# EDGAR Filing Document

**Accession Number:** 0000892071
**File Stem:** 0001752724-25-156634
**Filing Date:** 2025-6
**Character Count:** 183637
**Document Hash:** beb7d2f7a136f2f379cb524470ce7fdd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-156634.hdr.sgml**: 20250626

**ACCESSION NUMBER**: 0001752724-25-156634

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250626

**DATE AS OF CHANGE**: 20250626

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TCW FUNDS INC
- **CENTRAL INDEX KEY:** 0000892071

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07170
- **FILM NUMBER:** 251075198

**BUSINESS ADDRESS:**
- **STREET 1:** 865 SOUTH FIGUEROA STREET
- **STREET 2:** SUITE 1800
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90017
- **BUSINESS PHONE:** 213-244-0000

**MAIL ADDRESS:**
- **STREET 1:** 865 SOUTH FIGUEROA STREET
- **STREET 2:** SUITE 1800
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90017

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TCW GALILEO FUNDS INC
- **DATE OF NAME CHANGE:** 19950113

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TCW FUNDS INC
- **DATE OF NAME CHANGE:** 19930714

## Series and Classes Contracts Data

### TCW Core Fixed Income Fund (Series ID: S000006334)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000017419 | I Class      | TGCFX           |
| C000017420 | N Class      | TGFNX           |
| C000218395 | Plan Class   | TGCPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TCW FUNDS INC

- **b. Investment Company Act file number:** 811-07170

- **c. CIK number of Registrant:** 0000892071

- **d. LEI of Registrant:** 54930078E2I2DS4UJ217

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

  - **Street Address 1:** 515 South Flower Street

  - **City:** LOS ANGELES

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 213-244-0000

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

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

- **b. EDGAR series identifier (if any):** S000006334

- **c. LEI of Series:** 54930042Z8BKK1TNPM62

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $634674635.61

**Total Liabilities:** $79721786.84

**Net Assets:** $554952848.77

**Delayed Delivery Securities:** $12730838.05

**Cash Not Reported:** $1574069.19

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -665.18000000 | **1-Year:** -10226.08000000 | **5-Year:** -34544.65000000 | **10-Year:** -41962.26000000 | **30-Year:** -12702.39000000

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

- **3-Month:** -150.45000000 | **1-Year:** -1319.11000000 | **5-Year:** -1953.04000000 | **10-Year:** -4868.13000000 | **30-Year:** -577.98000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000218395 | 2.49%                | 0.08%                | 0.49%                |
| Class ID C000017420 | 2.49%                | 0.06%                | 0.48%                |
| Class ID C000017419 | 2.49%                | 0.08%                | 0.39%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $286499.60               | $14515513.83                               |
| Month 2  | $1658448.62              | $-4362679.22                               |
| Month 3  | $-7514341.71             | $4410773.38                                |

**Designated Index Information**

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

- **Index Identifier:** LBUSSTAT

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| VOLKSWAGEN GROUP AMERICA                                                | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CR1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15007.05     | 0.00%             | 2032-03-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31418DRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3531375 | PA      | $3057868.86   | 0.55%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                                               | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCW | CUSIP: 70069FLJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4749983.00   | 0.86%             | 2035-07-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                               | CUSIP: 31397TAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    754759 | PA      | $48979.67     | 0.01%             | 2038-04-15      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                       | EURO-BUND FUTURE JUN25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -66 | NC      | $-189321.53   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225680 | PA      | $202249.64    | 0.04%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140XNWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4544838 | PA      | $4245027.19   | 0.76%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2125000 | PA      | $1979974.06   | 0.36%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                                                    | Smithfield Foods Inc                                                             | CUSIP: 832248BD9<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   1565000 | PA      | $1328935.40   | 0.24%             | 2031-09-13      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                                 | Fremont Home Loan Trust 2005-E                                                   | CUSIP: 35729PNC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3322967 | PA      | $3188649.57   | 0.57%             | 2036-01-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 40 Senior Loan Fund                                                       | CUSIP: 26244GAS4<br>LEI: 549300BH0PFEW6WVTN52 | Long             | ABS-CBDO         | CORP              | KY        |   1636994 | PA      | $1636427.39   | 0.29%             | 2031-08-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4325000 | PA      | $4234518.84   | 0.76%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                       | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    160000 | PA      | $143348.80    | 0.03%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5056858 | PA      | $4681736.49   | 0.84%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8RU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407204 | PA      | $396154.46    | 0.07%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                 | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    260000 | PA      | $255343.40    | 0.05%             | 2028-05-22      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Berry Global Inc                                                        | Berry Global Inc                                                                 | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    270000 | PA      | $269570.70    | 0.05%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                      | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    575000 | PA      | $582653.25    | 0.10%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                               | CUSIP: 31397PHC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42175 | PA      | $41950.51     | 0.01%             | 2037-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201765 | PA      | $201494.03    | 0.04%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                               | CUSIP: 29273VBF6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    790000 | PA      | $741241.20    | 0.13%             | 2055-04-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                 | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2245000 | PA      | $2207463.60   | 0.40%             | 2028-03-24      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Clover CLO                                                              | Clover CLO 2018-1 LLC                                                            | CUSIP: 18914GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4190000 | PA      | $4195953.99   | 0.76%             | 2037-04-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                                    | Sartorius Finance BV                                                             | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |    100000 | PA      | $118896.08    | 0.02%             | 2032-09-14      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                  | CUSIP: 46651EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1160000 | PA      | $1090055.25   | 0.20%             | 2039-06-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                           | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    250000 | PA      | $242352.50    | 0.04%             | 2029-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31418AWX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    855738 | PA      | $823223.00    | 0.15%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                              | Navient Private Education Refi Loan Trust 2021-G                                 | CUSIP: 63942KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2176083 | PA      | $1958553.44   | 0.35%             | 2070-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                             | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    635000 | PA      | $574929.00    | 0.10%             | 2031-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AGL CLO 7 LTD                                                           | AGL CLO 7 Ltd                                                                    | CUSIP: 008511AN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1501461.00   | 0.27%             | 2034-07-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    882442 | PA      | $834224.95    | 0.15%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                              | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34700000 | PA      | $34954828.13  | 6.30%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP II                                                 | Farmers Exchange Capital II                                                      | CUSIP: 30958PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2065000 | PA      | $1990267.65   | 0.36%             | 2053-11-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1955607 | PA      | $1555640.66   | 0.28%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8100000 | PA      | $7309237.50   | 1.32%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3225000 | PA      | $2558863.35   | 0.46%             | 2055-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                       | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4700000 | PA      | $4374386.35   | 0.79%             | 2055-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-5                                                    | CUSIP: 78444YAE5<br>LEI: 549300SRMXHPGI3BJ386 | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $748530.85    | 0.13%             | 2073-07-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                               | CUSIP: 31339WY42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39231 | PA      | $40907.07     | 0.01%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ4A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223082 | PA      | $204532.41    | 0.04%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                            | Amprion GmbH                                                                     | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $223366.80    | 0.04%             | 2044-05-21      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                             | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    135000 | PA      | $121954.95    | 0.02%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                             | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    225000 | PA      | $228224.25    | 0.04%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                           | CUSIP: 30225VAQ0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    475000 | PA      | $406011.00    | 0.07%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                                | CUSIP: 36202SWU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10915 | PA      | $10965.13     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    491000 | PA      | $474035.95    | 0.09%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                     | General Electric Co                                                              | CUSIP: 36962GX74<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   3045000 | PA      | $2829688.05   | 0.51%             | 2036-08-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                    | Las Vegas Sands Corp                                                             | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    555000 | PA      | $557181.15    | 0.10%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                                            | CubeSmart LP                                                                     | CUSIP: 22966RAF3<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              |  | US        |    317000 | PA      | $293580.04    | 0.05%             | 2030-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                              | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                             | CUSIP: 78413MAA6<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   1710000 | PA      | $1487154.00   | 0.27%             | 2043-01-05      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                             | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    335000 | PA      | $296387.90    | 0.05%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                      | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36700 | PA      | $33814.88     | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                   | Time Warner Cable LLC                                                            | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1110999.50   | 0.20%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                           | Citigroup Inc                                                                    | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44545.05     | 0.01%             | 2028-01-10      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                      | Morgan Stanley Mortgage Loan Trust 2004-3                                        | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56225 | PA      | $54557.50     | 0.01%             | 2034-04-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                               | CUSIP: 31397KTX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172062 | PA      | $18355.17     | 0.00%             | 2037-10-15      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                                      | BX Trust 2019-OC11                                                               | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1485000 | PA      | $1379614.15   | 0.25%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                  | GSAA Home Equity Trust 2005-11                                                   | CUSIP: 362341NY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264182 | PA      | $283616.49    | 0.05%             | 2035-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140QMSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6671720 | PA      | $5604960.21   | 1.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2023-1 A PTT                                                 | United Airlines 2023-1 Class A Pass Through Trust                                | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1112941 | PA      | $1104794.10   | 0.20%             | 2036-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCSF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1157365 | PA      | $1098473.56   | 0.20%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 31397LX87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42035 | PA      | $3131.25      | 0.00%             | 2038-07-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                   | One Bryant Park Trust 2019-OBP                                                   | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1495000 | PA      | $1337442.85   | 0.24%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                     | JPMorgan Chase & Co                                                              | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    935000 | PA      | $927996.85    | 0.17%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                                                  | Volkswagen International Finance NV                                              | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $380573.63    | 0.07%             | 2032-09-06      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Hudson Yards                                                            | Hudson Yards 2019-55HY Mortgage Trust                                            | CUSIP: 44421MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1180000 | PA      | $1085732.40   | 0.20%             | 2041-12-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                         | CSAIL 2020-C19 Commercial Mortgage Trust                                         | CUSIP: 12597NAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3004000 | PA      | $2702714.42   | 0.49%             | 2053-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 31398MDG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415182 | PA      | $44278.94     | 0.01%             | 2040-03-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              |  | US        |    170000 | PA      | $157916.40    | 0.03%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                                 | SWTN453GS 1YR2YR SWAPTION                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  39390000 | NC      | $145995.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                    | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     35000 | PA      | $30592.80     | 0.01%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| MEDTRONIC GLOBAL HLDINGS                                                | Medtronic Global Holdings SCA                                                    | CUSIP: 58507LAQ2<br>LEI: 549300JXMTTP8GKYIX14 | Long             | DBT              | CORP              | LU        |    100000 | PA      | $72845.21     | 0.01%             | 2049-07-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                         | CUSIP: 38376TYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688766 | PA      | $63014.51     | 0.01%             | 2040-01-20      | Floating      | 1.32%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                            | BAMLL Commercial Mortgage Securities Trust 2018-PARK                             | CUSIP: 05491YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1930000 | PA      | $1872524.21   | 0.34%             | 2038-08-10      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Digital Dutch Finco BV                                                  | Digital Dutch Finco BV                                                           | CUSIP: 000000000<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              |  | NL        |    560000 | PA      | $564130.77    | 0.10%             | 2031-02-01      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                     | Elevance Health Inc                                                              | CUSIP: 036752AZ6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    435000 | PA      | $441381.45    | 0.08%             | 2034-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                     | LCM 37 Ltd                                                                       | CUSIP: 50204JAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2593728.80   | 0.47%             | 2034-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund                                         | Bayview MSR Opportunity Master Fund Trust 2021-INV5                              | CUSIP: 07336JAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3359331 | PA      | $3011346.83   | 0.54%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| EQUINIX EU 2 FINANCING C                                                | Equinix Europe 2 Financing Corp LLC                                              | CUSIP: 000000000<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              |  | US        |    465000 | PA      | $516182.71    | 0.09%             | 2034-11-22      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                                                | Healthcare Realty Holdings LP                                                    | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |    164000 | PA      | $136825.20    | 0.02%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140QKVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6094889 | PA      | $5131680.99   | 0.92%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140KSVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7927580 | PA      | $6306956.83   | 1.14%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313728 | PA      | $281983.40    | 0.05%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SUEZ                                                                    | Suez SACA                                                                        | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $425012.59    | 0.08%             | 2034-05-24      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                         | CUSIP: 38384ELE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    674282 | PA      | $670287.28    | 0.12%             | 2053-08-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                       | CUSIP: 91159HJL5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    400000 | PA      | $388760.00    | 0.07%             | 2034-02-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179UVX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67951 | PA      | $61409.44     | 0.01%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-2                                                    | CUSIP: 784442AD7<br>LEI: 549300MHMWVKFEDI8G73 | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $739897.82    | 0.13%             | 2083-01-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3132GLQN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    781803 | PA      | $736155.10    | 0.13%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                      | Realty Income Corp                                                               | CUSIP: 000000000<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    690000 | PA      | $844086.23    | 0.15%             | 2030-07-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                              | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    750000 | PA      | $694620.00    | 0.13%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42934 | PA      | $40549.35     | 0.01%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBE2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    509000 | PA      | $349850.97    | 0.06%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506288 | PA      | $434562.25    | 0.08%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL SWITCH FINANCE                                                   | Global Switch Finance BV                                                         | CUSIP: 000000000<br>LEI: 635400GVJAKOJNEUMF33 | Long             | DBT              | CORP              | NL        |    695000 | PA      | $748137.38    | 0.13%             | 2030-10-07      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140Q9N25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594602 | PA      | $577573.26    | 0.10%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                         | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                           | CUSIP: 03880KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    956263 | PA      | $955423.38    | 0.17%             | 2034-08-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                               | CUSIP: 31394H4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32872 | PA      | $33015.49     | 0.01%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                       | CUSIP: 21H022655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7700000 | PA      | $6561828.35   | 1.18%             | 2055-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                                    | Appalachian Power Co                                                             | CUSIP: 037735DB0<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1041031.00   | 0.19%             | 2034-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 31396YZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36274 | PA      | $4516.54      | 0.00%             | 2038-04-25      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| NATL GAS TRANSMISSION                                                   | National Gas Transmission PLC                                                    | CUSIP: 000000000<br>LEI: FPCHGTHKVH9ZWXS7S453 | Long             | DBT              | CORP              | GB        |    740000 | PA      | $882405.04    | 0.16%             | 2030-04-05      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                 | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    770000 | PA      | $786085.30    | 0.14%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                               | CUSIP: 31397JZ64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133012 | PA      | $185267.99    | 0.03%             | 2037-07-15      | Floating      | 13.85%                | No            |                  2 | On Loan: No      |
| EUROGRID GMBH                                                           | Eurogrid GmbH                                                                    | CUSIP: 000000000<br>LEI: 967600Q53854Z2NBCC81 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $186570.21    | 0.03%             | 2033-04-21      | Fixed         | 0.74%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                 | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    270000 | PA      | $266716.80    | 0.05%             | 2035-12-03      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                             | Oracle Corp                                                                      | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    240000 | PA      | $163656.00    | 0.03%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    705390 | PA      | $647822.77    | 0.12%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1009296 | PA      | $898993.15    | 0.16%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                                | CUSIP: 36241KK31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43642 | PA      | $44633.00     | 0.01%             | 2036-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                              | Vonovia SE                                                                       | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |    600000 | PA      | $557807.71    | 0.10%             | 2032-09-01      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 31359SF88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15071 | PA      | $15983.95     | 0.00%             | 2030-03-25      | Floating      | 12.19%                | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              |  | US        |   1600000 | PA      | $1624960.00   | 0.29%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust 2022-1                                                | CUSIP: 46654WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7655753 | PA      | $6246533.61   | 1.13%             | 2052-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140MMZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4574150 | PA      | $4271696.73   | 0.77%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                 | CUSIP: 3131XU6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    942299 | PA      | $838221.57    | 0.15%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140XLGK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5808621 | PA      | $5562827.75   | 1.00%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                         | CUSIP: 38374DSX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119364 | PA      | $13171.46     | 0.00%             | 2038-03-20      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1202954 | PA      | $1106687.55   | 0.20%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                   | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39849.60     | 0.01%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| LA FRANCAISE DES JEUX SA                                                | La Francaise des Jeux SACA                                                       | CUSIP: 000000000<br>LEI: 969500R4CLSQFTYYI535 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $334831.95    | 0.06%             | 2033-11-21      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3132JMFT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1541631 | PA      | $1443550.79   | 0.26%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    554517 | PA      | $557863.42    | 0.10%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3138LCHX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1586257 | PA      | $1515699.50   | 0.27%             | 2035-11-01      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                                   | Cellnex Finance Co SA                                                            | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |    100000 | PA      | $102259.75    | 0.02%             | 2032-09-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                 | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1495000 | PA      | $1485790.80   | 0.27%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1066617 | PA      | $1036069.86   | 0.19%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                                     | Invitation Homes Operating Partnership LP                                        | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |    496000 | PA      | $416243.20    | 0.08%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                       | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    255000 | PA      | $260066.85    | 0.05%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                             | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    365000 | PA      | $370248.70    | 0.07%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                    | Fannie Mae REMIC Trust 2004-W10                                                  | CUSIP: 31394ALV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    475122 | PA      | $477596.60    | 0.09%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 3136B72K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1317186 | PA      | $1299055.70   | 0.23%             | 2050-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                   | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    925000 | PA      | $939319.00    | 0.17%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                       | Johnson & Johnson                                                                | CUSIP: 000000000<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    225000 | PA      | $249049.68    | 0.04%             | 2044-06-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                     | Starwood Mortgage Residential Trust 2021-3                                       | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1872422 | PA      | $1584633.27   | 0.29%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                       | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    392000 | PA      | $224788.48    | 0.04%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489458 | PA      | $427665.96    | 0.08%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                              | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18755000 | PA      | $18841448.92  | 3.40%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    150000 | PA      | $151597.50    | 0.03%             | 2036-01-28      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Appalachian Power Co                                                    | Appalachian Power Co                                                             | CUSIP: 037735CV7<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    690000 | PA      | $553173.00    | 0.10%             | 2045-06-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3129456Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    800257 | PA      | $795493.93    | 0.14%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-7                                                    | CUSIP: 78445FAE5<br>LEI: 54930067BGNOZYMNWK87 | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $718676.77    | 0.13%             | 2083-07-26      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| REXFORD INDUSTRIAL REALT                                                | Rexford Industrial Realty LP                                                     | CUSIP: 76169XAB0<br>LEI: 549300028US163ELJN70 | Long             | DBT              |  | US        |     25000 | PA      | $20894.00     | 0.00%             | 2031-09-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140QKKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6521219 | PA      | $5214050.30   | 0.94%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 3136BQFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20155438 | PA      | $2597383.17   | 0.47%             | 2052-07-25      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| RTE RESEAU DE TRANSPORT                                                 | RTE Reseau de Transport d'Electricite SADIR                                      | CUSIP: 000000000<br>LEI: 969500JRJW0K2ET1UP76 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $344854.67    | 0.06%             | 2033-04-30      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE                                                 | New York Life Insurance Co                                                       | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |     70000 | PA      | $50738.10     | 0.01%             | 2050-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3138WK4Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426866 | PA      | $404668.26    | 0.07%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                                          | Air Lease Corp                                                                   | CUSIP: 00912XAY0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    400000 | PA      | $390652.00    | 0.07%             | 2027-12-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR3 Trust                    | CUSIP: 939336Z48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375671 | PA      | $368845.31    | 0.07%             | 2035-03-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| BLACKROCK INC                                                           | Blackrock Inc                                                                    | CUSIP: 000000000<br>LEI: 529900VBK42Y5HHRMD23 | Long             | DBT              | CORP              | US        |    345000 | PA      | $402202.79    | 0.07%             | 2035-07-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Intel Corp                                                              | Intel Corp                                                                       | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    800000 | PA      | $545632.00    | 0.10%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                                  | Structured Asset Investment Loan Trust 2004-6                                    | CUSIP: 86358EJS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1235541 | PA      | $1263739.64   | 0.23%             | 2034-07-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438598 | PA      | $404280.22    | 0.07%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                   | Foundry JV Holdco LLC                                                            | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    140000 | PA      | $141979.60    | 0.03%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                 | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4748343 | PA      | $3962484.61   | 0.71%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                         | Fannie Mae Interest Strip                                                        | CUSIP: 31422M2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5926415 | PA      | $775235.44    | 0.14%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELIA GROUP SA/NV                                                        | Elia Group SA/NV                                                                 | CUSIP: 000000000<br>LEI: 549300S1MP1NFDIKT460 | Long             | DBT              | CORP              | BE        |    200000 | PA      | $232228.91    | 0.04%             | 2031-06-11      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| E.ON SE                                                                 | E.ON SE                                                                          | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | DBT              | CORP              | DE        |    300000 | PA      | $339930.27    | 0.06%             | 2038-09-05      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140MNMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3604632 | PA      | $3129459.77   | 0.56%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $795387.50    | 0.14%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                   | Time Warner Cable LLC                                                            | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1213000 | PA      | $1038910.24   | 0.19%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MSD NETHERLANDS CAPITAL                                                 | MSD Netherlands Capital BV                                                       | CUSIP: 000000000<br>LEI: 724500V56VDH8898Q807 | Long             | DBT              | CORP              | NL        |    480000 | PA      | $524223.57    | 0.09%             | 2044-05-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                     | GS Mortgage-Backed Securities Trust 2018-RPL1                                    | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1339749 | PA      | $1312507.73   | 0.24%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XLVIII Ltd                                                  | CUSIP: 55821UAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3922433 | PA      | $3925751.09   | 0.71%             | 2033-04-19      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                                            | Mondelez International, Inc.                                                     | CUSIP: 000000000<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2033-03-17      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| TENNET HOLDING BV                                                       | TenneT Holding BV                                                                | CUSIP: 000000000<br>LEI: 724500LTUWK3JQG63903 | Long             | DBT              | CORP              | NL        |    295000 | PA      | $313114.80    | 0.06%             | 2042-05-17      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | Boeing Co/The                                                                    | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    680000 | PA      | $732149.20    | 0.13%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31387W2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4720 | PA      | $4941.33      | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31403GZQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28730 | PA      | $29609.54     | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-4                                                    | CUSIP: 78445AAD8<br>LEI: 549300EQOYJZL2D96G46 | Long             | ABS-O            | CORP              | US        |   1307274 | PA      | $1311402.12   | 0.24%             | 2022-07-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                                                 | E.ON SE                                                                          | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | DBT              | CORP              | DE        |    365000 | PA      | $418988.16    | 0.08%             | 2033-04-16      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| AA BOND CO LTD                                                          | AA Bond Co Ltd                                                                   | CUSIP: 000000000<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |    215000 | PA      | $305528.93    | 0.06%             | 2028-01-31      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                             | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3625000 | PA      | $3536840.00   | 0.64%             | 2027-03-11      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4665173 | PA      | $4493402.22   | 0.81%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1100345 | PA      | $1014249.43   | 0.18%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MABS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    541188 | PA      | $506715.16    | 0.09%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                               | CUSIP: 31398JW25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243007 | PA      | $22564.42     | 0.00%             | 2036-04-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    741169 | PA      | $719942.73    | 0.13%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4669981 | PA      | $4305609.96   | 0.78%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| LEG IMMOBILIEN SE                                                       | LEG Immobilien SE                                                                | CUSIP: 000000000<br>LEI: 391200SO40AKONBO0Z96 | Long             | DBT              | CORP              | DE        |    100000 | PA      | $92279.08     | 0.02%             | 2034-01-17      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| MEDTRONIC INC                                                           | Medtronic Inc                                                                    | CUSIP: 000000000<br>LEI: D56MRZY2INAN94ZONZ37 | Long             | DBT              | CORP              | US        |    185000 | PA      | $217617.12    | 0.04%             | 2029-10-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                 | CUSIP: 3132AD3L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    787993 | PA      | $746988.18    | 0.13%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                   | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    225000 | PA      | $197511.75    | 0.04%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                  | CUSIP: 126650ED8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    125000 | PA      | $127038.75    | 0.02%             | 2034-06-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA Inc                                                                          | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    740000 | PA      | $747496.20    | 0.13%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                       | EURO-BUXL 30Y BND JUN25                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -16 | NC      | $-58479.02    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31418AXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1255718 | PA      | $1224932.25   | 0.22%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1233119 | PA      | $1204457.26   | 0.22%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                     | Petroleos Mexicanos                                                              | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    145000 | PA      | $93474.25     | 0.02%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                                          | Barings CLO Ltd 2018-IV                                                          | CUSIP: 06760XAL8<br>LEI: 549300JWUNSCHZHF6H67 | Long             | ABS-CBDO         | CORP              | KY        |   1933327 | PA      | $1932693.32   | 0.35%             | 2030-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                         | CVS Health Corp                                                                  | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $949143.75    | 0.17%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 31396QUH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263093 | PA      | $260798.27    | 0.05%             | 2029-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-693.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5825000 | PA      | $5570290.23   | 1.00%             | 2055-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                       | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4125000 | PA      | $4122021.75   | 0.74%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    517713 | PA      | $489659.97    | 0.09%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                              | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4629000 | PA      | $4643284.82   | 0.84%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457195 | PA      | $421366.74    | 0.08%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                    | Lockheed Martin Corp                                                             | CUSIP: 539830CD9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54501.70     | 0.01%             | 2034-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140X5SG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228538 | PA      | $209752.86    | 0.04%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140JQTM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2274075 | PA      | $2011598.06   | 0.36%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31418EV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3217460 | PA      | $3217828.77   | 0.58%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 3136B1S96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    721550 | PA      | $642260.91    | 0.12%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173401 | PA      | $174160.68    | 0.03%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140QNUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8652461 | PA      | $6919047.30   | 1.25%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-6202.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1957343 | PA      | $1743430.97   | 0.31%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                       | HSBC Holdings PLC                                                                | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    930000 | PA      | $817135.20    | 0.15%             | 2031-08-18      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GYS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    114392 | PA      | $97770.39     | 0.02%             | 2035-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2006-AMC1                                          | CUSIP: 17309PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4678637 | PA      | $4502137.88   | 0.81%             | 2036-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                                          | Air Lease Corp                                                                   | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1500075.00   | 0.27%             | 2028-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                               | CUSIP: 3137FGVJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374529 | PA      | $331386.75    | 0.06%             | 2048-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATL GRID ELECT TRANS                                                   | National Grid Electricity Transmission PLC                                       | CUSIP: 000000000<br>LEI: 5XJXCCYG4SDKFJ5WLB02 | Long             | DBT              | CORP              | GB        |    435000 | PA      | $417816.11    | 0.08%             | 2032-07-07      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                | Duke Energy Progress LLC                                                         | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    500000 | PA      | $498335.00    | 0.09%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                              | Humana Inc                                                                       | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1116753.75   | 0.20%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                             | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    425000 | PA      | $373936.25    | 0.07%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                               | CUSIP: 31397H3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2985 | PA      | $177.27       | 0.00%             | 2037-05-15      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US 10YR ULTRA FUT JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -11 | NC      | $-31645.02    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust 2021-14                                               | CUSIP: 46653QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4348948 | PA      | $3544949.67   | 0.64%             | 2052-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                              | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1322567.40   | 0.24%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                                | Teachers Insurance & Annuity Association of America                              | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    130000 | PA      | $104659.10    | 0.02%             | 2047-05-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    880229 | PA      | $788842.75    | 0.14%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2005-AR6                                        | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    416064 | PA      | $330657.24    | 0.06%             | 2035-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                                | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                       | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    600000 | PA      | $616692.00    | 0.11%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                         | CUSIP: 38384JQR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    947115 | PA      | $945105.76    | 0.17%             | 2054-02-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-6                                                    | CUSIP: 78445CAE2<br>LEI: 549300JQFJDGC1WO7674 | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $703005.93    | 0.13%             | 2083-07-26      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6603382 | PA      | $5273058.91   | 0.95%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MEDTRONIC GLOBAL HLDINGS                                                | Medtronic Global Holdings SCA                                                    | CUSIP: 58507LAN9<br>LEI: 549300JXMTTP8GKYIX14 | Long             | DBT              | CORP              | LU        |    495000 | PA      | $500187.45    | 0.09%             | 2031-07-02      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                                                | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC  | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1503000 | PA      | $1514693.34   | 0.27%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    884000 | PA      | $829687.04    | 0.15%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 313920PM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32645 | PA      | $32490.04     | 0.01%             | 2031-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2725000 | PA      | $2363323.01   | 0.43%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140XKV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5825735 | PA      | $5586678.53   | 1.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                | Hudson Pacific Properties LP                                                     | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    100000 | PA      | $71704.00     | 0.01%             | 2029-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6162599 | PA      | $5138857.94   | 0.93%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                         | CUSIP: 38373M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    458560 | PA      | $46354.74     | 0.01%             | 2038-09-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 31396QD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29244 | PA      | $3439.02      | 0.00%             | 2039-09-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CS9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    280000 | PA      | $278818.40    | 0.05%             | 2035-03-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                            | State Street Institutional U.S. Government Money Market Fund                     | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |     31134 | NS      | $31133.53     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                 | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $975070.00    | 0.18%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                               | CUSIP: 31393KQG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112863 | PA      | $111913.73    | 0.02%             | 2033-02-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2785000 | PA      | $2630070.45   | 0.47%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                 | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    875000 | PA      | $786502.50    | 0.14%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue   | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                             | CUSIP: 913366KC3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3060000 | PA      | $1917099.18   | 0.35%             | 2060-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                         | Fannie Mae Interest Strip                                                        | CUSIP: 31422M2F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2416740 | PA      | $310549.72    | 0.06%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC                                         | Aligned Data Centers Issuer LLC                                                  | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1372000 | PA      | $1316373.49   | 0.24%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                         | CVS Health Corp                                                                  | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    185000 | PA      | $167058.70    | 0.03%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                         | Fannie Mae Interest Strip                                                        | CUSIP: 31422M2B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2794184 | PA      | $367517.61    | 0.07%             | 2051-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US ULTRA BOND CBT JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        82 | NC      | $186900.96    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75079 | PA      | $73334.10     | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31418EE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4110156 | PA      | $3839020.45   | 0.69%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                             | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    455000 | PA      | $464181.90    | 0.08%             | 2035-01-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                              | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    385000 | PA      | $391814.50    | 0.07%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                              | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8425000 | PA      | $8742912.15   | 1.58%             | 2035-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                   | Athene Global Funding                                                            | CUSIP: 04685A3L3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    815000 | PA      | $790142.50    | 0.14%             | 2027-03-08      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              |  | US        |     41000 | PA      | $38726.96     | 0.01%             | 2030-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3138EGGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228910 | PA      | $227269.73    | 0.04%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                 | Bayer US Finance II LLC                                                          | CUSIP: 07274NAQ6<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1521419.00   | 0.27%             | 2048-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-755290.84   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                    | LXP Industrial Trust                                                             | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              |  | US        |   1592000 | PA      | $1333315.92   | 0.24%             | 2031-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBD4<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   2635000 | PA      | $1985050.90   | 0.36%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                                | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                       | CUSIP: 46590XAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    240000 | PA      | $225864.00    | 0.04%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                | Florida Power & Light Co                                                         | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    580000 | PA      | $582378.00    | 0.10%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                 | Bayer US Finance II LLC                                                          | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1023000 | PA      | $1003828.98   | 0.18%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                | Hudson Pacific Properties LP                                                     | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |   1302000 | PA      | $863239.02    | 0.16%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    200000 | PA      | $171334.00    | 0.03%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                            | Hudson Yards 2019-30HY Mortgage Trust                                            | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2185000 | PA      | $2038083.66   | 0.37%             | 2039-07-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140NDSP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6002895 | PA      | $5890672.27   | 1.06%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                | American Assets Trust LP                                                         | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |   1255000 | PA      | $1095263.60   | 0.20%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL                                                 | Severn Trent Utilities Finance PLC                                               | CUSIP: 000000000<br>LEI: 213800KY9PT6WBH33232 | Long             | DBT              | CORP              | GB        |    415000 | PA      | $471010.55    | 0.08%             | 2035-08-04      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN MEDICAL SYST EU                                                | American Medical Systems Europe BV                                               | CUSIP: 000000000<br>LEI: 549300AA2JE6ZQ5D2493 | Long             | DBT              | CORP              | NL        |    780000 | PA      | $881752.78    | 0.16%             | 2031-03-08      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJY61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1523097 | PA      | $1356642.27   | 0.24%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden XXVI Senior Loan Fund                                                     | CUSIP: 26250UAQ8<br>LEI: 549300ENU7ZZLTPT3E22 | Long             | ABS-CBDO         | CORP              | KY        |    664532 | PA      | $664534.08    | 0.12%             | 2029-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-9290.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC                                           | JGWPT XXXII LLC                                                                  | CUSIP: 46618AAA2<br>LEI: 549300LO0ZO1XMWP1R84 | Long             | ABS-O            | CORP              | US        |   1022313 | PA      | $930067.94    | 0.17%             | 2073-01-17      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                 | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1027005.10   | 0.19%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| LCM Loan Income Fund Ltd                                                | LCM Loan Income Fund I Ltd                                                       | CUSIP: 50189XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     50000 | PA      | $50076.20     | 0.01%             | 2031-04-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 3136B1Z72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536829 | PA      | $477849.23    | 0.09%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                 | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    150000 | PA      | $139077.00    | 0.03%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              |  | US        |    325000 | PA      | $311974.00    | 0.06%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                    | Heathrow Funding Ltd                                                             | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    485000 | PA      | $495298.18    | 0.09%             | 2030-10-08      | Fixed         | 1.13%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-4                                                    | CUSIP: 78445AAE6<br>LEI: 549300EQOYJZL2D96G46 | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $751091.25    | 0.14%             | 2073-04-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8577741 | PA      | $8735725.63   | 1.57%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST                                                             | BXHPP Trust 2021-FILM                                                            | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2872393.20   | 0.52%             | 2036-08-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 31335ALZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392480 | PA      | $374500.57    | 0.07%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                                | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                       | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    882000 | PA      | $957710.88    | 0.17%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                            | Centene Corp                                                                     | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1683000 | PA      | $1477943.28   | 0.27%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TCW Central Cash Fund                                                   | TCW Central Cash Fund                                                            | CUSIP: 872365671<br>LEI: 2549003KPNUIFJCJM366 | Long             | EC               | RF                | US        |  63958145 | NS      | $63958144.58  | 11.52%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ5D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    788670 | PA      | $767024.69    | 0.14%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                                                 | E.ON SE                                                                          | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | DBT              | CORP              | DE        |    100000 | PA      | $114563.93    | 0.02%             | 2036-01-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                          | Apidos Clo Xxv                                                                   | CUSIP: 03762YBD8<br>LEI: 254900C9NN5XS59HZV73 | Long             | ABS-CBDO         | CORP              | KY        |   1790000 | PA      | $1777464.63   | 0.32%             | 2037-01-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WAT FIN                                                | United Utilities Water Finance PLC                                               | CUSIP: 000000000<br>LEI: 213800313INX42GDLR44 | Long             | DBT              | CORP              | GB        |    190000 | PA      | $216446.84    | 0.04%             | 2034-05-23      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                 | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2507720 | PA      | $2405592.37   | 0.43%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2018-RPL9 Trust                                                             | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1851875 | PA      | $1791623.98   | 0.32%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4325000 | PA      | $4315411.48   | 0.78%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3138EG5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208227 | PA      | $218550.50    | 0.04%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179S5P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236945 | PA      | $238374.55    | 0.04%             | 2047-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1570795 | PA      | $1399127.41   | 0.25%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV SA/                                                | Anheuser-Busch InBev SA/NV                                                       | CUSIP: 000000000<br>LEI: 5493008H3828EMEXB082 | Long             | DBT              | CORP              | BE        |    915000 | PA      | $1018512.31   | 0.18%             | 2044-03-22      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust                   | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3386410 | PA      | $3173595.86   | 0.57%             | 2045-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    686056 | PA      | $630067.00    | 0.11%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1516168 | PA      | $1350470.75   | 0.24%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                         | Israel Government International Bond                                             | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    500000 | PA      | $504945.00    | 0.09%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $648.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2021-INV3                                               | CUSIP: 46593AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6141593 | PA      | $5462834.95   | 0.98%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                            | Ares LXII CLO Ltd                                                                | CUSIP: 00192WAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1500963.00   | 0.27%             | 2034-01-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                         | Fannie Mae Interest Strip                                                        | CUSIP: 31422M2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7008509 | PA      | $910640.73    | 0.16%             | 2051-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-11507.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                         | CUSIP: 38380Y2X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    626586 | PA      | $572094.75    | 0.10%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                   | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1105715.05   | 0.20%             | 2027-07-20      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                   | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    220000 | PA      | $227466.80    | 0.04%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                              | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    250000 | PA      | $244325.00    | 0.04%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31402FJU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9985 | PA      | $10190.83     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                       | CUSIP: 458140CM0<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    280000 | PA      | $246918.00    | 0.04%             | 2054-02-21      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                 | Imperial Brands Finance PLC                                                      | CUSIP: 45262BAC7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     35000 | PA      | $33776.05     | 0.01%             | 2029-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                | International Flavors & Fragrances Inc                                           | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   1185000 | PA      | $1031269.95   | 0.19%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                              | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                             | CUSIP: 78413MAE8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $61970.72     | 0.01%             | 2043-01-05      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                   | Northrop Grumman Corp                                                            | CUSIP: 666807CM2<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     75000 | PA      | $68949.75     | 0.01%             | 2054-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                                   | American Homes 4 Rent LP                                                         | CUSIP: 02666TAD9<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    730000 | PA      | $466097.70    | 0.08%             | 2051-07-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     30000 | PA      | $28852.20     | 0.01%             | 2028-01-11      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                       | EURO-BOBL FUTURE JUN25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -29 | NC      | $-72771.28    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Home Equity Trust                                           | Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust                     | CUSIP: 94980GBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1938157 | PA      | $1968496.67   | 0.35%             | 2034-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1627393 | PA      | $1500058.32   | 0.27%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMCOR UK FINANCE PLC                                                    | Amcor UK Finance PLC                                                             | CUSIP: 000000000<br>LEI: 549300DEUV6BE727FP17 | Long             | DBT              | CORP              | GB        |    515000 | PA      | $588446.98    | 0.11%             | 2032-05-29      | Fixed         | 3.95%                 | No            |                  1 | On Loan: No      |
| Petroleos Mexicanos                                                     | Petroleos Mexicanos                                                              | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    181000 | PA      | $121385.84    | 0.02%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SC FNCE I                                                 | Thermo Fisher Scientific Finance I BV                                            | CUSIP: 000000000<br>LEI: 549300SM0PJC1F3RPL91 | Long             | DBT              | CORP              | NL        |    110000 | PA      | $89521.67     | 0.02%             | 2041-10-18      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                | International Flavors & Fragrances Inc                                           | CUSIP: 459506AR2<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    235000 | PA      | $169110.70    | 0.03%             | 2040-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260166 | PA      | $239029.33    | 0.04%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC                                           | JGWPT XXX LLC                                                                    | CUSIP: 46617LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    881513 | PA      | $835749.95    | 0.15%             | 2073-01-17      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 3136A2HP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    938278 | PA      | $912171.08    | 0.16%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                              | Morgan Stanley ABS Capital I Inc Trust 2004-WMC2                                 | CUSIP: 61746RHS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    393869 | PA      | $396028.40    | 0.07%             | 2034-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| EUROGRID GMBH                                                           | Eurogrid GmbH                                                                    | CUSIP: 000000000<br>LEI: 967600Q53854Z2NBCC81 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $196564.51    | 0.04%             | 2032-05-15      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| State Street Global Advisors                                            | State Street Institutional US Government Money Market Fund                       | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   5952076 | NS      | $5952075.99   | 1.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                  | US 5YR NOTE (CBT) JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       333 | NC      | $465116.10    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8RT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    628222 | PA      | $611204.13    | 0.11%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SKYLINE CL A TR 2020 1                                                  | SKYLINE CL A TR 2020 1                                                           | CUSIP: 83084RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3793821 | PA      | $3538627.36   | 0.64%             | 2038-07-03      | Fixed         | 3.23%                 | No            |                  3 | On Loan: No      |
| INVITATION HOMES OP                                                     | Invitation Homes Operating Partnership LP                                        | CUSIP: 46188BAF9<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |    215000 | PA      | $215008.60    | 0.04%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                    | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    180000 | PA      | $158373.00    | 0.03%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |         1 | NC      | $-2562.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                               | CUSIP: 31397JR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114531 | PA      | $117794.55    | 0.02%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-10165.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-8246.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    625052 | PA      | $590899.16    | 0.11%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                           | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    745000 | PA      | $717338.15    | 0.13%             | 2054-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                       | CUSIP: 21H042653<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2825000 | PA      | $2703410.59   | 0.49%             | 2055-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    774548 | PA      | $726633.84    | 0.13%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                         | McDonald's Corp                                                                  | CUSIP: 000000000<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2035-03-07      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| BOEING CO                                                               | Boeing Co/The                                                                    | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    345000 | PA      | $323899.80    | 0.06%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                              | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $990713.00    | 0.18%             | 2030-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                     | GS Mortgage-Backed Securities Trust 2021-INV1                                    | CUSIP: 36263KAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3222664 | PA      | $2868429.62   | 0.52%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN NATURAL GAS                                                    | Southern Natural Gas Co LLC                                                      | CUSIP: 843452AY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1516150.80   | 0.27%             | 2031-02-15      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                | Ajax Mortgage Loan Trust 2019-F                                                  | CUSIP: 00969PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1246740 | PA      | $1208731.18   | 0.22%             | 2059-07-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                            | Voya CLO 2016-3 Ltd                                                              | CUSIP: 92915HAW3<br>LEI: 549300001G5S0D8B8343 | Long             | ABS-CBDO         | CORP              | KY        |   1557422 | PA      | $1556624.10   | 0.28%             | 2031-10-18      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE III                                                  | Fresenius Medical Care US Finance III Inc                                        | CUSIP: 35805BAC2<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $958300.00    | 0.17%             | 2026-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-3                                                    | CUSIP: 78444GAD6<br>LEI: 549300OORAXMFXOHG132 | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $714935.14    | 0.13%             | 2083-04-26      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| KEYSPAN GAS EAST CORP                                                   | KeySpan Gas East Corp                                                            | CUSIP: 49338CAC7<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |    650000 | PA      | $425776.00    | 0.08%             | 2052-01-18      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4260000 | PA      | $4147237.80   | 0.75%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8MH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    922132 | PA      | $897090.22    | 0.16%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                     | Elevance Health Inc                                                              | CUSIP: 036752BD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    380000 | PA      | $380661.20    | 0.07%             | 2035-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                                   | Palmer Square CLO 2019-1 Ltd                                                     | CUSIP: 69700GAJ1<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1700584.80   | 0.31%             | 2034-11-14      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                            | Amprion GmbH                                                                     | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |    300000 | PA      | $270565.79    | 0.05%             | 2033-09-23      | Fixed         | 0.63%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    991365 | PA      | $910459.55    | 0.16%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                 | CUSIP: 3132DMHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3535333 | PA      | $3127279.21   | 0.56%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                             | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    345000 | PA      | $297683.25    | 0.05%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US 2YR NOTE (CBT) JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       935 | NC      | $1746889.62   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                              | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3930000 | PA      | $3891621.11   | 0.70%             | 2055-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                   | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    225000 | PA      | $194307.75    | 0.04%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1332333.75   | 0.24%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN FINANCIAL SER                                                | Volkswagen Financial Services AG                                                 | CUSIP: 000000000<br>LEI: 529900SSGT49ZZSWYE62 | Long             | DBT              | CORP              | DE        |   1000000 | PA      | $1135601.76   | 0.20%             | 2031-11-19      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                    | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    630000 | PA      | $631467.90    | 0.11%             | 2035-06-11      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                    | Heathrow Funding Ltd                                                             | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    280000 | PA      | $317589.73    | 0.06%             | 2036-01-16      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE                                                   | Prologis Euro Finance LLC                                                        | CUSIP: 000000000<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              |  | US        |    450000 | PA      | $496559.63    | 0.09%             | 2043-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                   | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    180000 | PA      | $151714.80    | 0.03%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2022-ATH2                                                                   | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2840658 | PA      | $2829202.85   | 0.51%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                               | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    724304 | PA      | $668150.67    | 0.12%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                              | CUSIP: 46647PBT2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    260000 | PA      | $254940.40    | 0.05%             | 2026-11-19      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                    | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1684135.05   | 0.30%             | 2036-03-27      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                                                | Thermo Fisher Scientific Inc                                                     | CUSIP: 883556CE0<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    420000 | PA      | $310337.49    | 0.06%             | 2049-10-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                             | Southern Co/The                                                                  | CUSIP: 842587EB9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1122132.00   | 0.20%             | 2055-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                          | Morgan Stanley                                                                   | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1255000 | PA      | $1232736.30   | 0.22%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                                       | Japan Tobacco Inc                                                                | CUSIP: 471105AD8<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |   1110000 | PA      | $1148317.20   | 0.21%             | 2030-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                | CUSIP: 31396XPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179598 | PA      | $178199.78    | 0.03%             | 2037-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SCOTTISH HYDRO ELECTRIC                                                 | Scottish Hydro Electric Transmission PLC                                         | CUSIP: 000000000<br>LEI: 549300ECJZDA7203MK64 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $114095.58    | 0.02%             | 2032-09-04      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                         | CUSIP: 38384PYX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210786 | PA      | $208817.55    | 0.04%             | 2054-06-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                              | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26424000 | PA      | $26619083.37  | 4.80%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2003-7                                                    | CUSIP: 78442GHH2<br>LEI: 549300IWUQEXD0TZWG69 | Long             | ABS-O            | CORP              | US        |   1077299 | PA      | $1058050.68   | 0.19%             | 2033-12-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| TENNET HOLDING BV                                                       | TenneT Holding BV                                                                | CUSIP: 000000000<br>LEI: 724500LTUWK3JQG63903 | Long             | DBT              | CORP              | NL        |    415000 | PA      | $516907.22    | 0.09%             | 2042-10-28      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                                                  | Blackstone Property Partners Europe Holdings Sarl                                | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |    315000 | PA      | $337393.73    | 0.06%             | 2028-05-04      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                             | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $1092845.60   | 0.20%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                       | Johnson & Johnson                                                                | CUSIP: 000000000<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    480000 | PA      | $547751.57    | 0.10%             | 2033-02-26      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                | Duke Energy Progress LLC                                                         | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $747800.00    | 0.13%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 3140X6FL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1522214 | PA      | $1346517.93   | 0.24%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                 | Dell International LLC / EMC Corp                                                | CUSIP: 24703TAM8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    745000 | PA      | $749835.05    | 0.14%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                  | CUSIP: 31418AHY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474319 | PA      | $457798.91    | 0.08%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3075000 | PA      | $2557071.60   | 0.46%             | 2054-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | SWTN452JP 1YR5YR SWAPTION                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  16775000 | NC      | $155636.77    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                       | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6625000 | PA      | $6497889.44   | 1.17%             | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELO SACA                                                                | ELO SACA                                                                         | CUSIP: 000000000<br>LEI: 969500ASEC557H5A4F22 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $316853.11    | 0.06%             | 2029-03-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-95685.42    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                                                | Amcor Flexibles North America Inc                                                | CUSIP: 02344AAD0<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    235000 | PA      | $237286.55    | 0.04%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                   | CUSIP: 64971XQZ4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | PA      | $763777.00    | 0.14%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** TCW FUNDS INC

**Signature:** Richard Villa

**Name of Signer:** Richard Villa

**Title:** Treasurer