     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KM4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16569736 | PA      | $13895932.60   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SBALR Commercial Mortgage Trust                                       | SBALR Commercial Mortgage Trust, Series 2020-RR1, Class A3                                                               | CUSIP: 78397EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21436162 | PA      | $18840785.06   | 0.04%             | 2053-02-13      | Fixed         | 2.83%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 2 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       9893 | NC      | $2794221.23    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H28, Class FA                                                                                          | CUSIP: 38375BYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36529 | PA      | $36564.99      | 0.00%             | 2062-09-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 411, Class F1                                                                                       | CUSIP: 31395QDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3511977 | PA      | $3477509.42    | 0.01%             | 2042-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAT0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1259000 | PA      | $1305196.08    | 0.00%             | 2041-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  200075000 | PA      | $108884566.41  | 0.21%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    4480000 | PA      | $4679904.14    | 0.01%             | 2029-09-13      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W2, Class 1A1                                                                        | CUSIP: 31392JAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370569 | PA      | $387222.33     | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-109                                                                                             | CUSIP: 31396LQW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33053 | PA      | $28570.00      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30766820 | PA      | $32226176.13   | 0.06%             | 2071-09-20      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-7, Class SG                                                                                     | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     809985 | PA      | $91426.86      | 0.00%             | 2036-08-25      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Vale Overseas Ltd.                                                    | Vale Overseas Ltd.                                                                                                       | CUSIP: 91911TAQ6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |   27542000 | PA      | $26162145.80   | 0.05%             | 2030-07-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5034 | PA      | $5141.51       | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class AO                                                                                      | CUSIP: 31396HUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106498 | PA      | $97741.00      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AC3N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   72327513 | PA      | $66234233.62   | 0.13%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-37T1, Class A2                                                                       | CUSIP: 12667G2U6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10683279 | PA      | $767192.98     | 0.00%             | 2035-09-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418XEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     636339 | PA      | $648574.11     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                                                          | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   46200000 | PA      | $46371207.96   | 0.09%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KCQ1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   11030000 | PA      | $10096759.42   | 0.02%             | 2053-02-28      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAQ2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    4030000 | PA      | $3860568.36    | 0.01%             | 2053-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                                    | DP Lion Holdco LLC, Series 2023-1A, Class A                                                                              | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |   17432729 | PA      | $17922972.65   | 0.03%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  3 | On Loan: No      |
| Interstate Power and Light Co.                                        | Interstate Power and Light Co.                                                                                           | CUSIP: 461070AV6<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    8615000 | PA      | $8490608.45    | 0.02%             | 2034-09-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHWZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     184758 | PA      | $190392.75     | 0.00%             | 2037-04-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                         | MHC Commercial Mortgage Trust, Series 2021-MHC, Class E                                                                  | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12560000 | PA      | $12571774.99   | 0.02%             | 2038-04-15      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                  | Anheuser-Busch InBev Worldwide, Inc.                                                                                     | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     605000 | PA      | $609251.89     | 0.00%             | 2059-01-23      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YGC45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22475103 | PA      | $23675770.15   | 0.05%             | 2072-07-20      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAC2<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   27694000 | PA      | $29078700.00   | 0.06%             | 2029-03-26      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Boston Scientific Corp.                                               | Boston Scientific Corp.                                                                                                  | CUSIP: 101137AE7<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $15725461.50   | 0.03%             | 2035-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6700000 | PA      | $6586460.39    | 0.01%             | 2026-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-1, Class A                                                               | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9662487 | PA      | $9141615.50    | 0.02%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                      | DTE Electric Co., Series B                                                                                               | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    1146000 | PA      | $830473.42     | 0.00%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MyMichigan Health                                                     | MyMichigan Health, Series 2020                                                                                           | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5410000 | PA      | $3703738.53    | 0.01%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337R5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  113297000 | PA      | $86619359.88   | 0.17%             | 2032-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7                               | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     776835 | PA      | $716786.26     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39839 | PA      | $40680.53      | 0.00%             | 2036-09-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132AEN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3378121 | PA      | $3213105.31    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    4149000 | PA      | $3558625.60    | 0.01%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H16, Class FL                                                                                          | CUSIP: 38376RDR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5616332 | PA      | $5614298.41    | 0.01%             | 2065-07-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                         | MetLife, Inc.                                                                                                            | CUSIP: 59156RBD9<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    2027000 | PA      | $1700946.92    | 0.00%             | 2042-08-13      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LAWC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9769012 | PA      | $9911220.97    | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WTSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3130369 | PA      | $2933937.31    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-1A, Class D                                                             | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8805000 | PA      | $8974731.34    | 0.02%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    7655000 | PA      | $4526317.37    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2022-1A, Class D                                                                        | CUSIP: 67571EAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4235000 | PA      | $4257595.84    | 0.01%             | 2029-02-20      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-98, Class FB                                                                                    | CUSIP: 31396XJ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67072 | PA      | $66347.24      | 0.00%             | 2037-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36000000 | PA      | $36255360.60   | 0.07%             | 2032-10-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  358540000 | PA      | $305795402.89  | 0.60%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QLR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46567341 | PA      | $40704823.49   | 0.08%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2019, Class Z                                                                                       | CUSIP: 3133TCC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9194 | PA      | $9280.37       | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   14590000 | PA      | $14965405.95   | 0.03%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                                                 | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295969 | PA      | $277897.81     | 0.00%             | 2034-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8255000 | PA      | $8144250.34    | 0.02%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series C                                                                                 | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1359315.68    | 0.00%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   21651000 | PA      | $22138864.80   | 0.04%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                                 | Parker-Hannifin Corp.                                                                                                    | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    3759000 | PA      | $3245038.25    | 0.01%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   86645000 | PA      | $85020406.25   | 0.17%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                                              | Safehold GL Holdings LLC                                                                                                 | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |    2972000 | PA      | $2606863.77    | 0.01%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class PT1                                                               | CUSIP: 31393YV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91900 | PA      | $97411.93      | 0.00%             | 2044-01-25      | Variable      | 9.21%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    6600000 | PA      | $4809134.42    | 0.01%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   56940000 | PA      | $58836465.85   | 0.11%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   41007000 | PA      | $41065229.94   | 0.08%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059FBM2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    2242000 | PA      | $1419081.93    | 0.00%             | 2035-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QPQF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12807 | PA      | $13265.93      | 0.00%             | 2037-03-01      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKD59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6368000 | PA      | $6390803.43    | 0.01%             | 2033-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.                | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class 1                                         | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |       1053 | PA      | $1047.65       | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2025-B, Class B                                                                           | CUSIP: 68378QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10450000 | PA      | $10527284.02   | 0.02%             | 2033-05-09      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2054, Class PV                                                                                      | CUSIP: 3133TE4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7936 | PA      | $8039.63       | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                                                           | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22834 | PA      | $22980.04      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                                                       | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   83058666 | PA      | $71821642.31   | 0.14%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                                               | Purewest ABS Issuer LLC, Series 2025-1, Class A1                                                                         | CUSIP: 74628AAA2<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |   28513020 | PA      | $28913000.80   | 0.06%             | 2040-04-05      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2022-A, Class A                                                                           | CUSIP: 68378NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1917091 | PA      | $1916688.72    | 0.00%             | 2031-06-09      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-42, Class A5                                           | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1056863 | PA      | $1129962.30    | 0.00%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Aml-prop CAP Frn                                                      | Aml-prop CAP Frn, Series 2022-E                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    2008171 | PA      | $2000640.53    | 0.00%             | 2026-01-25      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-116, Class SB                                                                                   | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241807 | PA      | $21510.22      | 0.00%             | 2033-11-25      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class FL                                                                                    | CUSIP: 31395NC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88451 | PA      | $88065.93      | 0.00%             | 2036-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                                                | Texas Health Resources                                                                                                   | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    6717000 | PA      | $3729889.45    | 0.01%             | 2050-11-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAP7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10511708.50   | 0.02%             | 2034-06-08      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-12, Class BZ                                                                                    | CUSIP: 31394VQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     535290 | PA      | $558411.95     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96830 | PA      | $100296.44     | 0.00%             | 2036-10-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KPJM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27192949 | PA      | $25421789.51   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3383, Class SA                                                                                      | CUSIP: 31397P4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     435903 | PA      | $33874.34      | 0.00%             | 2037-11-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  131125000 | PA      | $90419906.90   | 0.18%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AH9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    5043000 | PA      | $5035022.78    | 0.01%             | 2025-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   26250000 | PA      | $27933936.98   | 0.05%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-18, Class MA                                                                                    | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  170876430 | PA      | $141209872.25  | 0.28%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Palomino Funding Trust I                                              | Palomino Funding Trust I                                                                                                 | CUSIP: 69754AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5310177.80    | 0.01%             | 2028-05-17      | Fixed         | 7.23%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                              | PRET LLC, Series 2021-RN4, Class A1                                                                                      | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25543217 | PA      | $25568208.67   | 0.05%             | 2051-10-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2001-T3, Class A1                                                                | CUSIP: 31358S7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363070 | PA      | $369202.50     | 0.00%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132VMGR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1900695 | PA      | $1810940.51    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6595000 | PA      | $5900464.06    | 0.01%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    2888000 | PA      | $2364709.45    | 0.00%             | 2042-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK98                                                             | CUSIP: 12529YBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22370000 | PA      | $18218910.95   | 0.04%             | 2029-08-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                   | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 2A1                                            | CUSIP: 251510CX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25693 | PA      | $24977.34      | 0.00%             | 2020-02-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10723921 | PA      | $9718603.22    | 0.02%             | 2031-10-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class PD                                                                                    | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12890 | PA      | $13424.55      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-30, Class PM                                                                                    | CUSIP: 313920BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32904 | PA      | $33794.14      | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   25535000 | PA      | $26142028.49   | 0.05%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | Port Authority of New York and New Jersey, Consolidated, Series 174                                                      | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   17925000 | PA      | $14948446.20   | 0.03%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Single Family, 30 Year                                                                                          | CUSIP: 21H030690<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5000000 | PA      | $4427131.65    | 0.01%             | 2055-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15543218 | PA      | $14587918.10   | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6968416 | PA      | $6365513.26    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4032, Class TO                                                                                      | CUSIP: 3137APJ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     909233 | PA      | $770146.43     | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1970, Class PG                                                                                      | CUSIP: 3133TAK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        825 | PA      | $834.38        | 0.00%             | 2027-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    4700000 | PA      | $4697739.86    | 0.01%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    2680000 | PA      | $1787416.22    | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617ALMQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1373293 | PA      | $1319727.33    | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8651000 | PA      | $8638482.26    | 0.02%             | 2033-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                      | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class B                                                 | CUSIP: 66981PAR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6990000 | PA      | $7166848.40    | 0.01%             | 2032-12-15      | Fixed         | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class A                                                               | CUSIP: 22537GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   35480000 | PA      | $35871291.18   | 0.07%             | 2034-03-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     217353 | PA      | $225542.00     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banner Health                                                         | Banner Health                                                                                                            | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |   13950000 | PA      | $12377234.73   | 0.02%             | 2031-01-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22534PAE3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   12885000 | PA      | $13018301.51   | 0.03%             | 2026-07-05      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4200000 | PA      | $3065015.60    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-10, Class A1A                                                                        | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110902 | PA      | $104412.85     | 0.00%             | 2034-11-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Terra ABS I LLC                                                       | Terra ABS LLC, Series 2022-1A, Class A2                                                                                  | CUSIP: 88089JAB3<br>LEI: 549300TL5VN5A8NJIT07 | Long             | ABS-O            | CORP              | US        |   22948280 | PA      | $24171423.68   | 0.05%             | 2042-12-22      | Fixed         | 8.18%                 | Yes           |                  3 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DTMR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12546579 | PA      | $10969951.20   | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2474, Class NR                                                                                      | CUSIP: 31392R3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89891 | PA      | $93479.90      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   98830000 | PA      | $62548579.97   | 0.12%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3501, Class CB                                                                                      | CUSIP: 31397YS69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     488350 | PA      | $506945.05     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        937 | PA      | $947.97        | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-111, Class AM                                                                                   | CUSIP: 31398NXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2855449 | PA      | $2995246.50    | 0.01%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     486948 | PA      | $498133.71     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                         | Citigroup Mortgage Loan Trust, Series 2015-A, Class B2                                                                   | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     915795 | PA      | $898236.50     | 0.00%             | 2058-06-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    4378000 | PA      | $4335432.66    | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1894 | PA      | $1923.91       | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     766976 | PA      | $803324.37     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-101, Class FC                                                                                   | CUSIP: 3136A76U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     468731 | PA      | $462653.04     | 0.00%             | 2042-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2017-H14, Class XI                                                                                          | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20698659 | PA      | $597067.31     | 0.00%             | 2067-06-20      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2020-SFR2, Class E                                                                          | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   57000000 | PA      | $56607401.10   | 0.11%             | 2037-10-19      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| Memorial Health Services                                              | Memorial Health Services                                                                                                 | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |   25595000 | PA      | $17778335.37   | 0.03%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Identity Digital Ltd.                                                 | Identity Digital Ltd.                                                                                                    | CUSIP: N/A<br>LEI: 5493005BN677T7KORE19       | Long             | DBT              | CORP              | IE        |   99500000 | PA      | $101241250.00  | 0.20%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H03, Class FA                                                                                          | CUSIP: 38375UTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     684903 | PA      | $685066.58     | 0.00%             | 2064-12-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class SE                                                                                           | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     265137 | PA      | $3842.05       | 0.00%             | 2037-06-16      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Pacific Life Insurance Co.                                            | Pacific Life Insurance Co.                                                                                               | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    3766000 | PA      | $2945072.63    | 0.01%             | 2067-10-24      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-6A, Class D                                                             | CUSIP: 30168AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13806000 | PA      | $14246175.32   | 0.03%             | 2029-04-06      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFYA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6186000 | PA      | $5560005.75    | 0.01%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1736348 | PA      | $1711505.06    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  403160000 | PA      | $396230687.50  | 0.77%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   19965000 | PA      | $20272261.35   | 0.04%             | 2030-01-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust, Series 2008-2, Class 1A6                                                                          | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1857953 | PA      | $450941.88     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     976701 | PA      | $941952.98     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-3, Class 2A1                                                                   | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108034 | PA      | $112016.75     | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-42, Class AO                                                                                    | CUSIP: 31397LPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45303 | PA      | $39049.93      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2780, Class SY                                                                                      | CUSIP: 31394XSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30432 | PA      | $34217.30      | 0.00%             | 2033-11-15      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                      | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    8680000 | PA      | $8672521.83    | 0.02%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-6, Class W                                                                                             | CUSIP: 38378PS33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1145698 | PA      | $1183933.08    | 0.00%             | 2039-01-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-42, Class ZC                                                                                    | CUSIP: 31359PX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        254 | PA      | $254.48        | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                 | Anchor Mortgage Trust                                                                                                    | CUSIP: 03332JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   80000000 | PA      | $81199216.00   | 0.16%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44030 | PA      | $46648.49      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class MT                                                                                      | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62273 | PA      | $65377.40      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417MH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344121 | PA      | $350470.81     | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W8, Class 2A                                                                         | CUSIP: 31393CW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477228 | PA      | $490188.43     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L7YH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2514796 | PA      | $2485210.53    | 0.00%             | 2026-12-01      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-46, Class HI                                                                                    | CUSIP: 31397LRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196379 | PA      | $11864.57      | 0.00%             | 2038-06-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class MT                                                                                   | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2836814 | PA      | $3010820.62    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   45000000 | PA      | $42725033.10   | 0.08%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class PU                                                                                    | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14742 | PA      | $15482.23      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                       | Republic Finance Issuance Trust, Series 2024-B, Class A                                                                  | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20275000 | PA      | $20674512.79   | 0.04%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38197 | PA      | $38032.39      | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LCMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5149259 | PA      | $4884421.80    | 0.01%             | 2035-12-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Goodleap                                                              | Goodleap                                                                                                                 | CUSIP: N/A<br>LEI: 549300YN94MOAVYW0F52       | Long             | ABS-MBS          | CORP              | US        |   34061003 | PA      | $34948969.55   | 0.07%             | 2038-07-15      | Fixed         | 6.62%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XG2B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24211484 | PA      | $23035056.62   | 0.04%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-28, Class S                                                                                            | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96664 | PA      | $106910.34     | 0.00%             | 2034-04-16      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50821000 | PA      | $38772849.78   | 0.08%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2022-2A, Class D                                                                       | CUSIP: 78397WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19930000 | PA      | $19976538.54   | 0.04%             | 2032-10-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-72, Class US                                                                                           | CUSIP: 38375LV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     401043 | PA      | $931.22        | 0.00%             | 2037-11-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    2375000 | PA      | $2057548.90    | 0.00%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MNR ABS Issuer I LLC                                                  | MNR ABS Issuer I LLC                                                                                                     | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   22939560 | PA      | $23536309.95   | 0.05%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-35, Class EA                                                                                    | CUSIP: 31393BP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16580 | PA      | $14643.94      | 0.00%             | 2033-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18035812 | PA      | $18844946.74   | 0.04%             | 2071-10-20      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                    | New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series 2010D                             | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    2240000 | PA      | $2280589.47    | 0.00%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class LB                                                                                   | CUSIP: 3136A12K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2256040 | PA      | $2409453.40    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AM5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1677872.39    | 0.00%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Caerus Uinta Abs I LLC                                                | Caerus Uinta ABS LLC, Series 2023-1A, Class A2                                                                           | CUSIP: 127656AB2<br>LEI: 549300KYPQ0HIKDTZK59 | Long             | ABS-O            | CORP              | US        |   21279694 | PA      | $21705049.20   | 0.04%             | 2040-04-28      | Fixed         | 7.85%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-46, Class MG                                                                                           | CUSIP: 38373Q2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188393 | PA      | $187878.98     | 0.00%             | 2033-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132HBF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     962804 | PA      | $928502.90     | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                       | PECO Energy Co.                                                                                                          | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    6430000 | PA      | $3989897.69    | 0.01%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L7EW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8678518 | PA      | $8587811.72    | 0.02%             | 2026-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182591 | PA      | $187555.72     | 0.00%             | 2036-12-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-47, Class ZA                                                                                    | CUSIP: 31397UEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     522783 | PA      | $535988.06     | 0.00%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Resurgent                                                             | Resurgent                                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   60000000 | PA      | $60000000.00   | 0.12%             | 2030-07-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                                                                       | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     291863 | PA      | $288734.49     | 0.00%             | 2033-11-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2388, Class FB                                                                                      | CUSIP: 31339M2J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18128 | PA      | $18121.07      | 0.00%             | 2029-01-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   35836000 | PA      | $28055413.82   | 0.05%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JAPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8059986 | PA      | $7368835.85    | 0.01%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3179, Class OA                                                                                      | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64860 | PA      | $56209.85      | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                                           | Southern California Gas Co., Series XX                                                                                   | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    7148000 | PA      | $6659306.54    | 0.01%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-48, Class W                                                                                            | CUSIP: 38383WUN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9656089 | PA      | $8942428.83    | 0.02%             | 2062-12-20      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   34225000 | PA      | $34718045.35   | 0.07%             | 2028-03-27      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5008, Class LB                                                                                      | CUSIP: 3137FVYW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19239223 | PA      | $15073033.13   | 0.03%             | 2050-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-1, Class 1A1                               | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266197 | PA      | $262668.94     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   16415000 | PA      | $12234850.16   | 0.02%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2332, Class ZH                                                                                      | CUSIP: 313398L98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63253 | PA      | $66020.64      | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   29653000 | PA      | $30128527.67   | 0.06%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1                                                          | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121401 | PA      | $115319.24     | 0.00%             | 2028-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LF4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14317000 | PA      | $13134432.26   | 0.03%             | 2032-05-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4837, Class ZB                                                                                      | CUSIP: 3137FJDU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6542514 | PA      | $6195449.02    | 0.01%             | 2048-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Pennsylvania Electric Co.                                 | FirstEnergy Pennsylvania Electric Co.                                                                                    | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1532239.93    | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Puget Sound Energy, Inc.                                              | Puget Sound Energy, Inc.                                                                                                 | CUSIP: 745332CL8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |   10070000 | PA      | $9521901.48    | 0.02%             | 2053-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M60C                                                     | CUSIP: 35563PDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8004648 | PA      | $7416938.72    | 0.01%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F030694<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1954000 | PA      | $1692569.61    | 0.00%             | 2055-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-60, Class CS                                                                                           | CUSIP: 38375DAQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     504872 | PA      | $8738.43       | 0.00%             | 2038-07-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                       | Impac CMB Trust, Series 2005-4, Class 2A1                                                                                | CUSIP: 45254NPE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     345591 | PA      | $332751.06     | 0.00%             | 2035-05-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-128                                                                                             | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5116042 | PA      | $3733548.92    | 0.01%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2206000 | PA      | $2131354.56    | 0.00%             | 2032-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 3A1                                        | CUSIP: 22541QCV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26933 | PA      | $27674.18      | 0.00%             | 2033-06-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                  | Westgate Resorts LLC, Series 2024-1A, Class B                                                                            | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9162149 | PA      | $9295013.55    | 0.02%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-128                                                                                             | CUSIP: 31396PEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99039 | PA      | $85470.17      | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQD70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     371875 | PA      | $372222.92     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-78, Class CB                                                                                    | CUSIP: 31396W5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50169 | PA      | $53011.58      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                   | Chase Funding Trust, Series 2003-6, Class 1A7                                                                            | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     884056 | PA      | $877008.61     | 0.00%             | 2034-11-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   45000000 | PA      | $47138589.00   | 0.09%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KLU2, Class A7                                          | CUSIP: 3137FPHV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13312527 | PA      | $13268160.23   | 0.03%             | 2025-09-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                            | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A                                                      | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   61625000 | PA      | $62131243.21   | 0.12%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    5118000 | PA      | $4140462.00    | 0.01%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                            | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    3735000 | PA      | $3711989.23    | 0.01%             | 2055-07-03      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-66, Class SP                                                                                           | CUSIP: 38374LU82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44770 | PA      | $49125.00      | 0.00%             | 2035-08-16      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4238, Class WY                                                                                      | CUSIP: 3137B4FZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1407808 | PA      | $1358691.98    | 0.00%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2015-K51, Class B                                                                           | CUSIP: 30293XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $9966528.00    | 0.02%             | 2048-10-25      | Variable      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28920488 | PA      | $24238833.41   | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                   | Chase Funding Trust, Series 2003-6, Class 1A5                                                                            | CUSIP: 161546HA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     518702 | PA      | $514336.12     | 0.00%             | 2034-11-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class A8                                                  | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     794834 | PA      | $790395.42     | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    9875000 | PA      | $8918910.20    | 0.02%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6727382 | PA      | $6332787.50    | 0.01%             | 2031-06-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   11119000 | PA      | $8465097.84    | 0.02%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140GWQC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3592699 | PA      | $3417567.97    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AIG SunAmerica Global Financing X                                     | AIG SunAmerica Global Financing X                                                                                        | CUSIP: 00139PAA6<br>LEI: 549300Q3UB1GMKCGGR05 | Long             | DBT              | CORP              | US        |    8295000 | PA      | $9220917.02    | 0.02%             | 2032-03-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   22915000 | PA      | $20788170.17   | 0.04%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-11, Class SC                                                                                           | CUSIP: 38374TJF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     318986 | PA      | $7892.29       | 0.00%             | 2039-02-16      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410FXM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64448 | PA      | $65959.51      | 0.00%             | 2037-01-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Capital LLC CDMC Mortgage Pass-Through Certificates  | Cendant Mortgage Capital LLC CDMC Mortgage Pass-Through Certificates, Series 2004-1, Class P                             | CUSIP: 151314GD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20055 | PA      | $14952.19      | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bastion Funding I LLC                                                 | Bastion Funding I LLC                                                                                                    | CUSIP: 07030UAG7<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   13487944 | PA      | $13521663.37   | 0.03%             | 2038-10-25      | Fixed         | 7.80%                 | No            |                  3 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   15023000 | PA      | $15111610.91   | 0.03%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WWZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25220070 | PA      | $23904089.46   | 0.05%             | 2032-11-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    5076000 | PA      | $4523779.52    | 0.01%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5595000 | PA      | $5618200.67    | 0.01%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19050309 | PA      | $16107096.07   | 0.03%             | 2061-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                   | Kinder Morgan, Inc.                                                                                                      | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   20500000 | PA      | $20738558.50   | 0.04%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65061306 | PA      | $62776940.44   | 0.12%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables LLC                                               | Verdant Receivables LLC, Series 2024-1A, Class A2                                                                        | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9140222 | PA      | $9301903.11    | 0.02%             | 2031-12-12      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2044370 | PA      | $2017318.68    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KPRC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21791500 | PA      | $21656563.47   | 0.04%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                              | Roper Technologies, Inc.                                                                                                 | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   24270000 | PA      | $24022507.16   | 0.05%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2327000 | PA      | $2410418.81    | 0.00%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AM9<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    6730000 | PA      | $6620857.91    | 0.01%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-25, Class SA                                                                                    | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74370 | PA      | $80592.40      | 0.00%             | 2034-04-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    2726000 | PA      | $2243427.97    | 0.00%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2020-SFR1, Class E                                                                          | CUSIP: 33767MAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11250000 | PA      | $11222950.50   | 0.02%             | 2037-08-17      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A                                                              | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154124 | PA      | $145103.45     | 0.00%             | 2034-06-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                          | Bridge Trust, Series 2022-SFR1, Class D                                                                                  | CUSIP: 10805VAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17966000 | PA      | $17876116.10   | 0.03%             | 2037-11-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HU2P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     490422 | PA      | $490299.34     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                             | GoodLeap Home Improvement Solutions Trust, Series 2024-1A, Class A                                                       | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6023158 | PA      | $6119992.50    | 0.01%             | 2046-10-20      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   49665000 | PA      | $51475446.69   | 0.10%             | 2036-05-28      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Grene 2023-Senior                                                     | Grene 2023-Senior                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   16015043 | PA      | $16117539.18   | 0.03%             | 2061-01-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3423, Class PB                                                                                      | CUSIP: 31397RVN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     811371 | PA      | $849405.49     | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   17528000 | PA      | $17605054.31   | 0.03%             | 2030-01-23      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class AM                                          | CUSIP: 3137H7ZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27000000 | PA      | $24735977.10   | 0.05%             | 2032-07-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    5160000 | PA      | $5245320.91    | 0.01%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom International Finance BV                             | Deutsche Telekom International Finance BV                                                                                | CUSIP: 25156PAR4<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |    2087000 | PA      | $1901629.40    | 0.00%             | 2042-03-06      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    8560000 | PA      | $8620784.56    | 0.02%             | 2027-03-02      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371ML88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50417 | PA      | $50979.67      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33900000 | PA      | $29951100.19   | 0.06%             | 2031-06-01      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Ohio University                                                       | Ohio University, General Receipts, Federally Taxable                                                                     | CUSIP: 677704A65<br>LEI: 549300P1K3IH2L5SFY61 | Long             | DBT              | MUN               | US        |    5822000 | PA      | $5192960.85    | 0.01%             | 2114-12-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-118, Class A2                                                                                   | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     757745 | PA      | $744648.86     | 0.00%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31700183 | PA      | $27502771.42   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2075, Class PH                                                                                      | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41322 | PA      | $41952.03      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 10 Year Note                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       6722 | NC      | $3847766.58    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $22906424.50   | 0.04%             | 2031-10-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241KN53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92402 | PA      | $97112.17      | 0.00%             | 2037-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR8, Class E1                                                                   | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   47000000 | PA      | $45758335.20   | 0.09%             | 2038-10-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2018-HOME, Class A                                                                     | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   53745000 | PA      | $52677876.90   | 0.10%             | 2033-04-10      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| Hartford Insurance Group, Inc. (The)                                  | Hartford Insurance Group, Inc. (The)                                                                                     | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    7410000 | PA      | $6272983.00    | 0.01%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                                                       | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152673 | PA      | $153869.53     | 0.00%             | 2037-10-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| 20 Times Square Trust                                                 | 20 Times Square Trust, Series 2018-20TS, Class E                                                                         | CUSIP: 90137LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13399000 | PA      | $12126095.00   | 0.02%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHK58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14504000 | PA      | $14213223.95   | 0.03%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19612791 | PA      | $20637700.17   | 0.04%             | 2072-02-20      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H20, Class FA                                                                                          | CUSIP: 38376RFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4084144 | PA      | $4083461.77    | 0.01%             | 2065-08-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5492084 | PA      | $5419416.64    | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2021-2A, Class C                                                                          | CUSIP: 52604DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9780000 | PA      | $9193009.29    | 0.02%             | 2032-04-20      | Fixed         | 3.09%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3318, Class AO                                                                                      | CUSIP: 31397HCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2348 | PA      | $2122.75       | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-75, Class SV                                                                                    | CUSIP: 31394FAV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12110 | PA      | $13561.72      | 0.00%             | 2035-09-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3632, Class BS                                                                                      | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     783461 | PA      | $780562.81     | 0.00%             | 2040-02-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2023-M8, Class A1                                                                                      | CUSIP: 3136BQNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10518388 | PA      | $10666806.40   | 0.02%             | 2032-11-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   23100000 | PA      | $23917306.18   | 0.05%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                    | Essex Portfolio LP                                                                                                       | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    8950000 | PA      | $7676904.39    | 0.01%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQEA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   74730187 | PA      | $74271297.57   | 0.14%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1189000 | PA      | $1030490.25    | 0.00%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   13550000 | PA      | $14492524.45   | 0.03%             | 2031-03-26      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Accenture Capital, Inc.                                               | Accenture Capital, Inc.                                                                                                  | CUSIP: 00440KAC7<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   21060000 | PA      | $20992601.89   | 0.04%             | 2031-10-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53638145 | PA      | $46214795.88   | 0.09%             | 2061-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31998560 | PA      | $27054728.72   | 0.05%             | 2062-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    5553000 | PA      | $4181931.26    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    8535000 | PA      | $7089950.84    | 0.01%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2717982 | PA      | $2645110.28    | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                                    | Granite Park Equipment Leasing LLC, Series 2023-1A, Class A3                                                             | CUSIP: 387422AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7047388 | PA      | $7155133.74    | 0.01%             | 2032-09-20      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   14886000 | PA      | $8912324.86    | 0.02%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR8, Class 1A2                                                | CUSIP: 93362FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192211 | PA      | $181401.47     | 0.00%             | 2046-08-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LAQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66498 | PA      | $68075.59      | 0.00%             | 2036-11-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   16992000 | PA      | $12272412.19   | 0.02%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834MD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16580000 | PA      | $6826700.10    | 0.01%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                | UBS AG                                                                                                                   | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    3598000 | PA      | $3882670.38    | 0.01%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88435 | PA      | $90362.68      | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                 | Pagaya AI Technology in Housing Trust, Series 2023-1, Class A                                                            | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   48444000 | PA      | $47015338.00   | 0.09%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                                | Keurig Dr. Pepper, Inc.                                                                                                  | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $12722056.29   | 0.02%             | 2030-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-23, Class FK                                                                                    | CUSIP: 31395B4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319638 | PA      | $316106.00     | 0.00%             | 2036-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4809, Class ZM                                                                                      | CUSIP: 3137FGPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19496366 | PA      | $18506499.93   | 0.04%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15599836 | PA      | $13115755.03   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-137, Class WA                                                                                          | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1411295 | PA      | $1463056.95    | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WB                                                                                          | CUSIP: 38378GPF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     706712 | PA      | $677836.71     | 0.00%             | 2042-09-16      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H16, Class FG                                                                                          | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5117262 | PA      | $5115125.60    | 0.01%             | 2065-07-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    6950000 | PA      | $6507610.75    | 0.01%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39121459 | PA      | $36707951.46   | 0.07%             | 2059-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSAV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17560472 | PA      | $17473240.15   | 0.03%             | 2028-09-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1418428 | PA      | $1366192.69    | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                          | FirstEnergy Transmission LLC                                                                                             | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    8353000 | PA      | $7996001.47    | 0.02%             | 2044-07-15      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    7065000 | PA      | $4288422.57    | 0.01%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                                    | Puget Energy, Inc.                                                                                                       | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    6522000 | PA      | $6188697.76    | 0.01%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1YJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1790144 | PA      | $1731249.06    | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2023-1A, Class A3                                                                      | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   51537093 | PA      | $52252871.48   | 0.10%             | 2032-05-20      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-96, Class SL                                                                                           | CUSIP: 38375PY88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     367573 | PA      | $8267.08       | 0.00%             | 2038-12-20      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11997000 | PA      | $11897598.26   | 0.02%             | 2028-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    3470000 | PA      | $3739760.51    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-7, Class SK                                                                                            | CUSIP: 38375PQ95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46812 | PA      | $47100.18      | 0.00%             | 2037-11-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y9ZS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17590147 | PA      | $16199877.02   | 0.03%             | 2052-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A1                                                                  | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113435 | PA      | $112942.12     | 0.00%             | 2035-06-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6211887.36    | 0.01%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 2A3                               | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     540974 | PA      | $28754.43      | 0.00%             | 2035-04-25      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M6ZN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154970 | PA      | $164699.68     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X8BA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11081609 | PA      | $9717017.18    | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617F7PT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27365615 | PA      | $28740012.43   | 0.06%             | 2072-06-20      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1927, Class ZA                                                                                      | CUSIP: 3133T8U70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2237 | PA      | $2244.17       | 0.00%             | 2027-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    7324000 | PA      | $7817329.33    | 0.02%             | 2034-05-09      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KRW91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259737 | PA      | $265148.19     | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41391022 | PA      | $38349585.90   | 0.07%             | 2062-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 3140QALK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4172814 | PA      | $3990159.64    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2017-1, Class AA                                                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    5519685 | PA      | $5214099.59    | 0.01%             | 2030-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-2                                                                                     | CUSIP: 78433LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9380000 | PA      | $7218482.46    | 0.01%             | 2038-05-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45215462 | PA      | $37565345.02   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599BM7<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    3130000 | PA      | $2530481.68    | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2023-SFR2, Class D                                                                                    | CUSIP: 00178YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12065000 | PA      | $11547305.33   | 0.02%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    4750000 | PA      | $4359912.09    | 0.01%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2455, Class GK                                                                                      | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81258 | PA      | $85361.59      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M6ZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69436 | PA      | $72682.11      | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   24465000 | PA      | $23432670.70   | 0.05%             | 2064-02-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   21204000 | PA      | $21300073.42   | 0.04%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1470278 | PA      | $1419786.32    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State of California                                                   | State of California, Various Purpose                                                                                     | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2400000 | PA      | $2770730.40    | 0.01%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2271, Class PC                                                                                      | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50788 | PA      | $52975.16      | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349SF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44193 | PA      | $45123.39      | 0.00%             | 2033-12-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| BAML RCAP Frn                                                         | BAML RCAP Frn                                                                                                            | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |   19920000 | PA      | $19920000.00   | 0.04%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-91, Class W                                                                                            | CUSIP: 38379PU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1457282 | PA      | $1508051.95    | 0.00%             | 2040-05-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XBYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18698559 | PA      | $15747178.53   | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TCI Communications, Inc.                                              | TCI Communications, Inc.                                                                                                 | CUSIP: 872287AL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1199000 | PA      | $1283577.16    | 0.00%             | 2028-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 5 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      22567 | NC      | $10182560.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-84, Class WS                                                                                    | CUSIP: 31398FHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146677 | PA      | $11344.31      | 0.00%             | 2039-10-25      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP                                          | CUSIP: 31394PPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103524 | PA      | $51615.30      | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Boston Gas Co.                                                        | Boston Gas Co.                                                                                                           | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    2201000 | PA      | $1851468.79    | 0.00%             | 2042-02-15      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-59, Class SD                                                                                           | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262956 | PA      | $16948.29      | 0.00%             | 2036-10-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-43                                                                                              | CUSIP: 31395DC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46530 | PA      | $41646.15      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                                | Banc of America Alternative Loan Trust, Series 2004-6, Class 15                                                          | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7363 | PA      | $3123.70       | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   16564000 | PA      | $16094610.03   | 0.03%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                        | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2                                               | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     338130 | PA      | $290299.76     | 0.00%             | 2036-01-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3286                                                                                                | CUSIP: 31397G4B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6331 | PA      | $5517.74       | 0.00%             | 2037-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L1T33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3266506 | PA      | $3208143.65    | 0.01%             | 2027-11-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2024-SFR2, Class C                                                                                    | CUSIP: 00179UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11723000 | PA      | $11346951.95   | 0.02%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     415581 | PA      | $413621.01     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                            | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   13295000 | PA      | $13172737.45   | 0.03%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-71, Class ZL                                                                                    | CUSIP: 31396KUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1168609 | PA      | $1238126.56    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7210316 | PA      | $6822341.04    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T2, Class 1A4                                                               | CUSIP: 31393X7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     639448 | PA      | $647493.01     | 0.00%             | 2043-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                                           | Sigeco Securitization I LLC, Series A2                                                                                   | CUSIP: 82655KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6960000 | PA      | $6929264.78    | 0.01%             | 2041-05-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-92                                                                                              | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3259797 | PA      | $2463124.58    | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JMHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234287 | PA      | $242463.65     | 0.00%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225B2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31247 | PA      | $32062.81      | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-4                                                                           | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9600000 | PA      | $9158047.58    | 0.02%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-3, Class 3A1                                                                   | CUSIP: 576434NW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     725362 | PA      | $744491.46     | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC Finance Corp.                                                    | HSBC Finance Corp.                                                                                                       | CUSIP: 441812JZ8<br>LEI: 213800NQZ5NL1KSD7V45 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9590392.17    | 0.02%             | 2032-05-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   20230000 | PA      | $13292510.12   | 0.03%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   13540000 | PA      | $13863019.99   | 0.03%             | 2034-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-103, Class WA                                                                                          | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172203 | PA      | $175712.98     | 0.00%             | 2034-08-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13781000 | PA      | $13103650.62   | 0.03%             | 2032-09-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1587383 | PA      | $1547445.91    | 0.00%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2005-AR6, Class 3A1                                                                      | CUSIP: 362341RZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18481 | PA      | $16890.20      | 0.00%             | 2035-09-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417G5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6414147 | PA      | $5852160.21    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-95, Class SG                                                                                    | CUSIP: 31396K4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56593 | PA      | $69978.20      | 0.00%             | 2036-10-25      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140AELH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40051466 | PA      | $39522777.39   | 0.08%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49188523 | PA      | $43651491.58   | 0.09%             | 2061-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22010 | PA      | $22442.20      | 0.00%             | 2035-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Nited Mortgage Mezz                                                   | Nited Mortgage Mezz                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   36000000 | PA      | $36000000.00   | 0.07%             | 2026-02-18      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   95840000 | PA      | $96643961.51   | 0.19%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140M9MK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18292670 | PA      | $15406602.19   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series W5FX, Class AFX                                         | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21769000 | PA      | $21372068.41   | 0.04%             | 2028-04-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     834314 | PA      | $874111.23     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Diversified Abs Phase VI LLC                                          | Diversified ABS Phase LLC, Series VI, Class A                                                                            | CUSIP: 25512VAA7<br>LEI: 549300N7EGAMCATEDO05 | Long             | ABS-O            | CORP              | US        |   24005192 | PA      | $23983587.40   | 0.05%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6419000 | PA      | $6153942.86    | 0.01%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2003-2, Class A5                                                                          | CUSIP: 07384MTD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     339313 | PA      | $337136.67     | 0.00%             | 2033-01-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-81, Class TA                                                                                    | CUSIP: 3136AFK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1145845 | PA      | $1129878.25    | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10561000 | PA      | $9690921.98    | 0.02%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates                               | WaMu Mortgage Pass-Through Certificates, Series 2004-RS2, Class A4                                                       | CUSIP: 92922FPH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110529 | PA      | $109213.34     | 0.00%             | 2033-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2024-3, Class D                                                           | CUSIP: 80287LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5230000 | PA      | $5393083.43    | 0.01%             | 2031-10-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                              | PRPM LLC, Series 2024-RCF1, Class A1                                                                                     | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8978644 | PA      | $8838342.22    | 0.02%             | 2054-01-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    7060000 | PA      | $5357687.01    | 0.01%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H06, Class FA                                                                                          | CUSIP: 38375UUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3032007 | PA      | $3031965.55    | 0.01%             | 2065-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1                                                         | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168545 | PA      | $158705.99     | 0.00%             | 2034-12-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H10, Class FA                                                                                          | CUSIP: 38375BRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1913490 | PA      | $1915286.18    | 0.00%             | 2061-12-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ADE61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21930096 | PA      | $20880939.01   | 0.04%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2016-M1, Class A2                                                                                      | CUSIP: 3136AQV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21588351 | PA      | $21458982.77   | 0.04%             | 2026-01-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   25095000 | PA      | $24580346.97   | 0.05%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28800000 | PA      | $23052375.07   | 0.04%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2665262 | PA      | $2581486.38    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3966, Class NA                                                                                      | CUSIP: 3137AJXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     775059 | PA      | $757879.58     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Energy, Inc.                                                 | Progress Energy, Inc.                                                                                                    | CUSIP: 743263AG0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2930764.23    | 0.01%             | 2031-10-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-114, Class BS                                                                                          | CUSIP: 38383TGW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13735200 | PA      | $14895020.86   | 0.03%             | 2052-06-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400CEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4226 | PA      | $4323.73       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-35, Class SB                                                                                    | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253741 | PA      | $17105.14      | 0.00%             | 2040-04-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NKHW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36203 | PA      | $36681.95      | 0.00%             | 2037-11-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp.                                                     | NTT Finance Corp.                                                                                                        | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   38670000 | PA      | $39399385.42   | 0.08%             | 2032-07-16      | Fixed         | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                                              | Safehold GL Holdings LLC                                                                                                 | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $10960811.64   | 0.02%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833PB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10990000 | PA      | $10517185.03   | 0.02%             | 2026-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CF Industries, Inc.                                                   | CF Industries, Inc.                                                                                                      | CUSIP: 12527GAF0<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    3570000 | PA      | $3566366.42    | 0.01%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15134000 | PA      | $15104913.97   | 0.03%             | 2033-01-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BS8<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1233120.33    | 0.00%             | 2027-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR1, Class C                                                                    | CUSIP: 74333YAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14649000 | PA      | $13973663.52   | 0.03%             | 2041-02-17      | Fixed         | 3.46%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    9560000 | PA      | $9838802.68    | 0.02%             | 2029-05-30      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559492 | PA      | $579655.68     | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40471158 | PA      | $33677533.73   | 0.07%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LFT CRE Ltd.                                                          | LFT CRE Ltd., Series 2021-FL1, Class C                                                                                   | CUSIP: 50203JAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   29810000 | PA      | $29656895.84   | 0.06%             | 2039-06-15      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-22, Class SA                                                                                           | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     705373 | PA      | $52890.83      | 0.00%             | 2039-04-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   22360000 | PA      | $22145698.85   | 0.04%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 1999-T2, Class A1                                                                | CUSIP: 31359VYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208128 | PA      | $215376.90     | 0.00%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-7, Class JM                                                                                            | CUSIP: 38374KF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1400 | PA      | $1486.83       | 0.00%             | 2034-05-18      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                        | Long Beach Mortgage Loan Trust, Series 2004-1, Class M1                                                                  | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     376566 | PA      | $374233.46     | 0.00%             | 2034-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                                                                   | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     859367 | PA      | $891524.08     | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-119                                                                                             | CUSIP: 31396LM80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47241 | PA      | $41703.06      | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3531, Class SA                                                                                      | CUSIP: 31398CVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     363494 | PA      | $32642.13      | 0.00%             | 2039-05-15      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2                                                              | CUSIP: 17307GBP2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |         46 | PA      | $41.07         | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    6890000 | PA      | $7020511.55    | 0.01%             | 2027-03-13      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5584000 | PA      | $4032377.61    | 0.01%             | 2050-02-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFGE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90388 | PA      | $91606.58      | 0.00%             | 2036-10-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128LUSW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19374 | PA      | $19862.92      | 0.00%             | 2037-07-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1587497 | PA      | $1509413.65    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                                                                 | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396237 | PA      | $397582.06     | 0.00%             | 2042-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-86, Class OT                                                                                    | CUSIP: 31398FRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1534446 | PA      | $1308925.50    | 0.00%             | 2037-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W13S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48993270 | PA      | $42978122.19   | 0.08%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                             | Goodgreen, Series 2023-1A, Class A                                                                                       | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   43272810 | PA      | $43131710.17   | 0.08%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                             | South Bow USA Infrastructure Holdings LLC                                                                                | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7060012.82    | 0.01%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                             | KLA Corp.                                                                                                                | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $4837616.42    | 0.01%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-74, Class SL                                                                                           | CUSIP: 38375LZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     503458 | PA      | $2398.22       | 0.00%             | 2037-11-16      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                       | AstraZeneca plc                                                                                                          | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    4250000 | PA      | $4799238.98    | 0.01%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M11, Class A2                                                                                     | CUSIP: 3136AX3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12334147 | PA      | $11844983.70   | 0.02%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Pepperdine University                                                 | Pepperdine University, Series 2020                                                                                       | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    9620000 | PA      | $6072539.67    | 0.01%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                      | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class A                                                 | CUSIP: 66981PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41825000 | PA      | $42574704.76   | 0.08%             | 2032-12-15      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LHTX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26680000 | PA      | $25307795.57   | 0.05%             | 2032-04-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-39, Class PD                                                                                    | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16343 | PA      | $16495.77      | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FFCB Funding Corp.                                                    | FFCB Funding Corp.                                                                                                       | CUSIP: 3133EMNM0<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |   25000000 | PA      | $19110860.00   | 0.04%             | 2036-01-25      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    9690000 | PA      | $8661714.16    | 0.02%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H11                                                                                                    | CUSIP: 38380QDB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22680537 | PA      | $1239577.55    | 0.00%             | 2070-06-20      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2995337.13    | 0.01%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Pepco Holdings LLC                                                    | Pepco Holdings LLC                                                                                                       | CUSIP: 713291AH5<br>LEI: 0IYTXJPU5BH89F2Z1F31 | Long             | DBT              | CORP              | US        |    3507000 | PA      | $4041870.28    | 0.01%             | 2032-08-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                              | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475CD5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   28460000 | PA      | $29043207.44   | 0.06%             | 2031-05-13      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418M2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     509786 | PA      | $549512.94     | 0.00%             | 2039-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-95, Class DS                                                                                           | CUSIP: 38375DYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1105071 | PA      | $10758.86      | 0.00%             | 2038-12-20      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR3, Class D                                                                          | CUSIP: 33768EAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7187000 | PA      | $7054518.44    | 0.01%             | 2038-07-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    4960000 | PA      | $4550261.79    | 0.01%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7463000 | PA      | $7575803.32    | 0.01%             | 2032-11-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4VW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20116 | PA      | $20631.01      | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| P4 SFR                                                                | P4 SFR                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   31509035 | PA      | $31036399.20   | 0.06%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AT2<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   18040000 | PA      | $18675982.16   | 0.04%             | 2034-05-09      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1666335 | PA      | $1627812.94    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   23688000 | PA      | $21540119.97   | 0.04%             | 2033-02-24      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A1                                                                | CUSIP: 31392B6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4277580 | PA      | $4406295.31    | 0.01%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56545193 | PA      | $47530100.50   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   11580000 | PA      | $12576689.79   | 0.02%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   76360000 | PA      | $78217783.82   | 0.15%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-3A, Class D                                                             | CUSIP: 30166YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   39700000 | PA      | $40241646.95   | 0.08%             | 2028-09-15      | Fixed         | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39453 | PA      | $39663.63      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Pennsylvania Electric Co.                                 | FirstEnergy Pennsylvania Electric Co.                                                                                    | CUSIP: 591894CE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2456050.06    | 0.00%             | 2028-04-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-6, Class A                                                                         | CUSIP: 48247NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4444155 | PA      | $49179.02      | 0.00%             | 2039-05-25      | Variable      | 0.68%                 | Yes           |                  3 | On Loan: No      |
| Becton Dickinson & Co.                                                | Becton Dickinson & Co.                                                                                                   | CUSIP: 075887CK3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    2098000 | PA      | $1550997.08    | 0.00%             | 2050-05-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266954 | PA      | $272613.07     | 0.00%             | 2036-01-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-147, Class BE                                                                                          | CUSIP: 38378UNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3874000 | PA      | $3701371.07    | 0.01%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DTZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   94712484 | PA      | $82582208.04   | 0.16%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31298GDU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207253 | PA      | $217139.22     | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XEJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22965938 | PA      | $20907923.79   | 0.04%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-157, Class OP                                                                                          | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1489351 | PA      | $1280229.45    | 0.00%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Hackensack Meridian Health, Inc.                                      | Hackensack Meridian Health, Inc., Series 2020                                                                            | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   11100000 | PA      | $6919881.30    | 0.01%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-72, Class AZ                                                                                           | CUSIP: 38374L7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     276152 | PA      | $280732.75     | 0.00%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12946000 | PA      | $9154743.70    | 0.02%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-91, Class ES                                                                                    | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     638446 | PA      | $70368.03      | 0.00%             | 2037-10-25      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   18303000 | PA      | $19631742.34   | 0.04%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF                                                                        | CUSIP: 31394FSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2714172 | PA      | $2690601.12    | 0.01%             | 2045-03-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4930000 | PA      | $5148384.21    | 0.01%             | 2030-04-18      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4933 | PA      | $4942.63       | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                                          | Canadian Pacific Railway Co.                                                                                             | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    2500000 | PA      | $2190474.33    | 0.00%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2016-1A, Class A                                                                                 | CUSIP: 38217KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6888632 | PA      | $6340224.70    | 0.01%             | 2052-10-15      | Fixed         | 3.23%                 | Yes           |                  3 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAW8<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    1551000 | PA      | $1524353.74    | 0.00%             | 2028-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3852, Class QN                                                                                      | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     514013 | PA      | $493017.06     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                                | Jonah Energy ABS LLC, Series 2022-1, Class A1                                                                            | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   20317676 | PA      | $20450940.06   | 0.04%             | 2037-12-10      | Fixed         | 7.20%                 | Yes           |                  3 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2010000 | PA      | $1770122.66    | 0.00%             | 2042-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-75, Class ZX                                                                                           | CUSIP: 38374CDG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     293830 | PA      | $294264.15     | 0.00%             | 2033-09-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   16372000 | PA      | $16906556.44   | 0.03%             | 2035-01-19      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CZ3<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    8335000 | PA      | $7600566.31    | 0.01%             | 2055-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class B                                                               | CUSIP: 224936AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   43500000 | PA      | $44569530.15   | 0.09%             | 2033-10-17      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| BAML RCAP Frn                                                         | BAML RCAP Frn                                                                                                            | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |     211251 | PA      | $211251.24     | 0.00%             | 2026-01-25      | Fixed         | 9.10%                 | No            |                  3 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    8000000 | PA      | $8042705.36    | 0.02%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                             | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   34388000 | PA      | $33486491.41   | 0.07%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    5527000 | PA      | $5491245.17    | 0.01%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412TXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191691 | PA      | $202322.83     | 0.00%             | 2038-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27824 | PA      | $28430.39      | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 05581KAF8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    2500000 | PA      | $2566069.33    | 0.01%             | 2029-06-12      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HYCH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1144254 | PA      | $1170049.66    | 0.00%             | 2049-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33345000 | PA      | $34289340.74   | 0.07%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3232, Class ST                                                                                      | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218775 | PA      | $17213.16      | 0.00%             | 2036-10-15      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEZC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26665000 | PA      | $23168306.56   | 0.05%             | 2032-01-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MSPN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41095565 | PA      | $40718231.97   | 0.08%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    5835000 | PA      | $4665920.23    | 0.01%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class AP                                                  | CUSIP: 2254586K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25131 | PA      | $19432.53      | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-22T1, Class A2                                                                       | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3262440 | PA      | $233832.43     | 0.00%             | 2035-06-25      | Floating      | 0.63%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    7665000 | PA      | $7520780.57    | 0.01%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41819571 | PA      | $35405230.13   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-8, Class A1                                                                          | CUSIP: 81744FDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     277935 | PA      | $242752.44     | 0.00%             | 2034-09-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLBH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8517158 | PA      | $7451314.92    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2070, Class C                                                                                       | CUSIP: 3133TEMS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15676 | PA      | $15735.51      | 0.00%             | 2028-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $6085844.20    | 0.01%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  216030000 | PA      | $102056464.86  | 0.20%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Femsa SAB de CV                                             | Coca-Cola Femsa SAB de CV                                                                                                | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |   11205000 | PA      | $9282670.20    | 0.02%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239115 | PA      | $248250.35     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23197599 | PA      | $19584915.27   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Appalachian Power Co.                                                 | Appalachian Power Co., Series P                                                                                          | CUSIP: 037735CK1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    3740000 | PA      | $4094321.06    | 0.01%             | 2037-08-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-29, Class SG                                                                                    | CUSIP: 31396VQJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132729 | PA      | $155844.56     | 0.00%             | 2037-04-25      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4923000 | PA      | $4613936.18    | 0.01%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LESN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11086110 | PA      | $9781359.11    | 0.02%             | 2032-01-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36213GR52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13810 | PA      | $13967.43      | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6287176 | PA      | $5892619.81    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-22, Class AO                                                                                           | CUSIP: 38374M2N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182931 | PA      | $152860.95     | 0.00%             | 2036-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4048, Class FJ                                                                                      | CUSIP: 3137AQUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1463745 | PA      | $1446392.26    | 0.00%             | 2037-07-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216AS0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    2242000 | PA      | $2495361.31    | 0.00%             | 2096-08-15      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   12800000 | PA      | $12684492.29   | 0.02%             | 2028-04-06      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CU4<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    6367000 | PA      | $4812128.24    | 0.01%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-32, Class PG                                                                                    | CUSIP: 31359PMW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1361 | PA      | $1361.00       | 0.00%             | 2027-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                           | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1                                                     | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      31724 | PA      | $31473.83      | 0.00%             | 2034-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-117, Class GS                                                                                   | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393169 | PA      | $38922.24      | 0.00%             | 2036-12-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                               | KeyCorp                                                                                                                  | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    3780000 | PA      | $3743398.68    | 0.01%             | 2033-06-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-16, Class OP                                                                                           | CUSIP: 38374MM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127140 | PA      | $106241.43     | 0.00%             | 2036-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283YQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3595 | PA      | $3666.29       | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1515, Class A2                                        | CUSIP: 3137FTZL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22000000 | PA      | $17685547.00   | 0.03%             | 2035-02-25      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 LP                                                           | CARS-DB4 LP, Series 2020-1A, Class A6                                                                                    | CUSIP: 12510HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5873750 | PA      | $5541631.14    | 0.01%             | 2050-02-15      | Fixed         | 3.81%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2023-3A, Class D                                                               | CUSIP: 36267PAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9293000 | PA      | $9513862.08    | 0.02%             | 2029-05-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K118, Class XAM                                         | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21864540 | PA      | $1132008.13    | 0.00%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248848 | PA      | $252636.65     | 0.00%             | 2036-12-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418VUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1855667 | PA      | $1889915.88    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406UU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45588 | PA      | $46533.72      | 0.00%             | 2035-03-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                                                       | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1618536 | PA      | $1662322.19    | 0.00%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                                    | F&G Global Funding                                                                                                       | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   12780000 | PA      | $12482312.01   | 0.02%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2722, Class PF                                                                                      | CUSIP: 31394NG93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     426943 | PA      | $427779.50     | 0.00%             | 2033-12-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-7, Class SP                                                                                            | CUSIP: 38375PQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66668 | PA      | $66699.79      | 0.00%             | 2037-10-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   22624000 | PA      | $23189600.00   | 0.05%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     600209 | PA      | $601069.53     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KBC Group NV                                                          | KBC Group NV                                                                                                             | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   36960000 | PA      | $40023248.13   | 0.08%             | 2034-09-21      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                      | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    6154000 | PA      | $6145309.88    | 0.01%             | 2026-01-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   16000000 | PA      | $11865490.08   | 0.02%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JNLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2554148 | PA      | $2601100.07    | 0.01%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YCR8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   26000000 | PA      | $27403098.84   | 0.05%             | 2031-05-27      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSB62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133248 | PA      | $137251.26     | 0.00%             | 2036-03-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   32855000 | PA      | $32095343.12   | 0.06%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2110, Class PG                                                                                      | CUSIP: 3133THLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93486 | PA      | $94133.66      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   15385000 | PA      | $15226631.27   | 0.03%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-27, Class SD                                                                                           | CUSIP: 38375JJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     485063 | PA      | $13998.23      | 0.00%             | 2037-05-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9US9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $23938526.00   | 0.05%             | 2030-04-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                              | Tricon Residential Trust, Series 2024-SFR2, Class A                                                                      | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25750104 | PA      | $25903509.94   | 0.05%             | 2040-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   36499000 | PA      | $32633025.92   | 0.06%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MedStar Health, Inc.                                                  | MedStar Health, Inc., Series 20A                                                                                         | CUSIP: 58506YAS1<br>LEI: 549300ICFOCGDEPVJE31 | Long             | DBT              | CORP              | US        |    7365000 | PA      | $5260279.28    | 0.01%             | 2049-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Grupo Televisa SAB                                                    | Grupo Televisa SAB                                                                                                       | CUSIP: 40049JBC0<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |     767000 | PA      | $617435.00     | 0.00%             | 2046-01-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-52, Class SX                                                                                    | CUSIP: 31393CV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27285 | PA      | $32277.93      | 0.00%             | 2031-10-25      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XHP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34584980 | PA      | $30628436.93   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-36, Class SH                                                                                           | CUSIP: 38374D3F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     593962 | PA      | $2650.67       | 0.00%             | 2038-04-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-76, Class US                                                                                           | CUSIP: 38375DUZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     623528 | PA      | $18720.75      | 0.00%             | 2038-09-20      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H19, Class FA                                                                                          | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216768 | PA      | $216728.80     | 0.00%             | 2061-08-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 197                                                                                                | CUSIP: 31351BWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60184 | PA      | $57495.03      | 0.00%             | 2028-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-5, Class D                                                           | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   95700000 | PA      | $96639410.34   | 0.19%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                             | CFIN 2022-RTL1 Issuer LLC, Class A                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   56671053 | PA      | $56671053.11   | 0.11%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Resolution Funding Corp.                                              | Resolution Funding Corp. STRIPS                                                                                          | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   30700000 | PA      | $25911964.14   | 0.05%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                  | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A1                                           | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12471 | PA      | $12496.34      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQCZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16359013 | PA      | $15787499.30   | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9AZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7116073 | PA      | $6816516.37    | 0.01%             | 2030-02-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2025-3A, Class D                                                             | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25900000 | PA      | $26419372.70   | 0.05%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    8840000 | PA      | $8708428.18    | 0.02%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                             | EQT Corp.                                                                                                                | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    3371000 | PA      | $3339040.16    | 0.01%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   12565000 | PA      | $12607481.89   | 0.02%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21068 | PA      | $22028.02      | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class C                                                    | CUSIP: 108056AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19650000 | PA      | $20105938.95   | 0.04%             | 2029-08-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    7650000 | PA      | $7488007.88    | 0.01%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403BBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107564 | PA      | $108692.84     | 0.00%             | 2033-11-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-46                                                                                                     | CUSIP: 38374G5Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179219 | PA      | $150650.69     | 0.00%             | 2034-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-69, Class WA                                                                                    | CUSIP: 31396Q5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265634 | PA      | $269330.01     | 0.00%             | 2039-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2004-2, Class 14A                                                                         | CUSIP: 07384MM66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164542 | PA      | $153023.60     | 0.00%             | 2034-05-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31409GMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20726 | PA      | $21935.74      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                               | Pfizer Investment Enterprises Pte. Ltd.                                                                                  | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |   36640000 | PA      | $34131536.20   | 0.07%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-60, Class QS                                                                                    | CUSIP: 3139214L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42289 | PA      | $48980.69      | 0.00%             | 2031-09-25      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-76, Class AZ                                                                                    | CUSIP: 31396WT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51528 | PA      | $51764.70      | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-36, Class SA                                                                                    | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210305 | PA      | $233573.30     | 0.00%             | 2034-05-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5354                                                                                                | CUSIP: 3137HAT71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6755074 | PA      | $5163606.06    | 0.01%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LVNV Funding LLC                                                      | LVNV Funding LLC                                                                                                         | CUSIP: N/A<br>LEI: 549300YMNWAZ7DKR6204       | Long             | ABS-MBS          | CORP              | US        |   50000000 | PA      | $50000000.00   | 0.10%             | 2027-10-15      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                  | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25130000 | PA      | $23932665.32   | 0.05%             | 2055-02-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1086524 | PA      | $1049438.86    | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2345, Class NE                                                                                      | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40054 | PA      | $41862.12      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  289890000 | PA      | $219104749.67  | 0.43%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                             | Consolidated Edison Co. of New York, Inc.                                                                                | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    1724000 | PA      | $1390504.42    | 0.00%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2021-C, Class A                                                                           | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3907150 | PA      | $3826437.28    | 0.01%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   27400000 | PA      | $21472124.81   | 0.04%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   35355000 | PA      | $36566707.42   | 0.07%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-3A, Class D                                                             | CUSIP: 301989AF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $7161472.50    | 0.01%             | 2029-04-16      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41224 | PA      | $41832.04      | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131038 | PA      | $133243.08     | 0.00%             | 2037-02-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Northern Natural Gas Co.                                              | Northern Natural Gas Co.                                                                                                 | CUSIP: 665501AN2<br>LEI: 5493007M02M6CT9EXE41 | Long             | DBT              | CORP              | US        |    4550000 | PA      | $4293488.06    | 0.01%             | 2054-02-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                                                      | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   87243082 | PA      | $77965661.50   | 0.15%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEGP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9030422 | PA      | $8712732.77    | 0.02%             | 2028-07-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                 | Pagaya AI Technology in Housing Trust, Series 2023-1, Class B                                                            | CUSIP: 69547YAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22500000 | PA      | $21548119.50   | 0.04%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                                        | Enbridge, Inc.                                                                                                           | CUSIP: 29250NBZ7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    5550000 | PA      | $5977374.64    | 0.01%             | 2053-11-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A1, Class 7A1                                                                  | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2872 | PA      | $2887.65       | 0.00%             | 2037-02-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   14187000 | PA      | $10993607.88   | 0.02%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-41, Class W                                                                                            | CUSIP: 38379AX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1041548 | PA      | $1050906.21    | 0.00%             | 2042-10-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                             | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS                                                                    | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2149828 | PA      | $39857.16      | 0.00%             | 2035-09-25      | Variable      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3218, Class AO                                                                                      | CUSIP: 31397BHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49261 | PA      | $40064.41      | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAJ1<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    3330000 | PA      | $2392201.60    | 0.00%             | 2041-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-49, Class Z                                                                                     | CUSIP: 313921AG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20644 | PA      | $21496.81      | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Grene Energy Senio                                                    | Grene Energy Senio                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    2556709 | PA      | $2093177.84    | 0.00%             | 2061-01-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371MWM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15851 | PA      | $16422.24      | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Delmarva Power & Light Co.                                            | Delmarva Power & Light Co.                                                                                               | CUSIP: 247109BR1<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |    1478000 | PA      | $1213646.21    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K082, Class AM                                          | CUSIP: 3137FJKF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12035000 | PA      | $12016635.79   | 0.02%             | 2028-09-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   29400000 | PA      | $31206809.63   | 0.06%             | 2029-10-19      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7208202.68    | 0.01%             | 2063-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24999000 | PA      | $24335376.30   | 0.05%             | 2026-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                                             | O'Reilly Automotive, Inc.                                                                                                | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    4715000 | PA      | $4670756.23    | 0.01%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   25312000 | PA      | $16831198.71   | 0.03%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2005-A1, Class 3A4                                                                       | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122471 | PA      | $117589.06     | 0.00%             | 2035-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60881092 | PA      | $48387112.28   | 0.09%             | 2062-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38469000 | PA      | $38561882.25   | 0.08%             | 2031-02-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M5, Class A2                                                                                      | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4285305 | PA      | $4159452.06    | 0.01%             | 2029-04-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QHUA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38062 | PA      | $38851.50      | 0.00%             | 2037-05-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                        | Public Service Co. of Colorado                                                                                           | CUSIP: 744448CM1<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    1175000 | PA      | $847123.03     | 0.00%             | 2046-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31390MLR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3017 | PA      | $3013.20       | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                          | Bridge Trust, Series 2022-SFR1, Class E1                                                                                 | CUSIP: 10805VAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13567000 | PA      | $13534755.31   | 0.03%             | 2037-11-17      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Texas Instruments, Inc.                                               | Texas Instruments, Inc.                                                                                                  | CUSIP: 882926AA6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |   12988000 | PA      | $11665667.43   | 0.02%             | 2063-05-18      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   20190000 | PA      | $21913087.28   | 0.04%             | 2029-10-30      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class NG                                                                                      | CUSIP: 31339NLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62030 | PA      | $64796.08      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Beth Israel Lahey Health, Inc.                                        | Beth Israel Lahey Health, Inc., Series L                                                                                 | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |    4180000 | PA      | $2661926.45    | 0.01%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   20470000 | PA      | $18468863.85   | 0.04%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Swiss Re Finance Luxembourg SA                                        | Swiss Re Finance Luxembourg SA                                                                                           | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    2600000 | PA      | $2608140.99    | 0.01%             | 2049-04-02      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H32, Class FH                                                                                          | CUSIP: 38376RMJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2463460 | PA      | $2468254.28    | 0.00%             | 2065-12-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25547 | PA      | $26339.55      | 0.00%             | 2033-09-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| Diversified ABS IX Holdings LLC                                       | Diversified ABS Holdings LLC, Series 2024-2A, Class A                                                                    | CUSIP: 260968AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   43465639 | PA      | $43804670.67   | 0.09%             | 2044-09-30      | Fixed         | 6.55%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27479541 | PA      | $26692004.13   | 0.05%             | 2032-11-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3840000 | PA      | $4120005.24    | 0.01%             | 2044-03-09      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  171000000 | PA      | $158769491.76  | 0.31%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LF3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36743000 | PA      | $34149836.32   | 0.07%             | 2032-05-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                               | CenterPoint Energy Houston Electric LLC                                                                                  | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    1066000 | PA      | $833766.62     | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                              | Foundation Finance Trust, Series 2023-2A, Class A                                                                        | CUSIP: 35042RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24772270 | PA      | $25884250.01   | 0.05%             | 2049-06-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| PNM Energy Transition Bond Co. I LLC                                  | PNM Energy Transition Bond Co. I LLC, Series A-1                                                                         | CUSIP: 69380MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25842102 | PA      | $26858759.92   | 0.05%             | 2040-08-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                              | Foundation Finance Trust, Series 2019-1A, Class C                                                                        | CUSIP: 35041JAC9<br>LEI: 5493002KPTN6JUQ40J20 | Long             | ABS-O            | CORP              | US        |   18930000 | PA      | $18921436.07   | 0.04%             | 2034-11-15      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19145000 | PA      | $18318965.24   | 0.04%             | 2032-08-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZN7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5469000 | PA      | $4184982.27    | 0.01%             | 2043-02-24      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3481, Class SJ                                                                                      | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     589914 | PA      | $52678.53      | 0.00%             | 2038-08-15      | Floating      | 1.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-17, Class H                                                                                     | CUSIP: 31393XZV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     619547 | PA      | $644567.05     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-108, Class F                                                                                    | CUSIP: 3136A8Q52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1201392 | PA      | $1186486.67    | 0.00%             | 2042-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  138080000 | PA      | $110124193.40  | 0.21%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9                                                                       | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     316430 | PA      | $317092.56     | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K145, Class A2                                          | CUSIP: 3137H7QH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40795000 | PA      | $36822089.18   | 0.07%             | 2032-05-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   49969000 | PA      | $49103968.15   | 0.10%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A                                           | CUSIP: 31392W7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224326 | PA      | $232128.29     | 0.00%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                              | MRCD MARK Mortgage Trust, Series 2019-PARK, Class E                                                                      | CUSIP: 55348UAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   81600000 | PA      | $56377440.00   | 0.11%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-74, Class SW                                                                                    | CUSIP: 31394AR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40323 | PA      | $44682.82      | 0.00%             | 2031-11-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   10518000 | PA      | $10702044.60   | 0.02%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3290, Class SB                                                                                      | CUSIP: 31397FR79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214982 | PA      | $18409.93      | 0.00%             | 2037-03-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11200000 | PA      | $9714614.78    | 0.02%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                                | Cascade MH Asset Trust, Series 2022-MH1, Class A                                                                         | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32971147 | PA      | $32088275.15   | 0.06%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2988, Class AF                                                                                      | CUSIP: 31395UVT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247508 | PA      | $245371.93     | 0.00%             | 2035-06-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-20, Class SA                                                                                    | CUSIP: 31396YTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200550 | PA      | $21503.68      | 0.00%             | 2038-03-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-76, Class SB                                                                                           | CUSIP: 38375LR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     884871 | PA      | $4675.75       | 0.00%             | 2037-11-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36183SXU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1092067 | PA      | $1014088.39    | 0.00%             | 2045-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-60, Class AX                                                                                    | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1807554 | PA      | $251517.46     | 0.00%             | 2037-07-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34289 | PA      | $35524.88      | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2692, Class SC                                                                                      | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80894 | PA      | $85547.38      | 0.00%             | 2033-07-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                         | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F                                                                 | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4875633 | PA      | $2340923.27    | 0.00%             | 2035-05-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-31, Class TS                                                                                           | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158056 | PA      | $3477.52       | 0.00%             | 2039-03-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   31800000 | PA      | $32688918.76   | 0.06%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   57605000 | PA      | $35581463.31   | 0.07%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR3, Class E1                                                                         | CUSIP: 33768EAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $6844796.00    | 0.01%             | 2038-07-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41633588 | PA      | $33089768.74   | 0.06%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   17150000 | PA      | $10755498.16   | 0.02%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2018-H09, Class FE                                                                                          | CUSIP: 38380LEZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1516856 | PA      | $1521476.90    | 0.00%             | 2068-06-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-49, Class Z                                                                                            | CUSIP: 38374GU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     743117 | PA      | $751486.79     | 0.00%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28280 | PA      | $28279.49      | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-3, Class D                                                                   | CUSIP: 43730XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40571276 | PA      | $37859833.17   | 0.07%             | 2041-01-17      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   19370000 | PA      | $20075887.93   | 0.04%             | 2035-01-05      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2132, Class SB                                                                                      | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2867 | PA      | $3204.78       | 0.00%             | 2029-03-15      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4                               | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2436342 | PA      | $127228.22     | 0.00%             | 2035-04-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A2                                                               | CUSIP: 31393XFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67461 | PA      | $69496.60      | 0.00%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2172, Class QC                                                                                      | CUSIP: 3133TLLL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56912 | PA      | $58694.13      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   19100000 | PA      | $19110540.72   | 0.04%             | 2029-09-26      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                                           | Huntington Bancshares, Inc.                                                                                              | CUSIP: 446150BD5<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13433498.91   | 0.03%             | 2035-02-02      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-68, Class DP                                                                                           | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146320 | PA      | $159920.42     | 0.00%             | 2035-06-17      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| AHS Hospital Corp.                                                    | AHS Hospital Corp.                                                                                                       | CUSIP: 001306AB5<br>LEI: 549300D7W3C9Z4RGJG34 | Long             | DBT              | CORP              | US        |   14094000 | PA      | $13115197.35   | 0.03%             | 2045-07-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296QYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59688 | PA      | $61080.77      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1138967 | PA      | $1100581.57    | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-75, Class FA                                                                                    | CUSIP: 3136A0GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161023 | PA      | $160729.25     | 0.00%             | 2041-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class P                                                   | CUSIP: 92922FFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9245 | PA      | $7277.04       | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5431000 | PA      | $4034214.69    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31413HJP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141478 | PA      | $149031.74     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4758992 | PA      | $4464759.69    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $7215230.96    | 0.01%             | 2032-12-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| VMware LLC                                                            | VMware LLC                                                                                                               | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $8856114.26    | 0.02%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3326, Class JO                                                                                      | CUSIP: 31397JJN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12586 | PA      | $11173.16      | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $12634210.98   | 0.02%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFRA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1148424 | PA      | $1076691.59    | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2344, Class ZJ                                                                                      | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54720 | PA      | $57182.98      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-87, Class F                                                                                     | CUSIP: 31394BNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325750 | PA      | $327786.99     | 0.00%             | 2034-01-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-14, Class TI                                                                                    | CUSIP: 31392JFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17028 | PA      | $265.97        | 0.00%             | 2033-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                           | Aker BP ASA                                                                                                              | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    6320000 | PA      | $5642693.94    | 0.01%             | 2054-10-01      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123360 | PA      | $133008.46     | 0.00%             | 2037-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YXD70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34842830 | PA      | $36420979.81   | 0.07%             | 2072-05-20      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HWC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27630000 | PA      | $25780036.11   | 0.05%             | 2029-11-01      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQ31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     346419 | PA      | $345421.15     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   98931300 | PA      | $82581345.76   | 0.16%             | 2033-01-01      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4374000 | PA      | $4557794.96    | 0.01%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617FDC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7150666 | PA      | $7151402.36    | 0.01%             | 2052-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class B                                                               | CUSIP: 22537GAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12000000 | PA      | $12228104.40   | 0.02%             | 2034-05-15      | Fixed         | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                                    | Granite Park Equipment Leasing LLC, Series 2023-1A, Class D                                                              | CUSIP: 387422AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8650000 | PA      | $9043323.29    | 0.02%             | 2033-08-22      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   26230000 | PA      | $26645271.79   | 0.05%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Trinity Health Corp.                                                  | Trinity Health Corp., Series 2019                                                                                        | CUSIP: 896517AA7<br>LEI: TWSRHFGEDJDX0GKMGJ67 | Long             | DBT              | CORP              | US        |   20450000 | PA      | $14747816.27   | 0.03%             | 2048-12-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-115, Class OK                                                                                   | CUSIP: 31396LU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85849 | PA      | $69987.21      | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-28, Class QS                                                                                    | CUSIP: 31396YY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80776 | PA      | $92153.22      | 0.00%             | 2038-04-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FA                                                                                          | CUSIP: 38375BWP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162488 | PA      | $161434.46     | 0.00%             | 2060-03-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3618AWYA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30185409 | PA      | $30485314.49   | 0.06%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26207553 | PA      | $24281894.45   | 0.05%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416B3M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116436 | PA      | $122644.78     | 0.00%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets LLC                                                | Accelerated Assets LLC, Series 2018-1, Class A                                                                           | CUSIP: 00436MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1804863 | PA      | $1782025.61    | 0.00%             | 2033-12-02      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2196, Class TL                                                                                      | CUSIP: 3133TMSB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        169 | PA      | $176.06        | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8UK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5487362 | PA      | $5291704.08    | 0.01%             | 2030-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371MPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11019 | PA      | $11403.27      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38300607 | PA      | $37863227.77   | 0.07%             | 2033-04-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45675000 | PA      | $44977742.35   | 0.09%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-C, Class A2                                                          | CUSIP: 59020UDP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67190 | PA      | $66467.33      | 0.00%             | 2029-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2367, Class ME                                                                                      | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41905 | PA      | $43783.39      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2744, Class PE                                                                                      | CUSIP: 31394PR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1034 | PA      | $1030.51       | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-70, Class CO                                                                                    | CUSIP: 31396QYP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286472 | PA      | $237417.70     | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                                                          | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   11960000 | PA      | $12043593.22   | 0.02%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-33, Class ID                                                                                    | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71290 | PA      | $7506.75       | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1640000 | PA      | $1641247.29    | 0.00%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3900000 | PA      | $3919330.97    | 0.01%             | 2033-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401WBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26605 | PA      | $26841.64      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H9BS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3068653 | PA      | $2924303.42    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4017549 | PA      | $3933344.16    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6055000 | PA      | $6058231.74    | 0.01%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2023-2A, Class B                                                        | CUSIP: 82650BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6026605 | PA      | $6198908.51    | 0.01%             | 2040-04-20      | Fixed         | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Trust                              | Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2                                                      | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8924000 | PA      | $8484860.67    | 0.02%             | 2036-02-15      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| Royalty Pharma plc                                                    | Royalty Pharma plc                                                                                                       | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    3601000 | PA      | $3601000.00    | 0.01%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HAA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     580995 | PA      | $577396.78     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K081, Class A2                                          | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1531000 | PA      | $1529675.07    | 0.00%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14685000 | PA      | $15204711.25   | 0.03%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Newmont Corp.                                                         | Newmont Corp.                                                                                                            | CUSIP: 65163LAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4606000 | PA      | $4408935.51    | 0.01%             | 2030-05-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   26190000 | PA      | $26247342.48   | 0.05%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9948510 | PA      | $9205034.75    | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-81, Class PI                                                                                    | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6118 | PA      | $243.74        | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-33, Class LS                                                                                    | CUSIP: 31395DKV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47041 | PA      | $57619.93      | 0.00%             | 2036-05-25      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-2, Class B                                                               | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5038577 | PA      | $4924186.56    | 0.01%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                             | PG&E Recovery Funding LLC, Series A-2                                                                                    | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   22380000 | PA      | $22310140.16   | 0.04%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   17235000 | PA      | $17853631.54   | 0.03%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class D                                                               | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21900000 | PA      | $22305169.71   | 0.04%             | 2031-01-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Claremont Mckenna College                                             | Claremont Mckenna College, Series 2019                                                                                   | CUSIP: 18013RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10000000 | PA      | $6857628.10    | 0.01%             | 2050-01-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132FYA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8308871 | PA      | $8198837.35    | 0.02%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                 | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    2199000 | PA      | $2190602.04    | 0.00%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H08, Class FB                                                                                          | CUSIP: 38375BQN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     483397 | PA      | $484161.76     | 0.00%             | 2062-03-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHLB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32089000 | PA      | $31398833.00   | 0.06%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3261, Class OA                                                                                      | CUSIP: 31397EPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67917 | PA      | $57504.64      | 0.00%             | 2037-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25099 | PA      | $25492.60      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410FYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151212 | PA      | $156911.68     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.                        | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-2                               | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   20730000 | PA      | $21161146.69   | 0.04%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KMLZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13046127 | PA      | $10856206.21   | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Eastern Gas Transmission & Storage, Inc.                              | Eastern Gas Transmission & Storage, Inc.                                                                                 | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |    4476000 | PA      | $3210772.97    | 0.01%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XL6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   72077264 | PA      | $60836059.68   | 0.12%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3645, Class KZ                                                                                      | CUSIP: 31398VFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163473 | PA      | $171543.27     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK58                                                             | CUSIP: 12529YAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28730000 | PA      | $27660899.24   | 0.05%             | 2029-09-29      | Variable      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M3, Class A2                                                                                      | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45000000 | PA      | $38686648.50   | 0.08%             | 2031-11-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     670191 | PA      | $662956.02     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-147, Class SA                                                                                   | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2075086 | PA      | $261205.81     | 0.00%             | 2041-01-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                | Extra Space Storage LP                                                                                                   | CUSIP: 30225VAL1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    8937000 | PA      | $8864884.76    | 0.02%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3404, Class SC                                                                                      | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     937162 | PA      | $87821.81      | 0.00%             | 2038-01-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   18675000 | PA      | $18481567.15   | 0.04%             | 2029-04-23      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EL0<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    8020000 | PA      | $5372040.05    | 0.01%             | 2049-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| VOLT XCVII LLC                                                        | VOLT XCVII LLC, Series 2021-NPL6, Class A1                                                                               | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3356903 | PA      | $3355832.17    | 0.01%             | 2051-04-25      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410BFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36428 | PA      | $37372.09      | 0.00%             | 2036-06-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-9, Class NZ                                                                                     | CUSIP: 31392HA45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57193 | PA      | $59959.22      | 0.00%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3                                                                       | CUSIP: 3623416K0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20630 | PA      | $147317.82     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-61, Class SH                                                                                    | CUSIP: 31394ARP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14272 | PA      | $15132.32      | 0.00%             | 2032-11-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                       | Western Funding Auto Loan Trust, Series 2025-1, Class B                                                                  | CUSIP: 958250AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27000000 | PA      | $27312128.10   | 0.05%             | 2035-09-17      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2023-4, Class C                                                     | CUSIP: 02530CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12926000 | PA      | $13079098.13   | 0.03%             | 2030-09-12      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-28, Class PK                                                                                    | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109235 | PA      | $113841.68     | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7800000 | PA      | $5537153.23    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330146 | PA      | $338142.11     | 0.00%             | 2035-01-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-65, Class MT                                                                                    | CUSIP: 31396QH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69590 | PA      | $71411.84      | 0.00%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XDSM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12761315 | PA      | $10912256.04   | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703DBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     242000 | PA      | $165292.11     | 0.00%             | 2051-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1665577 | PA      | $1653760.44    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    8500000 | PA      | $5781452.65    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-34                                                                                                     | CUSIP: 38374DBJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24222 | PA      | $20179.85      | 0.00%             | 2036-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-27, Class OH                                                                                    | CUSIP: 31395BZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61396 | PA      | $53953.50      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                                     | Galaxy Pipeline Assets Bidco Ltd.                                                                                        | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |   14705946 | PA      | $12317553.31   | 0.02%             | 2040-09-30      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   15935000 | PA      | $16332943.64   | 0.03%             | 2029-06-26      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                                        | NiSource, Inc.                                                                                                           | CUSIP: 65473QAZ6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    6726000 | PA      | $6906646.77    | 0.01%             | 2042-02-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    3104000 | PA      | $3085782.97    | 0.01%             | 2042-03-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4318671 | PA      | $4044596.69    | 0.01%             | 2029-09-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    6805000 | PA      | $6902205.27    | 0.01%             | 2028-01-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4932000 | PA      | $4931697.57    | 0.01%             | 2026-09-12      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJUB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74647 | PA      | $76271.83      | 0.00%             | 2037-01-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2004-A3, Class 4A1                                                                       | CUSIP: 466247DA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2792 | PA      | $2778.58       | 0.00%             | 2034-07-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   54117000 | PA      | $39004515.49   | 0.08%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   13465000 | PA      | $12684806.26   | 0.02%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-71, Class HJ                                                                                    | CUSIP: 31398TDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     765942 | PA      | $801087.40     | 0.00%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                          | American Water Capital Corp.                                                                                             | CUSIP: 03040WAD7<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    3354000 | PA      | $3772936.30    | 0.01%             | 2037-10-15      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1765 | PA      | $1792.42       | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KQAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7214084 | PA      | $5776945.51    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-71, Class DS                                                                                    | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295370 | PA      | $278738.79     | 0.00%             | 2033-08-25      | Floating      | 1.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HU2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     945929 | PA      | $959406.57     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AKW1                                                             | CUSIP: 12529YBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16010000 | PA      | $15668810.89   | 0.03%             | 2026-01-29      | Variable      | 1.32%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                | Residential Asset Securitization Trust, Series 2003-A8, Class A5                                                         | CUSIP: 45660NRQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12155 | PA      | $13405.86      | 0.00%             | 2018-10-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H9DQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6098779 | PA      | $5804655.26    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   23410000 | PA      | $23954687.26   | 0.05%             | 2027-10-19      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                               | DuPont de Nemours, Inc.                                                                                                  | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   11250000 | PA      | $11735185.73   | 0.02%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4265408 | PA      | $3996198.89    | 0.01%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                    | British Airways Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4575038 | PA      | $4468096.50    | 0.01%             | 2031-09-20      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QBF4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   15089000 | PA      | $11588352.00   | 0.02%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                                   | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3                                                            | CUSIP: 17305EDT9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |     950000 | PA      | $1048615.13    | 0.00%             | 2039-06-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2021-R1, Class A2C                                                                     | CUSIP: 89179TAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $8439410.00    | 0.02%             | 2060-11-30      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412X5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63211 | PA      | $64784.87      | 0.00%             | 2037-07-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| VOLT C LLC                                                            | VOLT C LLC, Series 2021-NPL9, Class A1                                                                                   | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2907904 | PA      | $2906557.98    | 0.01%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132FCFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18320335 | PA      | $17461500.38   | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3213, Class OA                                                                                      | CUSIP: 31397B2M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64478 | PA      | $57230.84      | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2559133 | PA      | $2400158.04    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X7QD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17762198 | PA      | $14960017.26   | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LJU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9217736 | PA      | $8545654.81    | 0.02%             | 2033-07-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    8564000 | PA      | $8508833.37    | 0.02%             | 2026-07-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                              | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    8375000 | PA      | $4711603.56    | 0.01%             | 2050-10-01      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   62475000 | PA      | $32233195.31   | 0.06%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                        | Carvana Auto Receivables Trust, Series 2023-N4, Class B                                                                  | CUSIP: 14688LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17500000 | PA      | $17752070.00   | 0.03%             | 2030-02-11      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LPBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8472670 | PA      | $8136298.96    | 0.02%             | 2033-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-S2, Class 2A4                                                 | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     508492 | PA      | $513898.45     | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-1, Class BI                                                                                     | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490302 | PA      | $40770.24      | 0.00%             | 2038-02-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ42, Class A2                                          | CUSIP: 3137H92P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8460000 | PA      | $8402868.77    | 0.02%             | 2032-11-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KLH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15867320 | PA      | $13203610.17   | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAS21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16554447 | PA      | $15008637.56   | 0.03%             | 2070-08-20      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                       | Jefferies Financial Group, Inc.                                                                                          | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    3725000 | PA      | $3849098.15    | 0.01%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSVG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41086 | PA      | $42679.20      | 0.00%             | 2036-05-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                   | Public Service Electric and Gas Co.                                                                                      | CUSIP: 74456QAU0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    1021000 | PA      | $1039086.14    | 0.00%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                                    | GAM Re-REMIC Trust, Series 2022-FRR3, Class BK61                                                                         | CUSIP: 36459DAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16520000 | PA      | $15211209.61   | 0.03%             | 2049-11-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2596, Class QG                                                                                      | CUSIP: 31393NXU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77725 | PA      | $81159.39      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   26260000 | PA      | $27114421.36   | 0.05%             | 2030-05-20      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Sprint LLC                                                            | Sprint LLC                                                                                                               | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    5044000 | PA      | $5069081.29    | 0.01%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-22, Class WA                                                                                           | CUSIP: 38377QRC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133575 | PA      | $136966.19     | 0.00%             | 2037-02-20      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                               | Anheuser-Busch Cos. LLC                                                                                                  | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21807000 | PA      | $21282546.01   | 0.04%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                             | Consolidated Edison Co. of New York, Inc.                                                                                | CUSIP: 209111FA6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    2760000 | PA      | $2830212.41    | 0.01%             | 2040-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2006-W3, Class 2A                                                                  | CUSIP: 31396L7E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274821 | PA      | $285985.28     | 0.00%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   18000000 | PA      | $17886604.68   | 0.03%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H20, Class LF                                                                                          | CUSIP: 38375UQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2918469 | PA      | $2915572.73    | 0.01%             | 2064-10-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   11450000 | PA      | $11930292.12   | 0.02%             | 2031-01-14      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3779, Class GZ                                                                                      | CUSIP: 3137A4F51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5570351 | PA      | $5555944.09    | 0.01%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   30645000 | PA      | $30997603.82   | 0.06%             | 2031-07-08      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                                           | Merchants Fleet Funding LLC, Series 2023-1A, Class A                                                                     | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   17335316 | PA      | $17453816.29   | 0.03%             | 2036-05-20      | Fixed         | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                           | Penske Truck Leasing Co. LP                                                                                              | CUSIP: 709599BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5175000 | PA      | $5326685.25    | 0.01%             | 2028-02-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A                                           | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     426043 | PA      | $441307.03     | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591ED0<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |     493000 | PA      | $526343.72     | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     833544 | PA      | $805452.13     | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A                                                           | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     115654 | PA      | $102741.34     | 0.00%             | 2035-02-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37407948 | PA      | $34979445.14   | 0.07%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18822358 | PA      | $17637585.27   | 0.03%             | 2062-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                             | Goodgreen, Series 2019-2A, Class A                                                                                       | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   16135686 | PA      | $13897989.30   | 0.03%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4754512 | PA      | $4363986.87    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FE                                                                                          | CUSIP: 38375BWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23436 | PA      | $23392.34      | 0.00%             | 2062-10-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1927, Class PH                                                                                      | CUSIP: 3133T8TQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10218 | PA      | $10344.04      | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   29066000 | PA      | $29004670.74   | 0.06%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-35                                                                                                     | CUSIP: 38375KPE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     677671 | PA      | $556609.80     | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195641 | PA      | $202326.20     | 0.00%             | 2036-11-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FHF Trust                                                             | FHF Trust, Series 2023-1A, Class A2                                                                                      | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5502839 | PA      | $5549146.16    | 0.01%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-3, Class A26                                                                | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87253 | PA      | $87471.55      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Intuit, Inc.                                                          | Intuit, Inc.                                                                                                             | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    7410000 | PA      | $7268242.55    | 0.01%             | 2053-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  131714904 | PA      | $124007572.55  | 0.24%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MA4J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21699255 | PA      | $19639117.96   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arthur J Gallagher & Co.                                              | Arthur J Gallagher & Co.                                                                                                 | CUSIP: 04316JAJ8<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    9570000 | PA      | $9208101.45    | 0.02%             | 2054-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                                              | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                                                                     | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   39489000 | PA      | $39891819.39   | 0.08%             | 2029-11-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KW07, Class B                                                                          | CUSIP: 30297NAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4517334.50    | 0.01%             | 2031-10-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70000000 | PA      | $48001953.30   | 0.09%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ACVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29277623 | PA      | $26870983.51   | 0.05%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                              | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13132000 | PA      | $13355253.72   | 0.03%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-43, Class FL                                                                                    | CUSIP: 31396VVL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140663 | PA      | $138949.66     | 0.00%             | 2037-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    5485000 | PA      | $5481123.04    | 0.01%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6770334 | PA      | $6681649.60    | 0.01%             | 2027-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31411JEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240978 | PA      | $254535.85     | 0.00%             | 2038-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   78220000 | PA      | $57378647.85   | 0.11%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4                                                                       | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1396185 | PA      | $569920.97     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-22, Class UD                                                                                    | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     547828 | PA      | $541874.49     | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class 4A                                           | CUSIP: 31394JY50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1337171 | PA      | $1390143.05    | 0.00%             | 2043-09-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29535301 | PA      | $30865807.34   | 0.06%             | 2072-02-20      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Macquarie Bank Ltd.                                                   | Macquarie Bank Ltd.                                                                                                      | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    8095000 | PA      | $7296875.82    | 0.01%             | 2036-03-03      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   40051000 | PA      | $33887612.89   | 0.07%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-65, Class SA                                                                                           | CUSIP: 38374LK67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26894 | PA      | $29354.56      | 0.00%             | 2035-08-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617JMJW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36975856 | PA      | $38777760.03   | 0.08%             | 2072-04-20      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-44, Class GO                                                                                    | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88410 | PA      | $78229.88      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KHG2, Class B                                                                          | CUSIP: 302983AE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13500000 | PA      | $12188696.40   | 0.02%             | 2030-02-25      | Variable      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2552, Class ME                                                                                      | CUSIP: 31393HXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147618 | PA      | $153521.48     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133AEQX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4534414 | PA      | $3766605.34    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L92X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11320000 | PA      | $10775334.01   | 0.02%             | 2030-05-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   46180000 | PA      | $48950051.88   | 0.10%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJ7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   79221916 | PA      | $66439591.20   | 0.13%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2990, Class GO                                                                                      | CUSIP: 31395V2T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95289 | PA      | $83375.04      | 0.00%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MJ5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50504614 | PA      | $42103920.31   | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440BP8<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    2690000 | PA      | $2184373.88    | 0.00%             | 2041-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31800000 | PA      | $31937862.86   | 0.06%             | 2033-07-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401WQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28939 | PA      | $29370.48      | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Baring Frn                                                            | Baring Frn, Series 2021-EBO1, Class PA                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    5961746 | PA      | $5961745.82    | 0.01%             | 2027-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   27576000 | PA      | $28190708.20   | 0.05%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DBA7<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   17700000 | PA      | $18051318.45   | 0.04%             | 2027-09-18      | Variable      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    7725000 | PA      | $7862295.42    | 0.02%             | 2030-10-15      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-36, Class FA                                                                                    | CUSIP: 31393X5U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     491853 | PA      | $489699.74     | 0.00%             | 2034-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                                     | Xcel Energy, Inc.                                                                                                        | CUSIP: 98389BAN0<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     829000 | PA      | $738412.77     | 0.00%             | 2041-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4998134.35    | 0.01%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2082064 | PA      | $1955159.61    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    5766000 | PA      | $4813099.42    | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-53, Class CI                                                                                    | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111437 | PA      | $11155.87      | 0.00%             | 2038-07-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-125, Class SA                                                                                   | CUSIP: 31398SES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1091130 | PA      | $47826.39      | 0.00%             | 2040-11-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2631, Class SA                                                                                      | CUSIP: 31393RY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     178924 | PA      | $188117.99     | 0.00%             | 2033-06-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-85, Class SL                                                                                    | CUSIP: 31396XQU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28432 | PA      | $30910.75      | 0.00%             | 2037-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                              | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   21370000 | PA      | $21608606.74   | 0.04%             | 2032-10-21      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393724 | PA      | $416721.46     | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-25, Class FN                                                                                           | CUSIP: 38375J2G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     223022 | PA      | $221579.69     | 0.00%             | 2037-05-16      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-8, Class A2                                                                          | CUSIP: 81744FDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     291309 | PA      | $270771.18     | 0.00%             | 2034-09-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class ED                                                                                    | CUSIP: 31393CDP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374178 | PA      | $389189.02     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust                             | SFS Auto Receivables Securitization Trust, Series 2024-1A, Class C                                                       | CUSIP: 78435VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     615000 | PA      | $630447.63     | 0.00%             | 2032-01-20      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K754, Class AM                                          | CUSIP: 3137HBC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18128000 | PA      | $18772136.79   | 0.04%             | 2030-11-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-79, Class OK                                                                                           | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     668931 | PA      | $560674.60     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LMSM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12034893 | PA      | $11676039.57   | 0.02%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 1                                                 | Scentre Group Trust 1                                                                                                    | CUSIP: 806213AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    5595000 | PA      | $5583452.70    | 0.01%             | 2025-10-28      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Lending Small Business Loan Trust                            | ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A                                                       | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1825674 | PA      | $1824343.95    | 0.00%             | 2044-12-27      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QBDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1389753 | PA      | $1393371.54    | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XVN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  109626128 | PA      | $97325852.81   | 0.19%             | 2053-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAJY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12179529 | PA      | $11708702.68   | 0.02%             | 2069-11-20      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3194, Class SA                                                                                      | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36877 | PA      | $3934.23       | 0.00%             | 2036-07-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-100, Class WB                                                                                   | CUSIP: 3136AGWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4306119 | PA      | $4163041.47    | 0.01%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17540846 | PA      | $16898862.91   | 0.03%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-64, Class SN                                                                                           | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     497460 | PA      | $28238.18      | 0.00%             | 2039-07-16      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRRS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21072955 | PA      | $20864248.45   | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2224, Class CB                                                                                      | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14622 | PA      | $15211.15      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class ET                                                                                      | CUSIP: 3137A0YK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1335308 | PA      | $1472561.41    | 0.00%             | 2036-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-6, Class SA                                                                                            | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     270259 | PA      | $1013.07       | 0.00%             | 2039-02-16      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-2, Class E2                                                                  | CUSIP: 43732VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9355083 | PA      | $9025317.83    | 0.02%             | 2026-12-17      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Hartford HealthCare Corp.                                             | Hartford HealthCare Corp.                                                                                                | CUSIP: 41652PAC3<br>LEI: 549300W3L482NUDOFF24 | Long             | DBT              | CORP              | US        |   23430000 | PA      | $16531441.14   | 0.03%             | 2054-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128C6QN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     340501 | PA      | $351555.93     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K087, Class A2                                          | CUSIP: 3137FKUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4150000 | PA      | $4128761.96    | 0.01%             | 2028-12-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   16997000 | PA      | $11895397.70   | 0.02%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    4454000 | PA      | $3064973.60    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2024-SFR4, Class C                                                                    | CUSIP: 74334JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6712000 | PA      | $6322757.02    | 0.01%             | 2041-07-17      | Fixed         | 3.33%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3618AW2Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36828810 | PA      | $37194722.24   | 0.07%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DNQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50488310 | PA      | $47184219.05   | 0.09%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                          | Bridge Trust, Series 2022-SFR1, Class A                                                                                  | CUSIP: 10805VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24949401 | PA      | $24821253.78   | 0.05%             | 2037-11-17      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4048, Class FB                                                                                      | CUSIP: 3137AQUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1154804 | PA      | $1149743.90    | 0.00%             | 2041-10-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1276760 | PA      | $1366504.96    | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Public Service Enterprise Group, Inc.                                 | Public Service Enterprise Group, Inc.                                                                                    | CUSIP: 744573AQ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   15540000 | PA      | $13570459.47   | 0.03%             | 2030-08-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   14590000 | PA      | $14171974.62   | 0.03%             | 2027-10-13      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DN3W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31672084 | PA      | $31554329.35   | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-44, Class P                                                                                     | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249210 | PA      | $218123.53     | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-64, Class SX                                                                                    | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56085 | PA      | $55192.37      | 0.00%             | 2033-07-25      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2024-SFR5, Class D                                                                    | CUSIP: 74332HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17333000 | PA      | $16160214.55   | 0.03%             | 2029-08-09      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                  | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11670000 | PA      | $12410591.62   | 0.02%             | 2030-08-15      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                            | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $20510088.40   | 0.04%             | 2029-07-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2798 | PA      | $2858.58       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   14965000 | PA      | $10640115.00   | 0.02%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   30700000 | PA      | $32330522.13   | 0.06%             | 2035-06-15      | Variable      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-33, Class TI                                                                                           | CUSIP: 38374UJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139211 | PA      | $10316.98      | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2016-3, Class AA                                                            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6998807 | PA      | $6710510.64    | 0.01%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-59, Class HB                                                                                    | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     887558 | PA      | $907504.93     | 0.00%             | 2039-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-40, Class SD                                                                                           | CUSIP: 38375KA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     382934 | PA      | $16403.30      | 0.00%             | 2037-07-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress NC Storm Funding LLC                             | Duke Energy Progress NC Storm Funding LLC, Series A-2                                                                    | CUSIP: 26444BAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4221771.95    | 0.01%             | 2037-07-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-63, Class DA                                                                                    | CUSIP: 3136B23T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1102287 | PA      | $1023085.30    | 0.00%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-P7, Class A6                                                               | CUSIP: 57643MCH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62408 | PA      | $53565.70      | 0.00%             | 2033-12-27      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2002-T16, Class A2                                                               | CUSIP: 31392FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510699 | PA      | $536998.51     | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                            | DOC DR LLC                                                                                                               | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6195000 | PA      | $5519589.13    | 0.01%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                       | Eastern Energy Gas Holdings LLC                                                                                          | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |   10430000 | PA      | $10664844.49   | 0.02%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                               | Quest Diagnostics, Inc.                                                                                                  | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    1684000 | PA      | $1673172.23    | 0.00%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2003-3F, Class 4A3                                                                       | CUSIP: 36228FPT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23990 | PA      | $24060.52      | 0.00%             | 2033-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Pine Street Trust III                                                 | Pine Street Trust III                                                                                                    | CUSIP: 72284KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21750000 | PA      | $21602485.85   | 0.04%             | 2054-05-15      | Fixed         | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR11, Class D                                                                   | CUSIP: 74333XAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11560000 | PA      | $10825946.94   | 0.02%             | 2039-01-17      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-149, Class EF                                                                                   | CUSIP: 3136A3FM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76352 | PA      | $76198.58      | 0.00%             | 2041-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                                                       | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33550834 | PA      | $29865331.70   | 0.06%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2695000 | PA      | $3098419.94    | 0.01%             | 2038-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   28350000 | PA      | $29138004.98   | 0.06%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     729326 | PA      | $730371.74     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133C5R29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9434122 | PA      | $8366795.46    | 0.02%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-57, Class PT                                                                                           | CUSIP: 38384NCN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9905375 | PA      | $9701866.50    | 0.02%             | 2064-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        319 | PA      | $319.90        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HE2V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7959987 | PA      | $8033129.64    | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     622025 | PA      | $620502.58     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2066456 | PA      | $2008412.62    | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                             | Duke Energy Carolinas LLC                                                                                                | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    1228000 | PA      | $1059282.73    | 0.00%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   26040000 | PA      | $26452716.81   | 0.05%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KQW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21176958 | PA      | $21050085.62   | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Co.                                                 | Saudi Arabian Oil Co.                                                                                                    | CUSIP: 80414L2H7<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | NUSS              | SA        |    4660000 | PA      | $4622160.80    | 0.01%             | 2025-11-24      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Analog Devices, Inc.                                                  | Analog Devices, Inc.                                                                                                     | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $3848351.40    | 0.01%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                                                      | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   84153040 | PA      | $72628769.11   | 0.14%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  219210000 | PA      | $220648565.63  | 0.43%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42362328 | PA      | $35938541.18   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| nVent Finance SARL                                                    | nVent Finance SARL                                                                                                       | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |    6750000 | PA      | $6759398.97    | 0.01%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-25, Class SE                                                                                           | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     266592 | PA      | $9431.77       | 0.00%             | 2038-09-20      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DPFD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   56518688 | PA      | $47534396.85   | 0.09%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                   | Kinder Morgan, Inc.                                                                                                      | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5264575.20    | 0.01%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28783300 | PA      | $24871694.43   | 0.05%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   11880000 | PA      | $12276257.64   | 0.02%             | 2035-05-30      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JSNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     450950 | PA      | $451595.96     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2325, Class PM                                                                                      | CUSIP: 3133TU3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18268 | PA      | $19042.89      | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Electric Co.                                            | Massachusetts Electric Co.                                                                                               | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |    4957000 | PA      | $3913414.24    | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36290QWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8026 | PA      | $8104.54       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-4, Class 2A4                                                 | CUSIP: 22541SUD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126106 | PA      | $128449.53     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QLSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45528 | PA      | $47096.16      | 0.00%             | 2036-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2002-W6, Class 1A6                                                                 | CUSIP: 31392DF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8165851 | PA      | $8180810.87    | 0.02%             | 2042-06-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3549, Class FA                                                                                      | CUSIP: 31398EP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41212 | PA      | $41719.97      | 0.00%             | 2039-07-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABL0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    9030000 | PA      | $9661460.13    | 0.02%             | 2030-04-08      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| NYU Langone Hospitals                                                 | NYU Langone Hospitals                                                                                                    | CUSIP: 62952EAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5994000 | PA      | $5332381.68    | 0.01%             | 2044-07-01      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 270, Class F1                                                                                      | CUSIP: 3128HXXL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1519701 | PA      | $1499843.14    | 0.00%             | 2042-08-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1998-1, Class 2E                                                                           | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121709 | PA      | $122907.58     | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class OP                                                                                      | CUSIP: 31396JLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60988 | PA      | $55953.68      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3455, Class SE                                                                                      | CUSIP: 31397WHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     459577 | PA      | $51610.69      | 0.00%             | 2038-06-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBL8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   22915000 | PA      | $23100523.28   | 0.05%             | 2029-09-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                                    | Columbia Pipelines Holding Co. LLC                                                                                       | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3993000 | PA      | $4055445.89    | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2040, Class PE                                                                                      | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26580 | PA      | $27031.94      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   26520000 | PA      | $22967834.82   | 0.04%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NWN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47210000 | PA      | $46256667.23   | 0.09%             | 2031-11-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series C                                                                                          | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1840000 | PA      | $1656521.64    | 0.00%             | 2041-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AutoZone, Inc.                                                        | AutoZone, Inc.                                                                                                           | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   12180000 | PA      | $10551386.01   | 0.02%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGV33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2081000 | PA      | $2034677.11    | 0.00%             | 2032-07-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56828361 | PA      | $45166672.96   | 0.09%             | 2062-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   34925000 | PA      | $36437064.60   | 0.07%             | 2031-04-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                              | Roper Technologies, Inc.                                                                                                 | CUSIP: 776696AH9<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    9385000 | PA      | $9450931.22    | 0.02%             | 2032-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3302, Class UT                                                                                      | CUSIP: 31397GB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     183054 | PA      | $195135.92     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-35, Class SJ                                                                                    | CUSIP: 31398PGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338391 | PA      | $338928.29     | 0.00%             | 2040-04-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     200578 | PA      | $208396.85     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44249 | PA      | $45486.70      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Diversified ABS LLC                                                   | Diversified ABS LLC, Series 2025-1A, Class A1                                                                            | CUSIP: 255126AA2<br>LEI: 2549000V3WDZQQ691H02 | Long             | ABS-O            | CORP              | US        |   25443522 | PA      | $25598117.22   | 0.05%             | 2045-02-28      | Fixed         | 5.95%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7514000 | PA      | $7671744.63    | 0.01%             | 2028-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                           | Prologis LP                                                                                                              | CUSIP: 74340XCE9<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5009470.30    | 0.01%             | 2033-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-1, Class 30                                                                | CUSIP: 55265K6X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7790 | PA      | $5839.97       | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                    | HERO Funding Trust, Series 2016-4A, Class A1                                                                             | CUSIP: 40417QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     676697 | PA      | $649157.99     | 0.00%             | 2047-09-20      | Fixed         | 3.57%                 | Yes           |                  3 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    8872000 | PA      | $6764643.78    | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29042252 | PA      | $24554896.53   | 0.05%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31381R4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4617558 | PA      | $4635856.94    | 0.01%             | 2026-08-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNKT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19800719 | PA      | $17368932.14   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2004-2, Class 1CB1                                                                 | CUSIP: 06051GBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58075 | PA      | $55938.74      | 0.00%             | 2034-09-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10420291 | PA      | $10331226.55   | 0.02%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K7L73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1691201 | PA      | $1729328.57    | 0.00%             | 2049-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                                                               | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19100000 | PA      | $19367971.09   | 0.04%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2169, Class TB                                                                                      | CUSIP: 3133TL5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80696 | PA      | $83122.90      | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAC1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    2500000 | PA      | $2558440.03    | 0.00%             | 2041-10-11      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H15, Class FA                                                                                          | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6338056 | PA      | $6339680.40    | 0.01%             | 2064-07-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-122, Class ZJ                                                                                   | CUSIP: 31393UKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1480269 | PA      | $1548141.23    | 0.00%             | 2033-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                                         | AIB Group plc                                                                                                            | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    9000000 | PA      | $9235371.42    | 0.02%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12180795 | PA      | $12724708.90   | 0.02%             | 2071-08-20      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3171, Class MO                                                                                      | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158709 | PA      | $144250.92     | 0.00%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-41, Class WA                                                                                           | CUSIP: 38377EAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     313408 | PA      | $321084.69     | 0.00%             | 2033-10-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                           | Business Jet Securities LLC, Series 2022-1A, Class A                                                                     | CUSIP: 12327AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   43168788 | PA      | $42645832.40   | 0.08%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Series 2023-MN7, Class M1                                                                                         | CUSIP: 35563QAA5<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |   20035055 | PA      | $20386197.55   | 0.04%             | 2043-09-25      | Floating      | 7.95%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-28, Class BO                                                                                           | CUSIP: 38375J8N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36266 | PA      | $29697.91      | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-12, Class SP                                                                                           | CUSIP: 38373SNF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58291 | PA      | $438.54        | 0.00%             | 2033-02-20      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418MSM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165377 | PA      | $167741.73     | 0.00%             | 2048-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-73, Class ZB                                                                                    | CUSIP: 31394EB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2117520 | PA      | $2211496.38    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2458, Class ZM                                                                                      | CUSIP: 31392PAG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38793 | PA      | $39302.23      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11432357 | PA      | $9533521.56    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11298 | PA      | $11332.04      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-2A, Class C                                                             | CUSIP: 30168CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21632339 | PA      | $21733342.15   | 0.04%             | 2028-07-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2                                                                        | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102408 | PA      | $106208.25     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   93141000 | PA      | $96702248.00   | 0.19%             | 2036-04-23      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-75, Class SM                                                                                           | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     828550 | PA      | $54780.43      | 0.00%             | 2041-05-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-14, Class OP                                                                                    | CUSIP: 31396PE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73943 | PA      | $64722.39      | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4301710 | PA      | $4396384.49    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   39376000 | PA      | $40653206.24   | 0.08%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1A2                                          | CUSIP: 31394PPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1266217 | PA      | $1329674.12    | 0.00%             | 2043-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    8165000 | PA      | $7187494.77    | 0.01%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                   | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class X                                           | CUSIP: 46632HAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     929120 | PA      | $9.29          | 0.00%             | 2051-02-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2014-1, Class A                                                             | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5960373 | PA      | $5908877.63    | 0.01%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2021-SFR1, Class D                                                                          | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14400000 | PA      | $13999839.84   | 0.03%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                            | Flagship Credit Auto Trust, Series 2022-4, Class D                                                                       | CUSIP: 33843XAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11330000 | PA      | $11488160.00   | 0.02%             | 2028-10-16      | Fixed         | 8.86%                 | Yes           |                  2 | On Loan: No      |
| Alternative LN Issuer LLC                                             | Alternative LN Issuer LLC                                                                                                | CUSIP: 02158AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7969000 | PA      | $7969000.00    | 0.02%             | 2035-11-15      | Fixed         | 6.33%                 | No            |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                                        | Carvana Auto Receivables Trust, Series 2022-P1, Class A4                                                                 | CUSIP: 14688DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9963643 | PA      | $9918302.70    | 0.02%             | 2028-02-10      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4018000 | PA      | $3500262.38    | 0.01%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Consumers 2023 Securitization Funding LLC                             | Consumers 2023 Securitization Funding LLC, Series A2                                                                     | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4231000 | PA      | $4352994.12    | 0.01%             | 2030-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets CMN Owner Trust                                  | Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A1                                                            | CUSIP: 45254TMS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     259045 | PA      | $197267.56     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                            | Occidental Petroleum Corp.                                                                                               | CUSIP: 674599CX1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    6860000 | PA      | $5577111.40    | 0.01%             | 2039-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-105, Class AZ                                                                                   | CUSIP: 31393E7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1820972 | PA      | $1891355.38    | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KM4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15339898 | PA      | $13342800.18   | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR1, Class E1                                                                         | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   36486000 | PA      | $36088390.17   | 0.07%             | 2039-05-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG7A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11053594 | PA      | $10778470.95   | 0.02%             | 2032-08-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2412, Class SP                                                                                      | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84240 | PA      | $91784.02      | 0.00%             | 2032-02-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   10504000 | PA      | $11627545.13   | 0.02%             | 2034-09-13      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   12000000 | PA      | $12109200.00   | 0.02%             | 2028-01-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-81, Class LO                                                                                    | CUSIP: 31392BNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2906 | PA      | $2528.38       | 0.00%             | 2032-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-157, Class UY                                                                                          | CUSIP: 38378AXH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1500000 | PA      | $1353727.05    | 0.00%             | 2041-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3134                                                                                                | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18597 | PA      | $15384.74      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-10, Class XI                                                                                    | CUSIP: 31396YKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204186 | PA      | $18573.05      | 0.00%             | 2038-03-25      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-11, Class A1                                                                         | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142862 | PA      | $129496.91     | 0.00%             | 2034-12-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M55D                                                     | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17914726 | PA      | $16833448.73   | 0.03%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 374, Class 5                                                                                        | CUSIP: 3136FCZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81397 | PA      | $12798.11      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-120, Class ZB                                                                                   | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4506596 | PA      | $4272027.44    | 0.01%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31288ENG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114981 | PA      | $116128.30     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-90, Class SI                                                                                           | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1058845 | PA      | $57162.61      | 0.00%             | 2034-10-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-65, Class KI                                                                                    | CUSIP: 31396WLY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     445484 | PA      | $45864.13      | 0.00%             | 2037-07-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                    | Southern Co. (The)                                                                                                       | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    2370000 | PA      | $2421091.09    | 0.00%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M10, Class A2                                                                                     | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43747118 | PA      | $43142734.23   | 0.08%             | 2028-07-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                           | CSMC OA LLC, Series 2014-USA, Class A2                                                                                   | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   14250000 | PA      | $13074517.50   | 0.03%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class GE                                                                                    | CUSIP: 31393CAU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232469 | PA      | $242873.25     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sierra Pacific Power Co.                                              | Sierra Pacific Power Co.                                                                                                 | CUSIP: 826418BQ7<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |   20270000 | PA      | $20134763.42   | 0.04%             | 2054-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Raisa Funding I LLC                                                   | Raisa Funding LLC                                                                                                        | CUSIP: 75102YAA2<br>LEI: 549300MYI60JNGZB7107 | Long             | ABS-O            | CORP              | US        |   10537827 | PA      | $10705378.46   | 0.02%             | 2038-06-15      | Fixed         | 7.60%                 | No            |                  3 | On Loan: No      |
| CFIN Issuer LLC                                                       | CFIN Issuer LLC, Series 2022-RTL1, Class AA                                                                              | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11975545 | PA      | $11885728.69   | 0.02%             | 2026-02-16      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-64, Class DM                                                                                    | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     831344 | PA      | $841271.56     | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833DD9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   13570000 | PA      | $10644254.40   | 0.02%             | 2047-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2313, Class LA                                                                                      | CUSIP: 3133TTK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6041 | PA      | $6169.91       | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QHTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16507 | PA      | $16512.05      | 0.00%             | 2037-05-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEU21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34650000 | PA      | $30384754.09   | 0.06%             | 2032-02-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4770000 | PA      | $4888723.01    | 0.01%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48420000 | PA      | $45558302.46   | 0.09%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                 | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675FAY3<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   23810000 | PA      | $23143078.57   | 0.05%             | 2026-10-04      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129352C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44287 | PA      | $46597.30      | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                    | Morgan Stanley Mortgage Loan Trust, Series 2004-9, Class 4A                                                              | CUSIP: 61748HGD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46749 | PA      | $43897.14      | 0.00%             | 2019-10-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HY3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12481315 | PA      | $9957903.64    | 0.02%             | 2035-07-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413GLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252000 | PA      | $260072.95     | 0.00%             | 2037-08-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class D                                                    | CUSIP: 10806EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23845000 | PA      | $24094976.67   | 0.05%             | 2030-08-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2015-M10, Class A2                                                                                     | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26714062 | PA      | $26295019.90   | 0.05%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| UMass Memorial Health Care Obligated Group                            | UMass Memorial Health Care Obligated Group                                                                               | CUSIP: 90407JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6070000 | PA      | $5540642.22    | 0.01%             | 2052-07-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2163069 | PA      | $2086569.69    | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAZ5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   17965000 | PA      | $11984801.28   | 0.02%             | 2049-08-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1996-1, Class 1Z                                                                           | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92735 | PA      | $92831.38      | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9381000 | PA      | $9404455.78    | 0.02%             | 2033-01-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3233, Class OP                                                                                      | CUSIP: 31397BYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26868 | PA      | $22397.52      | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2441, Class GF                                                                                      | CUSIP: 3133TVJF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23941 | PA      | $25069.78      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                                                   | Emera US Finance LP                                                                                                      | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   24295000 | PA      | $20245445.02   | 0.04%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LL5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43775000 | PA      | $43146220.28   | 0.08%             | 2028-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        440 | PA      | $440.96        | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-72, Class SX                                                                                    | CUSIP: 31392BJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2067 | PA      | $2325.55       | 0.00%             | 2031-12-25      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-1                                                                                                      | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26175 | PA      | $21218.46      | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class DB1                                           | CUSIP: 2254W0GJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     279597 | PA      | $288401.83     | 0.00%             | 2033-02-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                              | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   22130000 | PA      | $20218232.01   | 0.04%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2872480 | PA      | $2705442.40    | 0.01%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   19624000 | PA      | $20516892.00   | 0.04%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31390WRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155219 | PA      | $155641.50     | 0.00%             | 2033-09-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                           | Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1                                                                   | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16054947 | PA      | $16053760.48   | 0.03%             | 2066-10-25      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2020-90, Class PE                                                                                    | CUSIP: 3136BCL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10393349 | PA      | $8361508.43    | 0.02%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DailyPay Securitization Trust 2025-1                                  | DailyPay Securitization Trust, Series 2025-1A, Class A                                                                   | CUSIP: 233824AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21000000 | PA      | $21132285.30   | 0.04%             | 2028-06-26      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46416384 | PA      | $38845613.97   | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital Services, Inc.                                        | Hyundai Capital Services, Inc.                                                                                           | CUSIP: 44920UAV0<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |   11200000 | PA      | $11438896.00   | 0.02%             | 2029-02-05      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                    | DT Midstream, Inc.                                                                                                       | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17380000 | PA      | $16384456.22   | 0.03%             | 2032-04-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Plains All American Pipeline LP                                       | Plains All American Pipeline LP                                                                                          | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   26070000 | PA      | $26854304.48   | 0.05%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                     | Structured Asset Securities Corp., Series 2004-4XS, Class 1A5                                                            | CUSIP: 86359BHL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     671921 | PA      | $663802.79     | 0.00%             | 2034-02-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                              | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    9715000 | PA      | $9872503.08    | 0.02%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR1, Class D                                                                    | CUSIP: 74333YAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21816000 | PA      | $20846843.83   | 0.04%             | 2041-02-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class A                                                               | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   29600000 | PA      | $29785929.44   | 0.06%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A6X97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9183236 | PA      | $7641759.63    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                   | DBWF Mortgage Trust, Series 2015-LCM, Class A2                                                                           | CUSIP: 23306NAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3850725.60    | 0.01%             | 2034-06-10      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45000000 | PA      | $45362109.60   | 0.09%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $752357.56     | 0.00%             | 2042-04-22      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1254052.53    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27615949 | PA      | $28815450.27   | 0.06%             | 2072-03-20      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-17, Class JO                                                                                           | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     249516 | PA      | $205409.94     | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337T1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  108105000 | PA      | $78743309.04   | 0.15%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27144890 | PA      | $23090347.63   | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-48, Class GH                                                                                    | CUSIP: 31392DS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124440 | PA      | $130133.37     | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    9560000 | PA      | $9474769.16    | 0.02%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2484, Class LZ                                                                                      | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110906 | PA      | $116413.13     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EGWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270485 | PA      | $277594.97     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H05, Class FA                                                                                          | CUSIP: 38375UDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2570464 | PA      | $2576997.72    | 0.01%             | 2064-02-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M7, Class A2                                                                                      | CUSIP: 3136B4QB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32468544 | PA      | $31409696.30   | 0.06%             | 2029-04-25      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                            | US Bancorp                                                                                                               | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   12600000 | PA      | $13131074.00   | 0.03%             | 2035-01-23      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    2604000 | PA      | $2068821.83    | 0.00%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1114112 | PA      | $1076563.00    | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73925 | PA      | $75376.55      | 0.00%             | 2036-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2005-8, Class 30                                                                   | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24075 | PA      | $15788.21      | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  179931500 | PA      | $116575931.09  | 0.23%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                            | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 65364UAU0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    8540000 | PA      | $8151867.08    | 0.02%             | 2054-01-17      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2000-52                                                                                              | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4596 | PA      | $559.40        | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                   | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1                                                             | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     664582 | PA      | $658467.47     | 0.00%             | 2043-09-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-84, Class XM                                                                                    | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125649 | PA      | $129808.73     | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3138                                                                                                | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107251 | PA      | $93600.32      | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7059296 | PA      | $6965893.43    | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-97, Class WA                                                                                           | CUSIP: 38376LK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     323452 | PA      | $328840.65     | 0.00%             | 2038-11-20      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416CBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176115 | PA      | $185122.72     | 0.00%             | 2033-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class JZ                                                                                     | CUSIP: 31394VW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     668908 | PA      | $696887.46     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   53900000 | PA      | $36861059.77   | 0.07%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                           | Nationwide Building Society                                                                                              | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   26080000 | PA      | $25616687.76   | 0.05%             | 2030-07-18      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    2795000 | PA      | $2458953.43    | 0.00%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom AG                                                   | Deutsche Telekom AG                                                                                                      | CUSIP: 251566AA3<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | DBT              | CORP              | DE        |    4657000 | PA      | $3349528.72    | 0.01%             | 2050-01-21      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  250000000 | PA      | $251425780.00  | 0.49%             | 2027-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                               | Uber Technologies, Inc.                                                                                                  | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   13210000 | PA      | $13058954.22   | 0.03%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                           | Penske Truck Leasing Co. LP                                                                                              | CUSIP: 709599CB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3095137.77    | 0.01%             | 2030-02-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   32240000 | PA      | $33593494.52   | 0.07%             | 2033-01-13      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2005-7, Class 30                                                                   | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63310 | PA      | $65586.78      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                        | Banc of America Mortgage Trust, Series 2003-C, Class 3A1                                                                 | CUSIP: 0605067V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12448 | PA      | $11782.37      | 0.00%             | 2033-04-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   18110000 | PA      | $18582474.33   | 0.04%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                    | ConocoPhillips Co.                                                                                                       | CUSIP: 20826FBE5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   13210000 | PA      | $12106612.56   | 0.02%             | 2053-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-19, Class PW                                                                                    | CUSIP: 31397NUJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     464718 | PA      | $467167.51     | 0.00%             | 2036-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-99, Class WA                                                                                    | CUSIP: 31398F4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     597933 | PA      | $610675.09     | 0.00%             | 2039-12-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| CVS Pass Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     527137 | PA      | $543447.61     | 0.00%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| City of Los Angeles Department of Airports                            | City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer, Series 2009C | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2530000 | PA      | $2714796.26    | 0.01%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                             | Duke Energy Carolinas LLC                                                                                                | CUSIP: 26442CBL7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    9705000 | PA      | $9354582.73    | 0.02%             | 2054-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2014-29, Class PS                                                                                    | CUSIP: 3136AJT89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1692066 | PA      | $191308.49     | 0.00%             | 2044-05-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406UL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170038 | PA      | $173374.02     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                                   | Entergy Texas, Inc.                                                                                                      | CUSIP: 29365TAN4<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    8450000 | PA      | $8326916.46    | 0.02%             | 2053-09-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31575000 | PA      | $29544826.01   | 0.06%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3510, Class OD                                                                                      | CUSIP: 31397YZP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148441 | PA      | $129721.07     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4001240.00    | 0.01%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CLW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $6.95          | 0.00%             | 2025-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132VMGN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1068288 | PA      | $1015027.16    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-211, Class AC                                                                                          | CUSIP: 38381EJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7429953 | PA      | $5512093.63    | 0.01%             | 2063-01-16      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52486672 | PA      | $44760344.25   | 0.09%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAS7<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    4729000 | PA      | $4400083.77    | 0.01%             | 2045-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Diversified ABS LLC                                                   | Diversified ABS LLC, Series 2025-1A, Class A2                                                                            | CUSIP: 255126AC8<br>LEI: 2549000V3WDZQQ691H02 | Long             | ABS-O            | CORP              | US        |   58000000 | PA      | $58452400.00   | 0.11%             | 2045-02-28      | Fixed         | 6.75%                 | Yes           |                  3 | On Loan: No      |
| Cheniere Energy Partners LP                                           | Cheniere Energy Partners LP                                                                                              | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   12420000 | PA      | $12534145.14   | 0.02%             | 2035-10-30      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-72, Class IE                                                                                    | CUSIP: 31393DXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     646911 | PA      | $77790.75      | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54475000 | PA      | $49897823.11   | 0.10%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                   | Teachers Insurance & Annuity Association of America                                                                      | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    5480000 | PA      | $4416439.85    | 0.01%             | 2047-05-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10646 | PA      | $10886.87      | 0.00%             | 2035-02-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-57, Class PZ                                                                                           | CUSIP: 38374NXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     446380 | PA      | $445176.93     | 0.00%             | 2036-10-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     389456 | PA      | $400206.24     | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H03, Class FA                                                                                          | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        320 | PA      | $318.67        | 0.00%             | 2060-08-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2022-GT2, Class A                                                                          | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40000000 | PA      | $40638664.00   | 0.08%             | 2027-07-25      | Fixed         | 7.90%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class DX                                                  | CUSIP: 2254586J2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     688498 | PA      | $101574.10     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  195970000 | PA      | $160711579.28  | 0.31%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                        | Enbridge, Inc.                                                                                                           | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   19445000 | PA      | $20074838.13   | 0.04%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WU4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461247 | PA      | $451937.43     | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-1CB, Class 1A6                                                                       | CUSIP: 12667F2M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500471 | PA      | $57832.88      | 0.00%             | 2035-03-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3511, Class SA                                                                                      | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260547 | PA      | $20666.01      | 0.00%             | 2039-02-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MDG2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   25582000 | PA      | $26719509.00   | 0.05%             | 2028-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325632 | PA      | $335681.34     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LXWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3739998 | PA      | $3546033.61    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 13                                                                                      | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     522372 | PA      | $76687.43      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                              | Bimbo Bakeries USA, Inc.                                                                                                 | CUSIP: 09031WAC7<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    3406000 | PA      | $3562948.48    | 0.01%             | 2029-01-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Guardian Life Insurance Co. of America (The)                          | Guardian Life Insurance Co. of America (The)                                                                             | CUSIP: 401378AD6<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    6450000 | PA      | $4277558.09    | 0.01%             | 2070-01-22      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A1, Class 9A1                                                                  | CUSIP: 161630AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91064 | PA      | $90299.08      | 0.00%             | 2037-02-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9162389 | PA      | $9381209.92    | 0.02%             | 2031-01-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 3140X6XQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489562 | PA      | $484656.49     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class SJ                                                                                           | CUSIP: 38375KHN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     361617 | PA      | $4873.55       | 0.00%             | 2037-06-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A                                           | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     262556 | PA      | $242221.71     | 0.00%             | 2032-07-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                    | Canadian Imperial Bank of Commerce                                                                                       | CUSIP: 13607LWV1<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    3200000 | PA      | $3369564.61    | 0.01%             | 2028-10-03      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co., Series N                                                                                               | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |     700000 | PA      | $774515.10     | 0.00%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XRBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20234557 | PA      | $17551076.70   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MGV99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8052133 | PA      | $6766470.82    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2025-4A, Class D                                                             | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   48000000 | PA      | $48315595.20   | 0.09%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JKQK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     634720 | PA      | $649029.44     | 0.00%             | 2049-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4077, Class FB                                                                                      | CUSIP: 3137ASAP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1124819 | PA      | $1110505.48    | 0.00%             | 2042-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLQY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17758000 | PA      | $17760659.79   | 0.03%             | 2033-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                                           | WRKCo, Inc.                                                                                                              | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2848784.82    | 0.01%             | 2028-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                    | ConocoPhillips Co.                                                                                                       | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   10025000 | PA      | $9446295.05    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 11                                                                                      | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     333218 | PA      | $53960.66      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CRH America, Inc.                                                     | CRH America, Inc.                                                                                                        | CUSIP: 12626PAN3<br>LEI: 549300RN11MJ182CNF63 | Long             | DBT              | CORP              | US        |    6052000 | PA      | $5568297.95    | 0.01%             | 2045-05-18      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KAL61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4136691 | PA      | $3625570.84    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-10, Class FD                                                                                    | CUSIP: 31396PNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108124 | PA      | $107087.31     | 0.00%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177493 | PA      | $181608.15     | 0.00%             | 2036-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99373 | PA      | $105025.15     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31287UNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7697 | PA      | $8098.18       | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AL9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    7215000 | PA      | $6066910.31    | 0.01%             | 2043-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M50, Class A2                                                                                     | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10185891 | PA      | $9699697.99    | 0.02%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FMR LLC                                                               | FMR LLC                                                                                                                  | CUSIP: 30251BAB4<br>LEI: 6X064LF7Y6B4DKF2GZ26 | Long             | DBT              | CORP              | US        |    2242000 | PA      | $2473693.75    | 0.00%             | 2039-11-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $3625440.45    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4225 | PA      | $4316.67       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2KD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8384144 | PA      | $7824410.96    | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American General Mortgage Loan Trust                                  | American General Mortgage Loan Trust, Series 2006-1, Class A5                                                            | CUSIP: 02639MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1328 | PA      | $1474.01       | 0.00%             | 2035-12-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                        | Mariner Finance Issuance Trust, Series 2021-BA, Class D                                                                  | CUSIP: 56847JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11935000 | PA      | $11311426.09   | 0.02%             | 2036-11-20      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                      | SLG Office Trust, Series 2021-OVA, Class A                                                                               | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   67015000 | PA      | $59559138.95   | 0.12%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617GRB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5560685 | PA      | $5668857.87    | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-89, Class LS                                                                                           | CUSIP: 38374JLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54347 | PA      | $55764.75      | 0.00%             | 2034-10-16      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A7                                                 | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167191 | PA      | $166500.05     | 0.00%             | 2033-08-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33564 | PA      | $33737.56      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                 | Pagaya AI Technology in Housing Trust, Series 2023-1, Class D                                                            | CUSIP: 69547YAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22177000 | PA      | $20780117.34   | 0.04%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   12605000 | PA      | $11540272.04   | 0.02%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40992568 | PA      | $36741099.54   | 0.07%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                                  | Entergy Arkansas LLC                                                                                                     | CUSIP: 29366MAG3<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    6750000 | PA      | $6720049.71    | 0.01%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89778 | PA      | $91719.25      | 0.00%             | 2036-08-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Academic Loan Funding Trust                                           | Academic Loan Funding Trust, Series 2013-1A, Class A                                                                     | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     952230 | PA      | $927665.95     | 0.00%             | 2044-12-26      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5190, Class PH                                                                                      | CUSIP: 3137H5HE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17876966 | PA      | $16500076.36   | 0.03%             | 2052-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29636162 | PA      | $25927079.82   | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132E0L91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40906609 | PA      | $34378949.26   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-25, Class PF                                                                                    | CUSIP: 31394DAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282368 | PA      | $280050.58     | 0.00%             | 2035-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GAF5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    4500000 | PA      | $4413941.51    | 0.01%             | 2028-04-06      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | Port Authority of New York and New Jersey, Consolidated, Series 165                                                      | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    3780000 | PA      | $3982282.92    | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   10759000 | PA      | $11207488.48   | 0.02%             | 2035-01-24      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    5520000 | PA      | $4656050.61    | 0.01%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp.                    | National Rural Utilities Cooperative Finance Corp.                                                                       | CUSIP: 63743HFP2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |   11940000 | PA      | $12334441.60   | 0.02%             | 2031-02-07      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1                                                          | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132602 | PA      | $129372.85     | 0.00%             | 2028-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   53000000 | PA      | $54600237.48   | 0.11%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                     | Cigna Group (The)                                                                                                        | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    1904000 | PA      | $1655550.01    | 0.00%             | 2046-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30678957 | PA      | $26162845.86   | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                       | NGPL PipeCo LLC                                                                                                          | CUSIP: 62912XAF1<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    8486000 | PA      | $8497514.14    | 0.02%             | 2027-08-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                                          | HERO Funding, Series 2017-3A, Class A2                                                                                   | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    6325012 | PA      | $5983101.23    | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  3 | On Loan: No      |
| Entergy Arkansas LLC                                                  | Entergy Arkansas LLC                                                                                                     | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    8425000 | PA      | $4946225.58    | 0.01%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410F3Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51554 | PA      | $52710.28      | 0.00%             | 2037-04-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BZ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2344998 | PA      | $2229652.03    | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  115000000 | PA      | $99371679.40   | 0.19%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417UDA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209907 | PA      | $216243.69     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044CN9<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     829000 | PA      | $814705.88     | 0.00%             | 2040-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834EP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17900000 | PA      | $9136703.98    | 0.02%             | 2039-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KL05, Class BP                                                                         | CUSIP: 30311NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5645000 | PA      | $5317234.37    | 0.01%             | 2029-06-25      | Variable      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2003-12, Class 6A1                                                              | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37658 | PA      | $33030.41      | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAY4<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    4979000 | PA      | $4886610.07    | 0.01%             | 2026-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   12960000 | PA      | $13510208.64   | 0.03%             | 2034-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-46, Class FW                                                                                    | CUSIP: 31395D7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92486 | PA      | $91896.60      | 0.00%             | 2036-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138YBK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5097719 | PA      | $4757671.49    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-73, Class PS                                                                                    | CUSIP: 31394EC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71727 | PA      | $73813.55      | 0.00%             | 2035-08-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J76E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4452589 | PA      | $4465260.95    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                             | PG&E Recovery Funding LLC, Series A-3                                                                                    | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8670000 | PA      | $8601939.20    | 0.02%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MZ                                                       | CUSIP: 35563PHJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15236978 | PA      | $11218331.40   | 0.02%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-112, Class MJ                                                                                   | CUSIP: 31396X4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     448088 | PA      | $471779.57     | 0.00%             | 2037-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2014-2, Class A                                                                         | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     696356 | PA      | $44865.50      | 0.00%             | 2040-04-25      | Variable      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class OP                                                                                    | CUSIP: 31396KXD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111067 | PA      | $91983.74      | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1569000 | PA      | $1297677.08    | 0.00%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11496009 | PA      | $11393156.58   | 0.02%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-6, Class 15                                                                | CUSIP: 57643MDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        320 | PA      | $318.09        | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    4308000 | PA      | $4284541.52    | 0.01%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3688, Class GT                                                                                      | CUSIP: 3137A0ML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1547180 | PA      | $1655160.02    | 0.00%             | 2046-11-15      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHY72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     680340 | PA      | $702850.47     | 0.00%             | 2036-12-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   26000000 | PA      | $25740655.98   | 0.05%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    7770000 | PA      | $4886156.42    | 0.01%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 412, Class F2                                                                                       | CUSIP: 31395QDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1606352 | PA      | $1559865.04    | 0.00%             | 2042-08-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-18, Class Z                                                                                     | CUSIP: 31359VRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1368 | PA      | $1365.00       | 0.00%             | 2029-04-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                   | Bank of New York Mellon Corp. (The)                                                                                      | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   19650000 | PA      | $21716919.64   | 0.04%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K102, Class B                                                                          | CUSIP: 30312WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5684748.60    | 0.01%             | 2051-12-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2001-35, Class SA                                                                                           | CUSIP: 38373RTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32212 | PA      | $65.17         | 0.00%             | 2031-08-16      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7022430 | PA      | $6583925.58    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAS9<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    6440000 | PA      | $5490986.02    | 0.01%             | 2034-11-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-6, Class D                                                           | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   67185000 | PA      | $67834887.22   | 0.13%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   14830000 | PA      | $14514200.93   | 0.03%             | 2027-06-14      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29845000 | PA      | $18373328.13   | 0.04%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  113240000 | PA      | $111368885.65  | 0.22%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410QPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36996 | PA      | $37707.37      | 0.00%             | 2036-10-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7397000 | PA      | $7323128.38    | 0.01%             | 2029-01-24      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7VE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157975 | PA      | $163907.18     | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MEB88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11079881 | PA      | $10958159.19   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MTU                                                      | CUSIP: 35563PSE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38471455 | PA      | $31750603.74   | 0.06%             | 2060-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR2, Class E1                                                                         | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50000000 | PA      | $48897200.00   | 0.10%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410GAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174047 | PA      | $176597.49     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   11185000 | PA      | $11457791.64   | 0.02%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617X2A80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19519741 | PA      | $17770553.55   | 0.03%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   18175000 | PA      | $18703473.20   | 0.04%             | 2034-04-24      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-64CB, Class 1A9                                                                      | CUSIP: 12668AZU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300074 | PA      | $267519.14     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4012, Class FN                                                                                      | CUSIP: 3137AMMX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2417806 | PA      | $2396513.86    | 0.00%             | 2042-03-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                              | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7790000 | PA      | $7155661.78    | 0.01%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                            | BXG Receivables Note Trust, Series 2023-A, Class B                                                                       | CUSIP: 123919AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15407298 | PA      | $15734222.39   | 0.03%             | 2038-11-15      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216283 | PA      | $209784.76     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-2, Class AA                                                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5677429 | PA      | $5183938.40    | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37063425 | PA      | $38708191.90   | 0.08%             | 2071-11-20      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2024-1, Class AA                                                              | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27093498 | PA      | $27760398.76   | 0.05%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   26134000 | PA      | $26415775.22   | 0.05%             | 2036-07-03      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class TB                                                                                      | CUSIP: 31339WBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53877 | PA      | $55748.76      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400AXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189872 | PA      | $194664.55     | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                                                      | FHF Issuer Trust, Series 2023-2A, Class A2                                                                               | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5803865 | PA      | $5887016.40    | 0.01%             | 2029-10-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $13462915.90   | 0.03%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUD46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16765563 | PA      | $17494684.31   | 0.03%             | 2071-08-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119DA4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    9612000 | PA      | $9961594.11    | 0.02%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2023-2A, Class D                                                           | CUSIP: 959926AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18890000 | PA      | $19324940.36   | 0.04%             | 2028-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJ5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14699000 | PA      | $14938279.44   | 0.03%             | 2033-04-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288653 | PA      | $296207.98     | 0.00%             | 2037-05-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    2572000 | PA      | $2562471.10    | 0.00%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W8, Class 3A                                                                         | CUSIP: 31394ALN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84156 | PA      | $86402.45      | 0.00%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $16185834.00   | 0.03%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27762643 | PA      | $25916404.96   | 0.05%             | 2059-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-71, Class SB                                                                                           | CUSIP: 38374JBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77587 | PA      | $86255.03      | 0.00%             | 2034-09-20      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3NT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     580709 | PA      | $545719.27     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    9855000 | PA      | $10663518.98   | 0.02%             | 2034-09-22      | Variable      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2009                                                                                      | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3507695 | PA      | $3834429.91    | 0.01%             | 2031-07-10      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-9, Class P                                                                                             | CUSIP: 38383FP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20526007 | PA      | $18238500.16   | 0.04%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2209, Class TC                                                                                      | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13588 | PA      | $14144.89      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                        | Thermo Fisher Scientific, Inc.                                                                                           | CUSIP: 883556CM2<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    6745000 | PA      | $4865632.62    | 0.01%             | 2041-10-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4758000 | PA      | $4877184.52    | 0.01%             | 2030-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LAZA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13017175 | PA      | $12881831.36   | 0.03%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296SLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81519 | PA      | $83412.63      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-33, Class IA                                                                                    | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206027 | PA      | $27721.22      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22337941 | PA      | $22164343.26   | 0.04%             | 2033-06-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-108, Class SA                                                                                   | CUSIP: 31396XR55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24692 | PA      | $1722.31       | 0.00%             | 2037-12-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class MY                                                                                    | CUSIP: 3139205U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95990 | PA      | $100337.00     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29908116 | PA      | $31223439.35   | 0.06%             | 2072-03-20      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DF5<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $8360951.50    | 0.02%             | 2046-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes Trust                                           | Tricon American Homes Trust, Series 2019-SFR1, Class D                                                                   | CUSIP: 89612LAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4641000 | PA      | $4593363.85    | 0.01%             | 2038-03-17      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K142, Class A2                                          | CUSIP: 3137H73P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58400000 | PA      | $52343990.08   | 0.10%             | 2032-03-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   12630000 | PA      | $12719459.81   | 0.02%             | 2034-01-26      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Mead Johnson Nutrition Co.                                            | Mead Johnson Nutrition Co.                                                                                               | CUSIP: 582839AG1<br>LEI: E4BJRFT3MF4GJDY1SC50 | Long             | DBT              | CORP              | US        |     955000 | PA      | $841071.05     | 0.00%             | 2044-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   19515000 | PA      | $15270874.87   | 0.03%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                               | Volkswagen Group of America Finance LLC                                                                                  | CUSIP: 928668BN1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    6615000 | PA      | $6231663.40    | 0.01%             | 2027-11-24      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Evergy Missouri West Storm Funding I LLC                              | Evergy Missouri West Storm Funding I LLC, Series A-1                                                                     | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10746656 | PA      | $10837827.14   | 0.02%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738BQ0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   18135000 | PA      | $18063615.38   | 0.04%             | 2035-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1763136 | PA      | $1713839.41    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3422, Class SE                                                                                      | CUSIP: 31397RDJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44687 | PA      | $48176.59      | 0.00%             | 2038-02-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3618LEU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28320551 | PA      | $29398483.28   | 0.06%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36132982 | PA      | $33775729.49   | 0.07%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05578AE46<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2915000 | PA      | $2946910.01    | 0.01%             | 2027-07-19      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-5, Class 1A4                                                                | CUSIP: 12669FVR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     343535 | PA      | $340792.57     | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4578746 | PA      | $4224950.73    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2004-W11, Class 1A1                                                                | CUSIP: 31394AB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337543 | PA      | $351627.35     | 0.00%             | 2044-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132Y13D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3070164 | PA      | $3105095.36    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5246000 | PA      | $5356131.53    | 0.01%             | 2028-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                                | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A                                                        | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10091217 | PA      | $10026606.13   | 0.02%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-40, Class FJ                                                                                    | CUSIP: 31398PQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29847 | PA      | $29847.06      | 0.00%             | 2040-04-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| COOF Securitization Trust Ltd.                                        | COOF Securitization Trust Ltd., Series 2014-1, Class A                                                                   | CUSIP: 12631UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1268765 | PA      | $83704.23      | 0.00%             | 2040-06-25      | Variable      | 3.41%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9295000 | PA      | $9596467.34    | 0.02%             | 2034-07-21      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2005-6, Class 3A1                                                                   | CUSIP: 576434W59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57167 | PA      | $50032.95      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42242 | PA      | $43561.58      | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.                | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-HYB1, Class A                                        | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |     108529 | PA      | $111490.97     | 0.00%             | 2033-09-25      | Variable      | 7.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2450, Class GZ                                                                                      | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76623 | PA      | $81114.82      | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                             | BXP Trust, Series 2017-GM, Class A                                                                                       | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5817000 | PA      | $5672471.98    | 0.01%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M15, Class A2                                                                                     | CUSIP: 3136AY6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8002140 | PA      | $7852073.23    | 0.02%             | 2027-09-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BQ2<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    3458000 | PA      | $3424849.61    | 0.01%             | 2026-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H08, Class FS                                                                                          | CUSIP: 38375BQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1388251 | PA      | $1394893.80    | 0.00%             | 2062-04-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6                                                | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1036754 | PA      | $1029460.94    | 0.00%             | 2033-09-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H07, Class ES                                                                                          | CUSIP: 38375UVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1505119 | PA      | $1504858.66    | 0.00%             | 2065-02-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                  | Prime Mortgage Trust, Series 2004-CL1, Class 1A1                                                                         | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117285 | PA      | $117390.70     | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241LPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     907996 | PA      | $938845.74     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   15265000 | PA      | $15381028.81   | 0.03%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-31, Class MA                                                                                    | CUSIP: 3136BVYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10771973 | PA      | $9034293.62    | 0.02%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc.                                                                                                    | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1076000 | PA      | $1224834.79    | 0.00%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H02, Class FB                                                                                          | CUSIP: 38375UUA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     623116 | PA      | $623217.07     | 0.00%             | 2064-12-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2023-3A, Class C                                                                        | CUSIP: 67571CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3539000 | PA      | $3623445.85    | 0.01%             | 2029-08-20      | Fixed         | 6.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54320000 | PA      | $52110655.13   | 0.10%             | 2032-09-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                          | Exelon Corp.                                                                                                             | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13418629.64   | 0.03%             | 2033-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-3, Class A                                                                         | CUSIP: 48248FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8272 | PA      | $0.00          | 0.00%             | 2026-09-25      | Variable      | 0.99%                 | Yes           |                  3 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    5070000 | PA      | $5042097.00    | 0.01%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-133, Class ES                                                                                          | CUSIP: 38383TYR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8640035 | PA      | $8936923.84    | 0.02%             | 2052-07-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XVX57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14170261 | PA      | $13277818.10   | 0.03%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KHRB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5857051 | PA      | $5645610.44    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WA                                                                                          | CUSIP: 38378GPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1265587 | PA      | $1259633.01    | 0.00%             | 2041-11-16      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHPZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45001000 | PA      | $44614159.70   | 0.09%             | 2029-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Southwest Gas Corp.                                                   | Southwest Gas Corp.                                                                                                      | CUSIP: 844895AX0<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |    3595000 | PA      | $2675201.06    | 0.01%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-33, Class CI                                                                                           | CUSIP: 38374UKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100785 | PA      | $6770.93       | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FW Energy Asset Issuer LLC                                            | FW Energy Asset Issuer LLC                                                                                               | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   67499846 | PA      | $68782275.95   | 0.13%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1359035 | PA      | $1313232.01    | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ontario Teachers' Cadillac Fairview Properties Trust                  | Ontario Teachers' Cadillac Fairview Properties Trust                                                                     | CUSIP: 68327LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    6562000 | PA      | $6507712.71    | 0.01%             | 2027-03-20      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    2669000 | PA      | $2573722.22    | 0.01%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2022-2A, Class C                                                               | CUSIP: 36265NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1083552 | PA      | $1083827.81    | 0.00%             | 2028-04-17      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Public Service Enterprise Group, Inc.                                 | Public Service Enterprise Group, Inc.                                                                                    | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7913735.06    | 0.02%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KBS8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   10380000 | PA      | $10380000.00   | 0.02%             | 2025-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KeySpan Gas East Corp.                                                | KeySpan Gas East Corp.                                                                                                   | CUSIP: 49338CAB9<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |    4242000 | PA      | $4165569.68    | 0.01%             | 2026-08-15      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSZC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90519 | PA      | $92295.69      | 0.00%             | 2036-10-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2022-2A, Class D                                                               | CUSIP: 36265NAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19357000 | PA      | $19510464.23   | 0.04%             | 2028-04-17      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36201SRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11482 | PA      | $11861.83      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust                | Stellantis Financial Underwritten Enhanced Lease Trust, Series 2025-AA, Class A3                                         | CUSIP: 858928AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14479000 | PA      | $14580565.84   | 0.03%             | 2028-07-20      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31393461 | PA      | $32802333.46   | 0.06%             | 2072-02-20      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2022-1A, Class D                                                                       | CUSIP: 784033AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11735000 | PA      | $11541789.09   | 0.02%             | 2031-11-20      | Fixed         | 3.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JDZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109389 | PA      | $114865.95     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   15994000 | PA      | $16320597.48   | 0.03%             | 2028-05-14      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-43, Class DO                                                                                    | CUSIP: 31395DF38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138194 | PA      | $120687.81     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                         | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    6275000 | PA      | $5518709.45    | 0.01%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNRG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25604228 | PA      | $25332645.67   | 0.05%             | 2028-06-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                                         | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295210 | PA      | $290672.73     | 0.00%             | 2034-04-21      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                  | American Express Co.                                                                                                     | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   16625000 | PA      | $16837573.57   | 0.03%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-27, Class SN                                                                                    | CUSIP: 31396Y4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222020 | PA      | $23675.46      | 0.00%             | 2038-04-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11896508 | PA      | $11980735.65   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     836422 | PA      | $809368.83     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-60, Class PX                                                                                    | CUSIP: 3139213T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117082 | PA      | $121036.56     | 0.00%             | 2031-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class D                                                               | CUSIP: 22534QAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50000000 | PA      | $51071300.00   | 0.10%             | 2033-04-18      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XK3B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12585569 | PA      | $10942558.26   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-40, Class SA                                                                                           | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1492377 | PA      | $74298.75      | 0.00%             | 2038-05-16      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29181445 | PA      | $25896450.87   | 0.05%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   20600000 | PA      | $21244898.66   | 0.04%             | 2031-04-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-25, Class PZ                                                                                           | CUSIP: 38373QDV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     526191 | PA      | $524870.40     | 0.00%             | 2033-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   45845000 | PA      | $47624041.36   | 0.09%             | 2036-01-09      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9425000 | PA      | $9626217.72    | 0.02%             | 2031-01-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA REMIC Trust, Series 2006-72, Class GO                                                                               | CUSIP: 31396KJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163427 | PA      | $143969.93     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400ES8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     895000 | PA      | $932331.92     | 0.00%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   27075000 | PA      | $27386082.27   | 0.05%             | 2027-06-08      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| VOLT CVI LLC                                                          | VOLT CVI LLC, Series 2021-NP12, Class A1                                                                                 | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8758151 | PA      | $8749267.67    | 0.02%             | 2051-12-26      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LLZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13773786 | PA      | $13493892.36   | 0.03%             | 2028-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2022-A, Class B                                                                           | CUSIP: 68378NAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13299000 | PA      | $13314021.22   | 0.03%             | 2031-06-09      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-14, Class KI                                                                                           | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     166824 | PA      | $9702.65       | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3330000 | PA      | $3007874.71    | 0.01%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fortis, Inc.                                                          | Fortis, Inc.                                                                                                             | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |    8472000 | PA      | $8343460.36    | 0.02%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2024-1A, Class A3                                                                      | CUSIP: 783896AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21850000 | PA      | $22401393.49   | 0.04%             | 2032-01-20      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M13, Class A2                                                                                     | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60253000 | PA      | $54491776.85   | 0.11%             | 2032-06-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                                     | GLS Auto Select Receivables Trust, Series 2023-1A, Class A3                                                              | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14049153 | PA      | $14172977.00   | 0.03%             | 2028-10-16      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class AX                                                                                    | CUSIP: 31393CDE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82607 | PA      | $86448.09      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                               | Lendingpoint Asset Securitization Trust, Series 2022-C, Class C                                                          | CUSIP: 525919AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4143723 | PA      | $4061568.69    | 0.01%             | 2030-02-15      | Fixed         | 8.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W1QH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36383384 | PA      | $34013675.74   | 0.07%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                               | Simon Property Group LP                                                                                                  | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   12865000 | PA      | $8706007.95    | 0.02%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6477202 | PA      | $6165627.63    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                                                       | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     948518 | PA      | $964835.07     | 0.00%             | 2034-08-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60000000 | PA      | $58783456.20   | 0.11%             | 2030-09-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Chester County Health and Education Facilities Authority              | Chester County Health and Education Facilities Authority, Main Line Health System, Series 2020C                          | CUSIP: 16557HGE9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   11130000 | PA      | $7707829.96    | 0.02%             | 2051-06-01      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55245000 | PA      | $53650232.09   | 0.10%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31404R3R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103891 | PA      | $105425.74     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                         | UniCredit SpA                                                                                                            | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   10885000 | PA      | $10686091.97   | 0.02%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-52, Class PI                                                                                    | CUSIP: 31396QKF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219979 | PA      | $33469.45      | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-56, Class IC                                                                                           | CUSIP: 38374LRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72558 | PA      | $7774.54       | 0.00%             | 2035-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S42W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16152 | PA      | $16496.47      | 0.00%             | 2038-05-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                              | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1                                                        | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13896691 | PA      | $14002583.53   | 0.03%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2004-1                                                                             | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72527 | PA      | $51493.26      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-128, Class BP                                                                                   | CUSIP: 31396PES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16029 | PA      | $16154.07      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-106, Class AS                                                                                          | CUSIP: 38376JFB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1100574 | PA      | $105681.78     | 0.00%             | 2039-11-16      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECX7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    5495000 | PA      | $5944813.45    | 0.01%             | 2054-03-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2006-CD3, Class XS                                                                             | CUSIP: 14986DAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     601374 | PA      | $1031.24       | 0.00%             | 2048-10-15      | Variable      | 0.19%                 | Yes           |                  3 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                        | Diversified ABS Phase LLC, Series 2024-1A, Class A1                                                                      | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17591570 | PA      | $17781330.32   | 0.03%             | 2044-05-30      | Fixed         | 7.08%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HXUA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22962000 | PA      | $19191061.65   | 0.04%             | 2035-04-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69988 | PA      | $71314.99      | 0.00%             | 2036-11-01      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5025000 | PA      | $4985904.55    | 0.01%             | 2033-06-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KRJC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22990194 | PA      | $22819379.84   | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-54, Class WA                                                                                           | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     726008 | PA      | $743718.99     | 0.00%             | 2042-11-20      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36202EXN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10263 | PA      | $10390.04      | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    3664000 | PA      | $3638008.10    | 0.01%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418APN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     935657 | PA      | $877524.11     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   57213894 | PA      | $48439083.18   | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XFJB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50852000 | PA      | $47578008.40   | 0.09%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   53955000 | PA      | $54873841.78   | 0.11%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  190000000 | PA      | $190860937.50  | 0.37%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                   | Suncor Energy, Inc.                                                                                                      | CUSIP: 867229AD8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |   11584000 | PA      | $12066445.68   | 0.02%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Memorial Sloan-Kettering Cancer Center                                | Memorial Sloan-Kettering Cancer Center, Series 2015                                                                      | CUSIP: 586054AC2<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |    3335000 | PA      | $2645259.04    | 0.01%             | 2055-07-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Baml PIMCO Frn                                                        | Baml PIMCO Frn                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   12763660 | PA      | $12763660.12   | 0.02%             | 2026-01-30      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| New York Life Insurance Co.                                           | New York Life Insurance Co.                                                                                              | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |   11250000 | PA      | $8589487.28    | 0.02%             | 2069-05-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-121, Class S                                                                                           | CUSIP: 38383UCQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11079025 | PA      | $11916179.21   | 0.02%             | 2052-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-46, Class EP                                                                                    | CUSIP: 31393YQ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32476 | PA      | $32205.34      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58549165 | PA      | $49596894.68   | 0.10%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCZ0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    9850000 | PA      | $8958484.08    | 0.02%             | 2042-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14287000 | PA      | $14678220.21   | 0.03%             | 2032-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2024-FRR2, Class A                                                                          | CUSIP: 05493UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13078000 | PA      | $12194221.46   | 0.02%             | 2050-07-27      | Variable      | 2.46%                 | Yes           |                  3 | On Loan: No      |
| Microsoft Corp.                                                       | Microsoft Corp.                                                                                                          | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    1820000 | PA      | $1147635.29    | 0.00%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKP80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32295000 | PA      | $32095539.30   | 0.06%             | 2033-05-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   12515000 | PA      | $11950708.16   | 0.02%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13528000 | PA      | $13297222.33   | 0.03%             | 2033-05-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    4157000 | PA      | $3588871.25    | 0.01%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    1904000 | PA      | $2080550.15    | 0.00%             | 2038-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M2, Class A2                                                                                      | CUSIP: 3136B0YM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19096075 | PA      | $18651004.27   | 0.04%             | 2028-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                 | Athene Global Funding                                                                                                    | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   42215000 | PA      | $41505870.74   | 0.08%             | 2026-11-12      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-1A, Class D                                                                             | CUSIP: 23346KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15550000 | PA      | $15823726.65   | 0.03%             | 2028-11-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140K1GR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1876502 | PA      | $1714014.08    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-77, Class PC                                                                                    | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166740 | PA      | $172124.47     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Energy Assets                                                         | Energy Assets                                                                                                            | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |   20304832 | PA      | $20746604.03   | 0.04%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  3 | On Loan: No      |
| US Auto Funding Trust                                                 | US Auto Funding Trust, Series 2022-1A, Class C                                                                           | CUSIP: 90355FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40434000 | PA      | $404.34        | 0.00%             | 2026-09-15      | Fixed         | 6.21%                 | Yes           |                  3 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2024-1A, Class B                                                                       | CUSIP: 783896AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6540000 | PA      | $6771431.63    | 0.01%             | 2032-04-20      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M10, Class X                                                                                      | CUSIP: 3136B4D62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   67397882 | PA      | $1857869.80    | 0.00%             | 2049-05-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA REMIC Trust, Series 2007-42, Class AO                                                                               | CUSIP: 31396VM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8494 | PA      | $7460.02       | 0.00%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2021-KLU3, Class BFX                                                                        | CUSIP: 30320PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9425104 | PA      | $8743251.93    | 0.02%             | 2031-01-25      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    3091000 | PA      | $2799139.22    | 0.01%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-16, Class WB                                                                                    | CUSIP: 31398MRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     569319 | PA      | $578006.01     | 0.00%             | 2040-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M9, Class APT2                                                                                    | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63324263 | PA      | $61965121.38   | 0.12%             | 2028-04-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2351, Class PZ                                                                                      | CUSIP: 313399HV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30902 | PA      | $31892.88      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3137, Class XP                                                                                      | CUSIP: 31396N2Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259726 | PA      | $275677.30     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $5422287.78    | 0.01%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43393307 | PA      | $38703591.47   | 0.08%             | 2053-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2005-W4, Class 1A1                                                                        | CUSIP: 31394VPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135629 | PA      | $139209.76     | 0.00%             | 2045-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class AP                                                 | CUSIP: 225470FW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33365 | PA      | $23241.62      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-16, Class IS                                                                                    | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179958 | PA      | $13862.34      | 0.00%             | 2038-03-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W6, Class 3A                                                                         | CUSIP: 31393BU94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438245 | PA      | $449174.91     | 0.00%             | 2042-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-53, Class SH                                                                                    | CUSIP: 31396WCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474234 | PA      | $38780.14      | 0.00%             | 2037-06-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413HWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30395 | PA      | $31223.19      | 0.00%             | 2037-09-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31381RTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1911478 | PA      | $1915008.25    | 0.00%             | 2026-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   23181000 | PA      | $22909211.12   | 0.04%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-65, Class QO                                                                                    | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100974 | PA      | $86694.09      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                  | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAF0<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    3421000 | PA      | $2973387.67    | 0.01%             | 2045-05-27      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   13085000 | PA      | $11773171.96   | 0.02%             | 2032-11-22      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3305, Class MG                                                                                      | CUSIP: 31397GU73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115738 | PA      | $118300.70     | 0.00%             | 2034-07-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  151700000 | PA      | $148713406.25  | 0.29%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H11, Class VA                                                                                          | CUSIP: 38375UKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6494569 | PA      | $6496087.35    | 0.01%             | 2064-06-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-35, Class SI                                                                                    | CUSIP: 31396VMR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227476 | PA      | $11519.95      | 0.00%             | 2037-04-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                                | Duke Energy Ohio, Inc.                                                                                                   | CUSIP: 26442EAE0<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    3297000 | PA      | $2473961.28    | 0.00%             | 2046-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HUUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6885743 | PA      | $6424999.94    | 0.01%             | 2031-08-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3219, Class DI                                                                                      | CUSIP: 31397BF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179781 | PA      | $30181.79      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3275, Class FL                                                                                      | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95587 | PA      | $94856.05      | 0.00%             | 2037-02-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHYS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139410 | PA      | $144713.71     | 0.00%             | 2037-05-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51850025 | PA      | $43290118.44   | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer