# EDGAR Filing Document

**Accession Number:** 0000863520
**File Stem:** 0001752724-25-174666
**Filing Date:** 2025-7
**Character Count:** 227272
**Document Hash:** 452bc60242968308cdcefb633710d5ec
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-174666.hdr.sgml**: 20250723

**ACCESSION NUMBER**: 0001752724-25-174666

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250530

**FILED AS OF DATE**: 20250723

**DATE AS OF CHANGE**: 20250723

**PERIOD START**: 20250531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** WESTERN ASSET FUNDS INC
- **CENTRAL INDEX KEY:** 0000863520

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06110
- **FILM NUMBER:** 251142295

**BUSINESS ADDRESS:**
- **STREET 1:** 100 INTERNATIONAL DRIVE
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-454-2760

**MAIL ADDRESS:**
- **STREET 1:** 100 INTERNATIONAL DRIVE
- **STREET 2:** 7TH FLOOR
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LM INSTITUTIONAL FUND ADVISORS I INC
- **DATE OF NAME CHANGE:** 19980818

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WESTERN ASSET TRUST INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Western Asset Intermediate Bond Fund (Series ID: S000000711)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000002076 | Class I      | WATIX           |
| C000066986 | Class IS     | WABSX           |
| C000113698 | CLASS A      | WATAX           |
| C000113699 | CLASS C      | WATCX           |
| C000113700 | CLASS R      | WATRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Western Asset Funds Inc

- **b. Investment Company Act file number:** 811-06110

- **c. CIK number of Registrant:** 0000863520

- **d. LEI of Registrant:** 5493004NC00X8WKL1P34

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-877-721-1926

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

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

- **b. EDGAR series identifier (if any):** S000000711

- **c. LEI of Series:** 549300NZV8UE1KQUNO03

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

- **a. Date of fiscal year-end:** 2025-05-31

- **b. Date as of which information is reported:** 2025-05-30

**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:** $196733100.11

**Total Liabilities:** $3405487.10

**Net Assets:** $193327613.01

**Delayed Delivery Securities:** $1089782.80

**Stand-by Commitments:** $907804.70

**Cash Not Reported:** $1237874.75

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 227.35000000 | **1-Year:** 9334.59000000 | **5-Year:** 33354.24000000 | **10-Year:** 9674.48000000 | **30-Year:** 460.32000000

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

- **3-Month:** 25.41000000 | **1-Year:** 89.09000000 | **5-Year:** 301.49000000 | **10-Year:** 204.32000000 | **30-Year:** 19.25000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000002076 | 0.23%                | 0.96%                | -0.04%               |
| Class ID C000066986 | 0.33%                | 0.94%                | -0.08%               |
| Class ID C000113698 | 0.30%                | 0.81%                | -0.10%               |
| Class ID C000113699 | 0.24%                | 0.86%                | -0.27%               |
| Class ID C000113700 | 0.27%                | 0.88%                | -0.24%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-139852.14              | $-845849.18                                |
| Month 2  | $-85291.40               | $-622650.19                                |
| Month 3  | $-7202275.33             | $5041238.16                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       109 | NC      | $55640.04     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        78 | NC      | $487.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FOX CORP                                                | Fox Corp                                                                        | CUSIP: 35137LAN5<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    170000 | PA      | $182121.39    | 0.09%             | 2033-10-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                          | Barings CLO Ltd 2024-I                                                          | CUSIP: 06763VAA3<br>LEI: 2549005VRCK51O5LRS39 | Long             | ABS-CBDO         | CORP              | KY        |    370000 | PA      | $371417.17    | 0.19%             | 2037-01-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| METLIFE CAPITAL TRUST IV                                | MetLife Capital Trust IV                                                        | CUSIP: 591560AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $206556.79    | 0.11%             | 2037-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                            | QUALCOMM Inc                                                                    | CUSIP: 747525BW2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49702.42     | 0.03%             | 2035-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $404197.56    | 0.21%             | 2029-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38383FHR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73822 | PA      | $63672.88     | 0.03%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    810000 | PA      | $808979.74    | 0.42%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     26000 | PA      | $23814.95     | 0.01%             | 2044-05-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                     | Carrier Global Corp                                                             | CUSIP: 14448CAQ7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92134.85     | 0.05%             | 2030-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                 | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $51495.01     | 0.03%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -102 | NC      | $-637.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                                       | CUSIP: 3136FLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12624 | PA      | $2364.53      | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38382NZ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198138 | PA      | $194738.17    | 0.10%             | 2051-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XQFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92392 | PA      | $75251.10     | 0.04%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281201 | PA      | $238119.44    | 0.12%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                | NIKE Inc                                                                        | CUSIP: 654106AK9<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9349.43      | 0.00%             | 2030-03-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B3HQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253648 | PA      | $233008.03    | 0.12%             | 2048-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107022 | PA      | $95673.65     | 0.05%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2013-300P Mortgage Trust                                                   | CUSIP: 12625XAG2<br>LEI: 549300NMFC2YLCA2NF13 | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $547837.70    | 0.28%             | 2030-08-10      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    663644 | PA      | $99754.58     | 0.05%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378XCY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114860 | PA      | $61.62        | 0.00%             | 2054-06-16      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        79 | NC      | $69618.75     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED MEXICAN STATES                                   | Mexico Government International Bond                                            | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    325000 | PA      | $276542.50    | 0.14%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1220000 | PA      | $1217259.77   | 0.63%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8489.14      | 0.00%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38383R7N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $160009.10    | 0.08%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                  | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBH9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    380000 | PA      | $363205.82    | 0.19%             | 2033-06-13      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23344 | PA      | $23373.60     | 0.01%             | 2058-08-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322725 | PA      | $277110.48    | 0.14%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140BQ2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    170000 | PA      | $167652.24    | 0.09%             | 2027-03-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    670000 | PA      | $669847.16    | 0.35%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XP3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185155 | PA      | $184537.13    | 0.10%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS CDX.NA.IG.44.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $390038.07    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP                                    | Southern Copper Corp                                                            | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |    300000 | PA      | $271033.50    | 0.14%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4260000 | PA      | $2309302.72   | 1.19%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                 | Reliance Industries Ltd                                                         | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    390000 | PA      | $341550.08    | 0.18%             | 2032-01-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1838388 | PA      | $57003.99     | 0.03%             | 2029-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H050664<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $194061.51    | 0.10%             | 2055-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8900.27      | 0.00%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2004-AR9 Trust                   | CUSIP: 92922FWL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    609598 | PA      | $594612.63    | 0.31%             | 2034-08-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                     | Charles Schwab Corp/The                                                         | CUSIP: 808513CG8<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152441.49    | 0.08%             | 2026-08-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBB8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    180000 | PA      | $167651.90    | 0.09%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3426.39      | 0.00%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        26 | NC      | $2275.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2020-AFC1 Trust                                                            | CUSIP: 12597MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427061 | PA      | $405041.45    | 0.21%             | 2050-02-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030660<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $425526.81    | 0.22%             | 2055-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     20000 | PA      | $14275.37     | 0.01%             | 2049-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NUVEEN LLC                                              | Nuveen LLC                                                                      | CUSIP: 67080LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $227020.41    | 0.12%             | 2028-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    390000 | PA      | $342518.05    | 0.18%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2977938 | PA      | $363316.20    | 0.19%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381H8D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1985117 | PA      | $107603.68    | 0.06%             | 2064-06-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13670000 | PA      | $13537571.88  | 7.00%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                     | Charles Schwab Corp/The                                                         | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    230000 | PA      | $244362.26    | 0.13%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                     | Suzano Austria GmbH                                                             | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    350000 | PA      | $299461.16    | 0.15%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -119 | NC      | $-35232.33    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GEORGIA POWER CO                                        | Georgia Power Co                                                                | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39824.38     | 0.02%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                               | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68203.70     | 0.04%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2021-NQM3                                   | CUSIP: 64831TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232654 | PA      | $203284.58    | 0.11%             | 2056-11-27      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBA0<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    260000 | PA      | $252101.03    | 0.13%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    160000 | PA      | $150860.82    | 0.08%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    650000 | PA      | $675102.10    | 0.35%             | 2029-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75113 | PA      | $61907.63     | 0.03%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FLNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2404617 | PA      | $45480.69     | 0.02%             | 2029-03-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BQ7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    310000 | PA      | $310064.10    | 0.16%             | 2026-06-12      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                         | AREIT 2022-CRE7 LLC                                                             | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    552944 | PA      | $553984.05    | 0.29%             | 2039-06-17      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR NOTE (CBT)                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       606 | NC      | $318764.58    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    382521 | PA      | $366229.10    | 0.19%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51219 | PA      | $45905.24     | 0.02%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                          | Eli Lilly & Co                                                                  | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    380000 | PA      | $374132.73    | 0.19%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    320000 | PA      | $321222.35    | 0.17%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MEGLOBAL BV                                             | MEGlobal BV                                                                     | CUSIP: 29441WAD7<br>LEI: 549300WBVLU2FILR7W19 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $375690.10    | 0.19%             | 2028-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    470000 | PA      | $445972.72    | 0.23%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDK4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    140000 | PA      | $137530.78    | 0.07%             | 2027-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1090000 | PA      | $1033499.74   | 0.53%             | 2027-12-27      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BH7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1424696 | PA      | $221206.46    | 0.11%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140AS9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9982.87      | 0.01%             | 2025-07-29      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -306 | NC      | $-188551.08   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210835 | PA      | $175008.49    | 0.09%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    710000 | PA      | $735046.10    | 0.38%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51554 | PA      | $45677.16     | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30262 | PA      | $26956.43     | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    120000 | PA      | $120125.92    | 0.06%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BXRT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590000 | PA      | $577399.90    | 0.30%             | 2027-03-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    470000 | PA      | $462605.47    | 0.24%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BN3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145455 | PA      | $137393.44    | 0.07%             | 2052-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32720 | PA      | $30427.42     | 0.02%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    150000 | PA      | $147621.86    | 0.08%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -54 | NC      | $-2531.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NORTHERN STATES PWR-MINN                                | Northern States Power Co/MN                                                     | CUSIP: 665772CZ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    180000 | PA      | $179604.05    | 0.09%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                        | Peruvian Government International Bond                                          | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    110000 | PA      | $102553.00    | 0.05%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    320000 | PA      | $312713.88    | 0.16%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    725413 | PA      | $612757.88    | 0.32%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                  | Diamondback Energy Inc                                                          | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    140000 | PA      | $126420.90    | 0.07%             | 2031-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    130000 | PA      | $111503.98    | 0.06%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    130000 | PA      | $123064.04    | 0.06%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $544497.80    | 0.28%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380QBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67159 | PA      | $68407.87     | 0.04%             | 2070-04-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                  | Asian Development Bank                                                          | CUSIP: 045167FH1<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | NUSS              | N/A       |   1280000 | PA      | $1229902.20   | 0.64%             | 2027-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -29 | NC      | $-15587.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Recette CLO LLC                                         | Recette Clo Ltd                                                                 | CUSIP: 75620TAW8<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $510958.19    | 0.26%             | 2034-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                      | Union Pacific Corp                                                              | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    250000 | PA      | $203447.92    | 0.11%             | 2036-04-06      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                      | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    260000 | PA      | $256016.52    | 0.13%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204329 | PA      | $188143.69    | 0.10%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                            | Synopsys Inc                                                                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70708.81     | 0.04%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                | Uruguay Government International Bond                                           | CUSIP: 760942AS1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    270000 | PA      | $318033.00    | 0.16%             | 2036-03-21      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                                                | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24280.33     | 0.01%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127493.38    | 0.07%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308KQ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    460000 | PA      | $466083.55    | 0.24%             | 2029-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                               | College Ave Student Loans 2021-C LLC                                            | CUSIP: 19424WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    839845 | PA      | $774794.44    | 0.40%             | 2055-07-26      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -20 | NC      | $2708.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -41 | NC      | $-3203.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    130000 | PA      | $118494.17    | 0.06%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31850.88     | 0.02%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122ED6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20070.26     | 0.01%             | 2026-02-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    360000 | PA      | $360828.41    | 0.19%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 05581KAG6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    490000 | PA      | $511676.57    | 0.26%             | 2034-12-05      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves | Western Asset Premier Institutional Government Reserves                         | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |  17172615 | NS      | $17172615.40  | 8.88%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZT4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299232.02    | 0.15%             | 2027-06-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    360000 | PA      | $353936.21    | 0.18%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $512329.63    | 0.27%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    505413 | PA      | $84513.86     | 0.04%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 2YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        45 | NC      | $12134.93     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1570000 | PA      | $1131166.60   | 0.59%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57001.89     | 0.03%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                   | Micron Technology Inc                                                           | CUSIP: 595112BZ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    110000 | PA      | $112491.04    | 0.06%             | 2033-02-09      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                          | Solventum Corp                                                                  | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    130000 | PA      | $132690.00    | 0.07%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                    | Lockheed Martin Corp                                                            | CUSIP: 539830CC1<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    530000 | PA      | $533030.98    | 0.28%             | 2029-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30077 | PA      | $27277.52     | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2021-NQM4 Trust                                                             | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348164 | PA      | $294023.31    | 0.15%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    140000 | PA      | $120810.07    | 0.06%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8934.92      | 0.00%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    290000 | PA      | $289150.39    | 0.15%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       104 | NC      | $155857.52    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XL3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156856 | PA      | $160280.47    | 0.08%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42765.07     | 0.02%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    150000 | PA      | $127317.10    | 0.07%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $89224.72     | 0.05%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247458 | PA      | $202234.00    | 0.10%             | 2056-03-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                          | Deephaven Residential Mortgage Trust 2022-1                                     | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    663190 | PA      | $605757.50    | 0.31%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25562 | PA      | $23649.38     | 0.01%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381DWC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2798601 | PA      | $270057.95    | 0.14%             | 2061-06-16      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                          | Solventum Corp                                                                  | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    140000 | PA      | $143374.85    | 0.07%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    130000 | PA      | $130859.66    | 0.07%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        14 | NC      | $11156.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BAT CAPITAL CORP                                        | BAT Capital Corp                                                                | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    150000 | PA      | $156112.06    | 0.08%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    230000 | PA      | $230833.01    | 0.12%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41441.62     | 0.02%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2024-A                                         | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1121105 | PA      | $1131685.49   | 0.59%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    230000 | PA      | $232763.82    | 0.12%             | 2030-04-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Myers Park CLO LTD                                      | Myers Park CLO Ltd                                                              | CUSIP: 62848FAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $551049.62    | 0.29%             | 2030-10-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE LONDON                                  | Credit Agricole SA/London                                                       | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $399544.38    | 0.21%             | 2026-06-16      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378XW72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    770364 | PA      | $5999.98      | 0.00%             | 2054-08-16      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                       | Newell Brands Inc                                                               | CUSIP: 651229AW6<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      6000 | PA      | $6046.12      | 0.00%             | 2026-04-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60769.59     | 0.03%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US ULTRA BOND CBT                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -110 | NC      | $-139164.96   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Avis Budget Rental Car Funding                          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RGG3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $405427.60    | 0.21%             | 2029-04-20      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2021-AFC1 Trust                                                           | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    867897 | PA      | $727851.98    | 0.38%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    584390 | PA      | $476869.12    | 0.25%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40505.93     | 0.02%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                          | Air Lease Corp                                                                  | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    170000 | PA      | $169785.76    | 0.09%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                                  | Pertamina Persero PT                                                            | CUSIP: 69369EAD1<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    380000 | PA      | $366845.01    | 0.19%             | 2042-05-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $420996.10    | 0.22%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                      | Coterra Energy Inc                                                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    600000 | PA      | $591188.70    | 0.31%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                | Mill City Mortgage Loan Trust 2019-1                                            | CUSIP: 59981AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434734 | PA      | $422362.19    | 0.22%             | 2069-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96318.90     | 0.05%             | 2028-01-27      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -56 | NC      | $-19250.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDDH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368229 | PA      | $310736.88    | 0.16%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    370000 | PA      | $362135.51    | 0.19%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    640000 | PA      | $616737.50    | 0.32%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680BJ1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    340000 | PA      | $350055.69    | 0.18%             | 2028-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O                          | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34529BAA4<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    370000 | PA      | $372168.37    | 0.19%             | 2030-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378BQJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    897651 | PA      | $1982.82      | 0.00%             | 2053-04-16      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    360000 | PA      | $349028.50    | 0.18%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                | Fox Corp                                                                        | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10026.33     | 0.01%             | 2029-01-25      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                          | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    813818 | PA      | $673380.86    | 0.35%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101747.43    | 0.05%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        18 | NC      | $3937.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Palmer Square CLO Ltd                                   | Palmer Square CLO 2019-1 Ltd                                                    | CUSIP: 69700GAJ1<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $751673.93    | 0.39%             | 2034-11-14      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71308 | PA      | $63265.57     | 0.03%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION                                | Florida Gas Transmission Co LLC                                                 | CUSIP: 340711BC3<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |    170000 | PA      | $171140.06    | 0.09%             | 2035-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    140000 | PA      | $125615.63    | 0.06%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    650000 | PA      | $546405.44    | 0.28%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                         | CUSIP: 44891ACM7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    280000 | PA      | $283646.22    | 0.15%             | 2026-09-21      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                                | Principal Life Global Funding II                                                | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159700.51    | 0.08%             | 2025-06-23      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1080437 | PA      | $1072449.13   | 0.55%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42341 | PA      | $37506.27     | 0.02%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                            | Alphabet Inc                                                                    | CUSIP: 02079KAK3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99003.89     | 0.05%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -86 | NC      | $-13437.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CARRIER GLOBAL CORP                                     | Carrier Global Corp                                                             | CUSIP: 14448CAL8<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     60000 | PA      | $53960.01     | 0.03%             | 2031-02-15      | Fixed         | 2.70%                 | 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        |    400000 | PA      | $377757.22    | 0.20%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     32000 | PA      | $35575.17     | 0.02%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     59000 | PA      | $59229.82     | 0.03%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    160000 | PA      | $156600.61    | 0.08%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81014.98     | 0.04%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137ARFB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219373 | PA      | $3867.06      | 0.00%             | 2031-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29879.23     | 0.02%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                          | BRAVO Residential Funding Trust 2021-NQM2                                       | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73952 | PA      | $71455.01     | 0.04%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305862 | PA      | $235692.79    | 0.12%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -36 | NC      | $-5625.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    220000 | PA      | $215192.33    | 0.11%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    310000 | PA      | $313601.04    | 0.16%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84051.69     | 0.04%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                          | Ellington Financial Mortgage Trust 2022-1                                       | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368085 | PA      | $318886.72    | 0.16%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                           | Boeing Co/The                                                                   | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $85420.65     | 0.04%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    276000 | PA      | $275966.04    | 0.14%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNM33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465319 | PA      | $402688.13    | 0.21%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FRUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3275497 | PA      | $168650.12    | 0.09%             | 2030-01-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CJL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    710000 | PA      | $711765.09    | 0.37%             | 2025-11-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13460000 | PA      | $13439231.62  | 6.95%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE WEEK 1                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        43 | NC      | $15789.06     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    120000 | PA      | $106329.89    | 0.05%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26048 | PA      | $26165.61     | 0.01%             | 2061-02-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8320000 | PA      | $4274400.00   | 2.21%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BJN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163389 | PA      | $163895.99    | 0.08%             | 2060-11-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    150000 | PA      | $125642.38    | 0.06%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                 | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    390000 | PA      | $394842.94    | 0.20%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VES9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127475.75    | 0.07%             | 2029-02-08      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671703 | PA      | $580111.29    | 0.30%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    490000 | PA      | $489240.48    | 0.25%             | 2035-07-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                       | TSMC Arizona Corp                                                               | CUSIP: 872898AA9<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1117074.51   | 0.58%             | 2026-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        74 | NC      | $110489.44    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 6-7 U.S. TREASURY NOTE WEEK 1                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -30 | NC      | $-5625.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     80000 | PA      | $64140.41     | 0.03%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    320000 | PA      | $320017.34    | 0.17%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150034 | PA      | $133184.01    | 0.07%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136157 | PA      | $121770.13    | 0.06%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53282 | PA      | $49304.17     | 0.03%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Polus Capital Management                                | Polus US CLO II Ltd                                                             | CUSIP: 73163VAC5<br>LEI: 254900AGAA5TXFLBCL85 | Long             | ABS-CBDO         | CORP              | KY        |    480000 | PA      | $480623.52    | 0.25%             | 2038-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XPZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88886 | PA      | $85480.76     | 0.04%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1730000 | PA      | $1644615.04   | 0.85%             | 2029-07-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    160000 | PA      | $170002.53    | 0.09%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    260000 | PA      | $259598.58    | 0.13%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        30 | NC      | $29062.50     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83463 | PA      | $83023.96     | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KTYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75533 | PA      | $63559.90     | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                   | Waste Connections Inc                                                           | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    380000 | PA      | $378992.04    | 0.20%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $50093.75     | 0.03%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                              | Pfizer Inc                                                                      | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    190000 | PA      | $166564.72    | 0.09%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59797.56     | 0.03%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461193 | PA      | $406895.65    | 0.21%             | 2057-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3590000 | PA      | $1965244.55   | 1.02%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                          | Air Lease Corp                                                                  | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    160000 | PA      | $163082.27    | 0.08%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                   | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    130000 | PA      | $131712.02    | 0.07%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 6-7 U.S. TREASURY NOTE WEEK 2                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        34 | NC      | $14343.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1430000 | PA      | $1302919.92   | 0.67%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13510000 | PA      | $13484668.75  | 6.98%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                          | Lowe's Cos Inc                                                                  | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    210000 | PA      | $192834.27    | 0.10%             | 2028-09-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing III LLC                                                 | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    460000 | PA      | $467194.95    | 0.24%             | 2028-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97005.64     | 0.05%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    140000 | PA      | $123401.91    | 0.06%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378XUN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    826890 | PA      | $4992.27      | 0.00%             | 2055-05-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    240000 | PA      | $234804.33    | 0.12%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                       | TSMC Arizona Corp                                                               | CUSIP: 872898AC5<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    940000 | PA      | $831893.49    | 0.43%             | 2031-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6484088 | PA      | $176207.67    | 0.09%             | 2031-10-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 6-7 U.S. TREASURY NOTE WEEK 2                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -68 | NC      | $-12750.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79491.14     | 0.04%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                | Petrobras Global Finance BV                                                     | CUSIP: 71647NAN9<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    190000 | PA      | $165392.23    | 0.09%             | 2115-06-05      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                 | Honeywell International Inc                                                     | CUSIP: 438516CR5<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    220000 | PA      | $223853.65    | 0.12%             | 2031-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                                       | CUSIP: 31424U8E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    905834 | PA      | $216970.68    | 0.11%             | 2053-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    360000 | PA      | $366736.66    | 0.19%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ELCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224581 | PA      | $231390.78    | 0.12%             | 2043-05-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    110000 | PA      | $103822.89    | 0.05%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    220000 | PA      | $202008.61    | 0.10%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    350000 | PA      | $336295.20    | 0.17%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    420000 | PA      | $417004.29    | 0.22%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 6-7 U.S. TREASURY NOTE WEEK 1                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -58 | NC      | $-2718.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BAT CAPITAL CORP                                        | BAT Capital Corp                                                                | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60628.13     | 0.03%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7729.04      | 0.00%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    510000 | PA      | $501607.02    | 0.26%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102181 | PA      | $102365.18    | 0.05%             | 2062-12-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2015-1                                      | CUSIP: 64829CAB4<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-MBS          | CORP              | US        |    228646 | PA      | $217575.97    | 0.11%             | 2052-05-28      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    320000 | PA      | $277563.83    | 0.14%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69122.17     | 0.04%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2017-4                                                | CUSIP: 89173UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010000 | PA      | $834186.17    | 0.43%             | 2057-06-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31035 | PA      | $27497.66     | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381JZQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8093807 | PA      | $346432.76    | 0.18%             | 2063-09-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 6-7 U.S. TREASURY NOTE WEEK 1                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        29 | NC      | $3625.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85209 | PA      | $84812.18     | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ACPG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85650 | PA      | $85957.61     | 0.04%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DTAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182080 | PA      | $182446.31    | 0.09%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420985 | PA      | $402187.98    | 0.21%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7989.63      | 0.00%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    260000 | PA      | $317701.84    | 0.16%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                            | Synopsys Inc                                                                    | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    210000 | PA      | $211317.55    | 0.11%             | 2028-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                        | BAT Capital Corp                                                                | CUSIP: 05526DCC7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20046.69     | 0.01%             | 2035-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42416 | PA      | $37420.91     | 0.02%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9M92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420493 | PA      | $355542.60    | 0.18%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        58 | NC      | $16675.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10875.30     | 0.01%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39949.96     | 0.02%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $149861.60    | 0.08%             | 2025-06-12      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    180000 | PA      | $192755.58    | 0.10%             | 2030-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AFRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246958 | PA      | $8922.29      | 0.00%             | 2032-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS LLC                                  | Chubb INA Holdings LLC                                                          | CUSIP: 00440EAV9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9903.94      | 0.01%             | 2026-05-03      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2021-NQM2 Trust                                                             | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266204 | PA      | $215887.15    | 0.11%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    110000 | PA      | $112656.91    | 0.06%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    100000 | PA      | $81961.79     | 0.04%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                   | Haleon US Capital LLC                                                           | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $245918.43    | 0.13%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 6-7 U.S. TREASURY NOTE WEEK 2                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        56 | NC      | $18375.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BAT CAPITAL CORP                                        | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2934.98      | 0.00%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                  | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18921.82     | 0.01%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Kings Park CLO Ltd                                      | Kings Park CLO Ltd                                                              | CUSIP: 496094AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $330555.13    | 0.17%             | 2035-01-21      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                               | Nelnet Student Loan Trust 2012-2                                                | CUSIP: 64031CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280912 | PA      | $279082.28    | 0.14%             | 2033-12-26      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74933 | PA      | $64632.48     | 0.03%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61518 | PA      | $56597.53     | 0.03%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99866.79     | 0.05%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                    | Colombia Government International Bond                                          | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    520000 | PA      | $342810.00    | 0.18%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164064 | PA      | $163837.47    | 0.08%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    140000 | PA      | $142253.92    | 0.07%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-41440.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36405 | PA      | $33493.69     | 0.02%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B35Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228908 | PA      | $219798.30    | 0.11%             | 2031-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                      | Aqua Finance Trust 2021-A                                                       | CUSIP: 03842VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $949853.10    | 0.49%             | 2046-07-17      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    250000 | PA      | $251998.24    | 0.13%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198776.39    | 0.10%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149931 | PA      | $25428.10     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19058.44     | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XQA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457092 | PA      | $392805.38    | 0.20%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73067 | PA      | $64719.40     | 0.03%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                             | United States Treasury Strip Principal                                          | CUSIP: 912803FJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5220000 | PA      | $1555309.02   | 0.80%             | 2049-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $14652.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Student Loan Trust 2020-1                                               | CUSIP: 63942FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148364 | PA      | $148582.83    | 0.08%             | 2069-06-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78537 | PA      | $74468.08     | 0.04%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    160000 | PA      | $153670.13    | 0.08%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBG7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94732.81     | 0.05%             | 2034-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $14400.59     | 0.01%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9LV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    406526 | PA      | $360680.85    | 0.19%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2021-AFC2 Trust                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374092 | PA      | $329204.24    | 0.17%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR8                         | CUSIP: 92922FS25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148824 | PA      | $1112413.28   | 0.58%             | 2045-07-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    170000 | PA      | $164806.83    | 0.09%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    490000 | PA      | $406010.03    | 0.21%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        56 | NC      | $31850.00     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $53442.44     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FYAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277624 | PA      | $241377.71    | 0.12%             | 2041-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75598 | PA      | $10387.16     | 0.01%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    170000 | PA      | $169230.74    | 0.09%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    750000 | PA      | $636828.05    | 0.33%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                   | Micron Technology Inc                                                           | CUSIP: 595112CG6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    130000 | PA      | $132142.66    | 0.07%             | 2032-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49629 | PA      | $44336.60     | 0.02%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AHGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16794 | PA      | $1801.43      | 0.00%             | 2043-12-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    160000 | PA      | $122460.99    | 0.06%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Hin Timeshare Trust                                     | HINNT 2025-A LLC                                                                | CUSIP: 433403AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169386 | PA      | $169533.85    | 0.09%             | 2044-03-15      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    190000 | PA      | $196183.50    | 0.10%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-26134.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40101.95     | 0.02%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RMX7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    230000 | PA      | $230776.74    | 0.12%             | 2030-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14054 | PA      | $1591.24      | 0.00%             | 2043-06-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137B2DY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190225 | PA      | $15055.96     | 0.01%             | 2042-09-15      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                          | SWCH Commercial Mortgage Trust 2025-DATA                                        | CUSIP: 78489CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $456756.63    | 0.24%             | 2042-02-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    120000 | PA      | $106229.08    | 0.05%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                     | PayPal Holdings Inc                                                             | CUSIP: 70450YAL7<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97436.74     | 0.05%             | 2032-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3210000 | PA      | $1804433.80   | 0.93%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378KTM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3028532 | PA      | $24911.79     | 0.01%             | 2047-04-16      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                         | Cigna Group/The                                                                 | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    180000 | PA      | $179035.09    | 0.09%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                                   | Sycamore Tree CLO 2025-6 Ltd                                                    | CUSIP: 87122HAA0<br>LEI: 2138001M3BAXCUCAUG38 | Long             | ABS-CBDO         | CORP              | KY        |    280000 | PA      | $279650.00    | 0.14%             | 2038-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9QM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259429 | PA      | $218708.51    | 0.11%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    131000 | PA      | $129569.21    | 0.07%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                         | WEA Finance LLC                                                                 | CUSIP: 92928QAE8<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194789.24    | 0.10%             | 2028-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71364 | PA      | $59413.72     | 0.03%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $175841.61    | 0.09%             | 2030-01-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                        | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    270000 | PA      | $266235.61    | 0.14%             | 2027-07-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                                     | Georgia-Pacific LLC                                                             | CUSIP: 37331NAR2<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |    170000 | PA      | $170223.76    | 0.09%             | 2028-06-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71147 | PA      | $74145.06     | 0.04%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22512 | PA      | $2143.89      | 0.00%             | 2047-11-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0BK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164737 | PA      | $168055.42    | 0.09%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receiva                          | Amur Equipment Finance Receivables XV LLC                                       | CUSIP: 03237FAB1<br>LEI: 254900UXD59DZRJ7U848 | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $120394.98    | 0.06%             | 2031-09-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140CF5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81039.05     | 0.04%             | 2030-02-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                          | Merck & Co Inc                                                                  | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    100000 | PA      | $86547.80     | 0.04%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    520000 | PA      | $516624.92    | 0.27%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                  | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $18259.82     | 0.01%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    370000 | PA      | $373783.48    | 0.19%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381B4T8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164641 | PA      | $147744.83    | 0.08%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    530000 | PA      | $530207.03    | 0.27%             | 2030-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1488838 | PA      | $1113595.38   | 0.58%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                    | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBJ3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9978.83      | 0.01%             | 2034-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    230000 | PA      | $217704.99    | 0.11%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MF1MultifamilyHousingMortga                             | MF12025-FL19LLC                                                                 | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $200424.12    | 0.10%             | 2042-05-18      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                   | Mexico Government International Bond                                            | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    680000 | PA      | $455787.00    | 0.24%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    770000 | PA      | $742779.72    | 0.38%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $121463.63    | 0.06%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                          | Golub Capital Partners Clo 57M Ltd                                              | CUSIP: 38179AAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1730000 | PA      | $1730954.96   | 0.90%             | 2034-10-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    120000 | PA      | $121106.00    | 0.06%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336295 | PA      | $303692.37    | 0.16%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                   | Aon North America Inc                                                           | CUSIP: 03740MAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $295913.45    | 0.15%             | 2029-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                       | Chile Government International Bond                                             | CUSIP: 168863DS4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    430000 | PA      | $313900.00    | 0.16%             | 2041-05-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9933.31      | 0.01%             | 2028-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg                          | DBJPM 16-C1 Mortgage Trust                                                      | CUSIP: 23312LAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $340551.14    | 0.18%             | 2049-05-10      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin                          | Santander Bank Auto Credit-Linked Notes Series 2022-C                           | CUSIP: 80290CBK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1270000 | PA      | $1330711.59   | 0.69%             | 2032-12-15      | Fixed         | 14.59%                | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10113.76     | 0.01%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    434000 | PA      | $372049.06    | 0.19%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2018-2-GS                                               | CUSIP: 61946LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    882346 | PA      | $818338.31    | 0.42%             | 2044-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     90000 | PA      | $86408.85     | 0.04%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                         | Cameron LNG LLC                                                                 | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26795.71     | 0.01%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FUVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179351 | PA      | $148162.04    | 0.08%             | 2045-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25152 | PA      | $25257.72     | 0.01%             | 2061-03-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                          | CarVal CLO XI C Ltd                                                             | CUSIP: 14688RAA8<br>LEI: 254900BDRF474L9PWM54 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003425.30   | 0.52%             | 2037-10-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM2                                                                  | CUSIP: 12662EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173249 | PA      | $155725.31    | 0.08%             | 2066-02-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2021-L6                                          | CUSIP: 61692CBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $204811.05    | 0.11%             | 2054-06-15      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    240000 | PA      | $236546.21    | 0.12%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                 | BDS 2021-FL10 Ltd                                                               | CUSIP: 07335YAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $641625.34    | 0.33%             | 2036-12-16      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     70000 | PA      | $53640.74     | 0.03%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9905.98      | 0.01%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15956.95     | 0.01%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOB FUND                                 | Guardian Life Global Funding                                                    | CUSIP: 40139LAG8<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |    180000 | PA      | $179643.81    | 0.09%             | 2025-06-23      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $307816.36    | 0.16%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                         | Israel Government International Bond                                            | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    300000 | PA      | $297332.40    | 0.15%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     90000 | PA      | $89906.84     | 0.05%             | 2027-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38383CRU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    610320 | PA      | $497375.25    | 0.26%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SACO I Trust                                            | SACO I Trust 2007-VA1                                                           | CUSIP: 78386KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1168 | PA      | $911.03       | 0.00%             | 2021-06-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                            | Alphabet Inc                                                                    | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48581.71     | 0.03%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    190000 | PA      | $111813.71    | 0.06%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                       | General Motors Co                                                               | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89597.14     | 0.05%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2019-AFC1 Trust                                                            | CUSIP: 12596XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291525 | PA      | $282244.66    | 0.15%             | 2049-07-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138051 | PA      | $23283.90     | 0.01%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381BDT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181390 | PA      | $171779.74    | 0.09%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    380000 | PA      | $373261.06    | 0.19%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    380000 | PA      | $385518.36    | 0.20%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    120000 | PA      | $111471.42    | 0.06%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                                 | Federal Home Loan Bank Discount Notes                                           | CUSIP: 313385MQ6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    380000 | PA      | $374342.28    | 0.19%             | 2025-10-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust                  | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179277 | PA      | $171980.33    | 0.09%             | 2034-11-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Cent CLO LP                                             | Columbia Cent CLO 33 Ltd                                                        | CUSIP: 19737PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1504855.95   | 0.78%             | 2037-04-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    260000 | PA      | $237274.62    | 0.12%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    750000 | PA      | $728727.04    | 0.38%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    350000 | PA      | $348615.34    | 0.18%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2021-NQM3 Trust                                                             | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395968 | PA      | $320985.47    | 0.17%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    160000 | PA      | $125005.22    | 0.06%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA                                   | Petroleos del Peru SA                                                           | CUSIP: 716564AA7<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |    520000 | PA      | $389158.85    | 0.20%             | 2032-06-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $99039.06     | 0.05%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                          | Galaxy 33 CLO Ltd                                                               | CUSIP: 36321EAC9<br>LEI: 3912004FNLYTWOWSZU31 | Long             | ABS-CBDO         | CORP              | KY        |    780000 | PA      | $783545.49    | 0.41%             | 2037-04-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25                     | CUSIP: 61765TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435000 | PA      | $432937.23    | 0.22%             | 2048-10-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    180000 | PA      | $172779.45    | 0.09%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042665<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $282986.02    | 0.15%             | 2055-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125592 | PA      | $104293.07    | 0.05%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BZ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10325.94     | 0.01%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                   | MidAmerican Energy Co                                                           | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9755.69      | 0.01%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38382MTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131763 | PA      | $129316.40    | 0.07%             | 2051-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    502000 | PA      | $487175.21    | 0.25%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $399797.03    | 0.21%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    310000 | PA      | $279559.39    | 0.14%             | 2031-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                          | Greystone CRE Notes 2025-FL4 LLC                                                | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $250334.50    | 0.13%             | 2043-01-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-1 A PTT                                   | American Airlines 2015-1 Class A Pass Through Trust                             | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    469549 | PA      | $456401.56    | 0.24%             | 2027-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $35021.06     | 0.02%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -56 | NC      | $-1750.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    340000 | PA      | $334878.24    | 0.17%             | 2029-04-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39140.58     | 0.02%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    210000 | PA      | $209070.61    | 0.11%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM7                                                                  | CUSIP: 12662QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274474 | PA      | $239913.24    | 0.12%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| HOLCIM FINANCE US LLC                                   | Holcim Finance US LLC                                                           | CUSIP: 43475RAD8<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59809.62     | 0.03%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    140000 | PA      | $131659.80    | 0.07%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2019-AFC1 Trust                                                            | CUSIP: 12596XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640997 | PA      | $620126.63    | 0.32%             | 2049-07-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    310000 | PA      | $303806.00    | 0.16%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67143 | PA      | $6943.21      | 0.00%             | 2044-08-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    680000 | PA      | $654673.28    | 0.34%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                    | Lockheed Martin Corp                                                            | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    370000 | PA      | $351704.81    | 0.18%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51794 | PA      | $46128.32     | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3320000 | PA      | $2054963.27   | 1.06%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                | OCP SA                                                                          | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    350000 | PA      | $348315.80    | 0.18%             | 2025-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HHNF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100577 | PA      | $99976.63     | 0.05%             | 2054-12-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                        | FirstEnergy Corp                                                                | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    190000 | PA      | $186360.00    | 0.10%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    220000 | PA      | $193981.83    | 0.10%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ACKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    249415 | PA      | $244085.81    | 0.13%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    830000 | PA      | $835249.77    | 0.43%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $85133.20     | 0.04%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    410000 | PA      | $409939.97    | 0.21%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    180000 | PA      | $182363.00    | 0.09%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                | Pioneer Natural Resources Co                                                    | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    130000 | PA      | $113890.28    | 0.06%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                                   | Becton Dickinson & Co                                                           | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16919.76     | 0.01%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                   | Texas Instruments Inc                                                           | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8843.00      | 0.00%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                          | BRAVO Residential Funding Trust 2022-NQM3                                       | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269847 | PA      | $268517.63    | 0.14%             | 2062-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    100000 | PA      | $78950.01     | 0.04%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2024-HOME1 Trust                                                          | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730585 | PA      | $738666.41    | 0.38%             | 2059-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                     | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99377.35     | 0.05%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    230000 | PA      | $231783.40    | 0.12%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -56 | NC      | $-15050.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30977 | PA      | $29276.60     | 0.02%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    380000 | PA      | $354825.00    | 0.18%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28640 | PA      | $26502.16     | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BG4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191150 | PA      | $168117.38    | 0.09%             | 2046-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    400000 | PA      | $377556.56    | 0.20%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-ACB                 | CUSIP: 46593EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $620628.18    | 0.32%             | 2039-03-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378XQX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1052751 | PA      | $4857.39      | 0.00%             | 2054-08-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    666096 | PA      | $105387.58    | 0.05%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    270000 | PA      | $268133.44    | 0.14%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140637 | PA      | $118914.28    | 0.06%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        25 | NC      | $5468.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                | Pioneer Natural Resources Co                                                    | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    180000 | PA      | $157671.76    | 0.08%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $110737.50    | 0.06%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     90000 | PA      | $81168.25     | 0.04%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $149894.37    | 0.08%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                              | Kenvue Inc                                                                      | CUSIP: 49177JAF9<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    280000 | PA      | $287139.59    | 0.15%             | 2028-03-22      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Obra CLO Ltd                                            | Obra CLO 2 Ltd                                                                  | CUSIP: 674436AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    440000 | PA      | $440812.24    | 0.23%             | 2038-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    130000 | PA      | $113895.96    | 0.06%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                        | CIFC Funding 2024-II Ltd                                                        | CUSIP: 17181UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $753419.33    | 0.39%             | 2037-04-22      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XMHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85036 | PA      | $84986.54     | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159361.40    | 0.08%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        50 | NC      | $10937.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $10177.34     | 0.01%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                          | Solventum Corp                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    280000 | PA      | $282510.30    | 0.15%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                      | Meta Platforms Inc                                                              | CUSIP: 30303M8U9<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    150000 | PA      | $148388.09    | 0.08%             | 2034-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    300000 | PA      | $287474.61    | 0.15%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    170000 | PA      | $167610.32    | 0.09%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8186 | PA      | $7835.11      | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    890000 | PA      | $868179.96    | 0.45%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden 87 CLO Ltd                                                               | CUSIP: 26246GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1020000 | PA      | $1023771.96   | 0.53%             | 2034-05-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84860 | PA      | $71646.21     | 0.04%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ACPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341591 | PA      | $340440.51    | 0.18%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -60 | NC      | $-21375.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBQ5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    400000 | PA      | $420501.57    | 0.22%             | 2028-11-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    450000 | PA      | $456628.54    | 0.24%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    290000 | PA      | $275341.76    | 0.14%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HHLW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105838 | PA      | $105448.13    | 0.05%             | 2054-12-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78690.08     | 0.04%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                 | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70153.90     | 0.04%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    280000 | PA      | $274040.66    | 0.14%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $396387.87    | 0.21%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136BP3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $189573.32    | 0.10%             | 2032-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                 | Reliance Industries Ltd                                                         | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    270000 | PA      | $181614.21    | 0.09%             | 2052-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-22

**Name of Applicant:** Western Asset Funds Inc

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer