# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001752724-25-185233
**Filing Date:** 2025-8
**Character Count:** 642701
**Document Hash:** 9d2bbbb5af12ae1027946c645ec01f70
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-185233.hdr.sgml**: 20250806

**ACCESSION NUMBER**: 0001752724-25-185233

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250806

**DATE AS OF CHANGE**: 20250806

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000914036

**ORGANIZATION NAME:**
- **EIN:** 521835648
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 251187648

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $500092009.75

**Total Liabilities:** $1303570.82

**Net Assets:** $498788438.93

**Delayed Delivery Securities:** $719408.20

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -560.07000000 | **1-Year:** -12556.00000000 | **5-Year:** -40029.17000000 | **10-Year:** -47066.21000000 | **30-Year:** -27240.89000000

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

- **3-Month:** -26.51000000 | **1-Year:** -774.13000000 | **5-Year:** -30309.82000000 | **10-Year:** -2391.75000000 | **30-Year:** -997.91000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000170902 | 0.25%                | -0.62%               | 1.75%                |
| Class ID C000170901 | 0.26%                | -0.58%               | 1.77%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-938123.27              | $-160900.72                                |
| Month 2  | $-1650076.14             | $-2531182.47                               |
| Month 3  | $-715399.82              | $6647403.08                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Bond Index

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                       | Title                                                                                          | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| MARS INC                                                   | Mars Inc                                                                                       | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    170000 | PA      | $172036.45    | 0.03%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                              | Boeing Co/The                                                                                  | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $87577.27     | 0.02%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                      | Time Warner Cable LLC                                                                          | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61969.15     | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                                             | CUSIP: 907818FH6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    160000 | PA      | $147522.44    | 0.03%             | 2030-02-05      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO Ltd                                            | HGI CRE CLO 2021-FL1 Ltd                                                                       | CUSIP: 40441LAA4<br>LEI: 549300VYJ293N0KO2L78 | Long             | ABS-CBDO         | CORP              | KY        |    118146 | PA      | $117847.32    | 0.02%             | 2036-06-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                                      | Oglethorpe Power Corp                                                                          | CUSIP: 677050AY2<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    240000 | PA      | $235851.66    | 0.05%             | 2055-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2885151 | PA      | $144705.03    | 0.03%             | 2031-06-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75542 | PA      | $67298.93     | 0.01%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                            | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22500000 | PA      | $17798730.53  | 3.57%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                 | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1064442.65   | 0.21%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                   | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    730000 | PA      | $728617.63    | 0.15%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76667 | PA      | $65851.73     | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                   | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6631.92      | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38384ERJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1400888 | PA      | $255980.45    | 0.05%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77596 | PA      | $65306.24     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70123 | PA      | $59390.58     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151130 | PA      | $127068.56    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                    | Colombia Government International Bonds                                                        | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    650000 | PA      | $437939.76    | 0.09%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1596247 | PA      | $28572.51     | 0.01%             | 2032-03-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403709 | PA      | $380320.51    | 0.08%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129402 | PA      | $115995.02    | 0.02%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38589.20     | 0.01%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACFU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    630602 | PA      | $634916.50    | 0.13%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59202.60     | 0.01%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                               | QUALCOMM Inc                                                                                   | CUSIP: 747525BW2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    260000 | PA      | $261800.78    | 0.05%             | 2035-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77710 | PA      | $65339.57     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                                      | Becton Dickinson & Co                                                                          | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     93000 | PA      | $80933.06     | 0.02%             | 2044-12-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                               | Synopsys Inc                                                                                   | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    160000 | PA      | $162219.18    | 0.03%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                        | Elevance Health Inc                                                                            | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98813.40     | 0.02%             | 2027-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H9QG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    855422 | PA      | $109897.31    | 0.02%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    260000 | PA      | $259820.54    | 0.05%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    871851 | PA      | $825489.42    | 0.17%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96472 | PA      | $93314.06     | 0.02%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136AX4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231118 | PA      | $30016.04     | 0.01%             | 2057-10-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABE65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365970 | PA      | $309215.76    | 0.06%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    330000 | PA      | $324344.09    | 0.07%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    840000 | PA      | $816516.04    | 0.16%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MEGLOBAL BV                                                | MEGlobal BV                                                                                    | CUSIP: 29441WAD7<br>LEI: 549300WBVLU2FILR7W19 | Long             | DBT              | CORP              | NL        |    770000 | PA      | $724871.84    | 0.15%             | 2028-04-28      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1097624 | PA      | $73603.89     | 0.01%             | 2063-11-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H4BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3768248 | PA      | $69885.17     | 0.01%             | 2031-09-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85164 | PA      | $81934.45     | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81029 | PA      | $78866.92     | 0.02%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40388 | PA      | $35179.35     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62278 | PA      | $52399.31     | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XCDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313763 | PA      | $277029.43    | 0.06%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                   | Angel Oak Mortgage Trust 2021-7                                                                | CUSIP: 03464JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176670 | PA      | $153320.16    | 0.03%             | 2066-10-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106826 | PA      | $102898.95    | 0.02%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                       | Royal Bank of Canada                                                                           | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    600000 | PA      | $573848.26    | 0.12%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                                 | MMAF Equipment Finance LLC 2024-A                                                              | CUSIP: 55318CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    520000 | PA      | $532867.97    | 0.11%             | 2049-07-13      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                   | Constellation Brands Inc                                                                       | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25989.09     | 0.01%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2023-XL3                                                          | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336524 | PA      | $337049.96    | 0.07%             | 2040-12-09      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162722 | PA      | $152044.63    | 0.03%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XLCK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246340 | PA      | $252316.25    | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    398000 | PA      | $356961.48    | 0.07%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    496290 | PA      | $419031.94    | 0.08%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                     | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46531.93     | 0.01%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100505 | PA      | $95502.05     | 0.02%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                             | Air Lease Corp                                                                                 | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    130000 | PA      | $130000.00    | 0.03%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2378614 | PA      | $2001878.10   | 0.40%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    380000 | PA      | $313048.15    | 0.06%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305882.77    | 0.06%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                   | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    360000 | PA      | $310997.20    | 0.06%             | 2030-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AC4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272540 | PA      | $283301.38    | 0.06%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70084 | PA      | $58966.08     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    274328 | PA      | $5847.13      | 0.00%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2021-C                                                        | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427320 | PA      | $390384.06    | 0.08%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                       | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     60000 | PA      | $41982.08     | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381H8D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1388191 | PA      | $76304.58     | 0.02%             | 2064-06-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                    | Colombia Government International Bonds                                                        | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    280000 | PA      | $229632.85    | 0.05%             | 2031-04-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                       | Shell Finance US Inc                                                                           | CUSIP: 822905AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $259878.25    | 0.05%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66824 | PA      | $56365.05     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418DSU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36119 | PA      | $33654.37     | 0.01%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Petroleos del Peru SA                                      | Petroleos del Peru SA                                                                          | CUSIP: 716564AA7<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |    670000 | PA      | $518020.17    | 0.10%             | 2032-06-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                   | Intercontinental Exchange Inc                                                                  | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79636.87     | 0.02%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133C1NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77192 | PA      | $77417.45     | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302189 | PA      | $262206.33    | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1189728.59   | 0.24%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                        | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87233.97     | 0.02%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72311 | PA      | $63586.37     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QSHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1569716 | PA      | $1608346.76   | 0.32%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                       | Chile Government International Bonds                                                           | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    290000 | PA      | $175386.20    | 0.04%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| MetLife Inc                                                | MetLife Inc                                                                                    | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    380000 | PA      | $397924.28    | 0.08%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2017-4                                                     | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355973 | PA      | $340549.37    | 0.07%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53083 | PA      | $42653.35     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1112941 | PA      | $882064.66    | 0.18%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    230000 | PA      | $191011.69    | 0.04%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416120 | PA      | $360692.42    | 0.07%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                      | Time Warner Cable LLC                                                                          | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    270000 | PA      | $294433.22    | 0.06%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                | Hertz Vehicle Financing III LLC                                                                | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $254003.90    | 0.05%             | 2028-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                                 | Blackbird Capital II Aircraft Lease Ltd                                                        | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192560 | PA      | $180562.01    | 0.04%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2021-BXMF                                                                             | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    509056 | PA      | $508419.98    | 0.10%             | 2026-10-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172682 | PA      | $149096.90    | 0.03%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                                       | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    120000 | PA      | $106214.91    | 0.02%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                           | BAT Capital Corp                                                                               | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    270000 | PA      | $218111.96    | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    628308 | PA      | $41363.87     | 0.01%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| NP SPE X LP                                                | NP SPE X LP                                                                                    | CUSIP: 62947AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    537149 | PA      | $513608.93    | 0.10%             | 2051-03-19      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                 | JPMBB Commercial Mortgage Securities Trust 2015-C33                                            | CUSIP: 46645JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410020 | PA      | $407715.36    | 0.08%             | 2048-12-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381HK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391386 | PA      | $23632.60     | 0.00%             | 2065-07-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                      | General Dynamics Corp                                                                          | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8982.31      | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                          | CUSIP: 3132WKFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97949 | PA      | $87329.87     | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148950 | PA      | $125193.30    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                           | CIFC Funding 2018-I Ltd                                                                        | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |    440000 | PA      | $441210.00    | 0.09%             | 2038-01-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                      | Micron Technology Inc                                                                          | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    190000 | PA      | $194571.60    | 0.04%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                   | Mars Inc                                                                                       | CUSIP: 571676AN5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    300000 | PA      | $209527.62    | 0.04%             | 2040-07-16      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147061 | PA      | $148066.85    | 0.03%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-DNA6                                                        | CUSIP: 35564KKY4<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |    716528 | PA      | $719201.56    | 0.14%             | 2041-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H8UB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5788916 | PA      | $100532.63    | 0.02%             | 2032-07-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133USH95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248693 | PA      | $228173.91    | 0.05%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222597 | PA      | $196504.85    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680778 | PA      | $585379.59    | 0.12%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X8CP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128564 | PA      | $107933.47    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                | Rad CLO 22 Ltd                                                                                 | CUSIP: 74923VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1504894.50   | 0.30%             | 2037-01-20      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208676 | PA      | $195756.66    | 0.04%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80893 | PA      | $79652.76     | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                          | Magnetite XXIX Ltd                                                                             | CUSIP: 55955KAN4<br>LEI: 549300XSCWZTP19VRZ67 | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $691714.65    | 0.14%             | 2037-07-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9K29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    733490 | PA      | $630701.95    | 0.13%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XQ2W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322010 | PA      | $332684.68    | 0.07%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380LHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46576 | PA      | $46324.80     | 0.01%             | 2068-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKLX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170567 | PA      | $168002.61    | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                   | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    140000 | PA      | $137881.59    | 0.03%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DN6L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255480 | PA      | $246034.32    | 0.05%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46773 | PA      | $44043.16     | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Aimco                                                      | Aimco CLO 15 Ltd                                                                               | CUSIP: 00889BAE1<br>LEI: 254900QER1MDK5C1YE06 | Long             | ABS-CBDO         | CORP              | KY        |   1070000 | PA      | $1069961.48   | 0.21%             | 2038-04-17      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PFP III                                                    | PFP 2024-11 Ltd                                                                                | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    229150 | PA      | $229794.75    | 0.05%             | 2039-09-17      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36308 | PA      | $33753.58     | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                               | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    158000 | PA      | $158146.00    | 0.03%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83344 | PA      | $83829.93     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23634.50     | 0.00%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                            | AREIT 2022-CRE6 Trust                                                                          | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    307287 | PA      | $306710.99    | 0.06%             | 2037-01-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230974 | PA      | $217721.84    | 0.04%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522943 | PA      | $29854.18     | 0.01%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                   | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    320000 | PA      | $194744.70    | 0.04%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140GPAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262688 | PA      | $258881.91    | 0.05%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52846 | PA      | $44390.51     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83748 | PA      | $75184.03     | 0.02%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29163.12     | 0.01%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60376 | PA      | $48384.08     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    160000 | PA      | $157348.36    | 0.03%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77555 | PA      | $62331.83     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                           | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    240000 | PA      | $219408.15    | 0.04%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $126836.09    | 0.03%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                 | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    540000 | PA      | $497942.86    | 0.10%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AC4M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2039845 | PA      | $2107035.75   | 0.42%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                      | Waste Connections Inc                                                                          | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    240000 | PA      | $242503.18    | 0.05%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26590 | PA      | $24966.12     | 0.01%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39582.31     | 0.01%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76884 | PA      | $66180.58     | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522577 | PA      | $481090.81    | 0.10%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                       | OHA Loan Funding 2013-2 Ltd                                                                    | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    183411 | PA      | $183530.12    | 0.04%             | 2031-05-23      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79930 | PA      | $70665.83     | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86467 | PA      | $88768.83     | 0.02%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381DPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3161120 | PA      | $227261.79    | 0.05%             | 2061-06-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQJE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75394 | PA      | $74267.04     | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307319 | PA      | $263967.81    | 0.05%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1254228 | PA      | $1022309.66   | 0.20%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                   | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    180000 | PA      | $172593.33    | 0.03%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                                           | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    110000 | PA      | $113484.04    | 0.02%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                   | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    380000 | PA      | $320506.90    | 0.06%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    720000 | PA      | $709765.75    | 0.14%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FEXM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84336 | PA      | $74407.51     | 0.01%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    210000 | PA      | $159924.35    | 0.03%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138WJSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64763 | PA      | $57701.01     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179V6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    625028 | PA      | $497500.00    | 0.10%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H0TS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    694501 | PA      | $91808.53     | 0.02%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    722272 | PA      | $596631.23    | 0.12%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                               | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    190000 | PA      | $140946.30    | 0.03%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                       | Lockheed Martin Corp                                                                           | CUSIP: 539830CE7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83093.37     | 0.02%             | 2064-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| U.S. Bank National Association                             | US Bank NA                                                                                     | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171341 | PA      | $173367.19    | 0.03%             | 2032-08-25      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    602999 | PA      | $36233.25     | 0.01%             | 2062-10-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78655 | PA      | $69680.13     | 0.01%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89274 | PA      | $87149.13     | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69119.53     | 0.01%             | 2027-04-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                      | Amrize Finance US LLC                                                                          | CUSIP: 43475RAD8<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    120000 | PA      | $121759.35    | 0.02%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                      | Palmer Square CLO 2021-1 Ltd                                                                   | CUSIP: 69701WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    890000 | PA      | $889786.40    | 0.18%             | 2038-04-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XQFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366422 | PA      | $303698.42    | 0.06%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                   | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    570000 | PA      | $567114.15    | 0.11%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67714 | PA      | $59748.41     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                | Walmart Inc                                                                                    | CUSIP: 931142EQ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28129.48     | 0.01%             | 2029-09-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                 | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    140000 | PA      | $135820.58    | 0.03%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    647522 | PA      | $620523.66    | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XJAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301690 | PA      | $273978.24    | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716210 | PA      | $661813.95    | 0.13%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70782 | PA      | $66720.43     | 0.01%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129657 | PA      | $113985.48    | 0.02%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155631 | PA      | $125194.34    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                             | Halliburton Co                                                                                 | CUSIP: 406216BK6<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61933.72     | 0.01%             | 2045-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91465 | PA      | $84253.69     | 0.02%             | 2047-11-16      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    130000 | PA      | $133462.25    | 0.03%             | 2031-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    480000 | PA      | $474689.58    | 0.10%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                            | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    140000 | PA      | $140218.75    | 0.03%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                  | CUSIP: 172967DR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    250000 | PA      | $258624.09    | 0.05%             | 2036-08-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38375UY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149539 | PA      | $5667.32      | 0.00%             | 2067-11-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XJ7B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    731904 | PA      | $722928.18    | 0.14%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XN6S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177495 | PA      | $151328.62    | 0.03%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                            | Cigna Group/The                                                                                | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    600000 | PA      | $600721.41    | 0.12%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148913 | PA      | $119450.04    | 0.02%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                          | L3Harris Technologies Inc                                                                      | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    140000 | PA      | $136965.57    | 0.03%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DS5M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88143 | PA      | $83762.75     | 0.02%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X6L74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275754 | PA      | $264989.78    | 0.05%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                 | Pfizer Inc                                                                                     | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $912182.18    | 0.18%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1396456 | PA      | $1229158.03   | 0.25%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                       | Freeport-McMoRan Inc                                                                           | CUSIP: 35671DBJ3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    270000 | PA      | $274222.26    | 0.05%             | 2034-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                                       | CUSIP: 913017DD8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    230000 | PA      | $229721.04    | 0.05%             | 2025-08-16      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     90000 | PA      | $88743.35     | 0.02%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9M92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    499566 | PA      | $429794.29    | 0.09%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                         | BX Trust 2019-OC11                                                                             | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $251841.80    | 0.05%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPXB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71273 | PA      | $71888.22     | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AC3X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2006645 | PA      | $2088954.79   | 0.42%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                 | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49666.83     | 0.01%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                       | Glencore Funding LLC                                                                           | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29611.62     | 0.01%             | 2027-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XK6S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76224 | PA      | $74824.95     | 0.02%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                   | Warnermedia Holdings Inc                                                                       | CUSIP: 55903VBB8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    130000 | PA      | $104000.00    | 0.02%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2025-NQM4 Trust                                                                            | CUSIP: 67120QAC0<br>LEI: 254900IAVXYLOCPK6W54 | Long             | ABS-MBS          | CORP              | US        |   1088514 | PA      | $1090073.63   | 0.22%             | 2055-02-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                | CUSIP: 58013MFM1<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    220000 | PA      | $199642.54    | 0.04%             | 2030-03-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                   | OCP SA                                                                                         | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    297000 | PA      | $295679.54    | 0.06%             | 2025-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                        | Bank of Nova Scotia/The                                                                        | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    180000 | PA      | $170357.63    | 0.03%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9C69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300296 | PA      | $260543.59    | 0.05%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127820 | PA      | $121081.43    | 0.02%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                   | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    100000 | PA      | $83009.24     | 0.02%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                   | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    199000 | PA      | $193134.26    | 0.04%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261139 | PA      | $38015.06     | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                   | Cooperatieve Rabobank UA                                                                       | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    860000 | PA      | $859582.90    | 0.17%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    320000 | PA      | $231056.26    | 0.05%             | 2051-01-31      | Fixed         | 3.70%                 | 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        |    370000 | PA      | $360482.30    | 0.07%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                             | Solventum Corp                                                                                 | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    630000 | PA      | $648361.83    | 0.13%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                   | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    286000 | PA      | $285188.33    | 0.06%             | 2026-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     80000 | PA      | $59831.96     | 0.01%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                        | SG Residential Mortgage Trust 2022-1                                                           | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    767701 | PA      | $721254.15    | 0.14%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140MHS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67136 | PA      | $58652.93     | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138WJWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228495 | PA      | $204184.67    | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2025-DNA1                                                        | CUSIP: 35564NGA5<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $1048790.61   | 0.21%             | 2045-01-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QS3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    699046 | PA      | $704661.40    | 0.14%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                   | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     72000 | PA      | $70847.25     | 0.01%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144998 | PA      | $121753.73    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1476018 | PA      | $16725.50     | 0.00%             | 2028-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                      | Foundry JV Holdco LLC                                                                          | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    300000 | PA      | $304838.40    | 0.06%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39398 | PA      | $37972.89     | 0.01%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                               | Ecopetrol SA                                                                                   | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    970000 | PA      | $669482.65    | 0.13%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 26 Ltd                                         | Elmwood CLO 26 Ltd                                                                             | CUSIP: 29004CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $200581.20    | 0.04%             | 2037-04-18      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                 | US Bancorp                                                                                     | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38656.99     | 0.01%             | 2028-01-27      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140NBPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78317 | PA      | $78993.04     | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67724 | PA      | $54530.96     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    290000 | PA      | $288774.95    | 0.06%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67152 | PA      | $9718.54      | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2016-3                                                     | CUSIP: 64829HAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150405 | PA      | $140291.66    | 0.03%             | 2056-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                  | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29                                    | CUSIP: 61766EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $167647.85    | 0.03%             | 2049-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL CO                                    | EQUATE Petrochemical Co KSC                                                                    | CUSIP: 29441WAC9<br>LEI: 635400J73BDO4TTGXD45 | Long             | DBT              | CORP              | KW        |    510000 | PA      | $504903.06    | 0.10%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAVM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131086 | PA      | $105638.42    | 0.02%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13826 | PA      | $13432.50     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203501 | PA      | $206734.16    | 0.04%             | 2047-11-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $256028.45    | 0.05%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYWA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76073 | PA      | $65483.92     | 0.01%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397639 | PA      | $57861.63     | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191473 | PA      | $163746.45    | 0.03%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287493 | PA      | $49130.59     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74351 | PA      | $59755.80     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2022-LBA6                                                                             | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $529669.12    | 0.11%             | 2039-01-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XPPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165065 | PA      | $171187.39    | 0.03%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37793.41     | 0.01%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140MAWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77985 | PA      | $77145.59     | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                                        | Apex Credit CLO 2020 LTD                                                                       | CUSIP: 03756ABC0<br>LEI: 549300WAK1RS0910RU63 | Long             | ABS-CBDO         | CORP              | BM        |    680000 | PA      | $680204.68    | 0.14%             | 2035-04-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KN6X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    615505 | PA      | $577133.32    | 0.12%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418DUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152513 | PA      | $138254.03    | 0.03%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    690380 | PA      | $37257.62     | 0.01%             | 2030-06-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202963 | PA      | $162307.74    | 0.03%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25845 | PA      | $23508.81     | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69479 | PA      | $61057.82     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483960 | PA      | $77650.38     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                   | JP Morgan Mortgage Trust 2017-5                                                                | CUSIP: 46590YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768107 | PA      | $772364.85    | 0.15%             | 2048-10-26      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                                       | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    180000 | PA      | $162651.21    | 0.03%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145867 | PA      | $128042.99    | 0.03%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    190000 | PA      | $192423.31    | 0.04%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2022-NQM1 Trust                                                                            | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    756805 | PA      | $678561.10    | 0.14%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                           | Trestles CLO VII Ltd                                                                           | CUSIP: 89532XAC1<br>LEI: 254900F81BZ53L0B6092 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $651452.10    | 0.13%             | 2037-10-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                   | Cheniere Energy Partners LP                                                                    | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    220000 | PA      | $221729.67    | 0.04%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABJF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72303 | PA      | $60968.68     | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                   | Pioneer Natural Resources Co                                                                   | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    440000 | PA      | $390817.31    | 0.08%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust 2022-LPFL                    | MTN Commercial Mortgage Trust 2022-LPFL                                                        | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $319799.71    | 0.06%             | 2039-03-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149860 | PA      | $133506.99    | 0.03%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| APA CORP                                                   | APA Corp                                                                                       | CUSIP: 03743QAG3<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |    533000 | PA      | $483625.99    | 0.10%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328059 | PA      | $318432.04    | 0.06%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACTU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    863661 | PA      | $888294.56    | 0.18%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                   | Delta Air Lines Inc / SkyMiles IP Ltd                                                          | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     56668 | PA      | $56530.88     | 0.01%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUS                             | BRAVO RESIDENTIAL FUNDING TRUS                                                                 | CUSIP: 105925AC5<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-MBS          | CORP              | US        |    297030 | PA      | $298557.29    | 0.06%             | 2064-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AMS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126085 | PA      | $110830.72    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                   | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    410000 | PA      | $412391.74    | 0.08%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                           | BAT Capital Corp                                                                               | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     70000 | PA      | $77969.58     | 0.02%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    180000 | PA      | $197600.29    | 0.04%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190379.17    | 0.04%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276446 | PA      | $264544.51    | 0.05%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                               | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    130000 | PA      | $131712.57    | 0.03%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31029 | PA      | $30972.31     | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70501 | PA      | $60806.13     | 0.01%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    926190 | PA      | $742764.46    | 0.15%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67063 | PA      | $53940.51     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                             | Solventum Corp                                                                                 | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    310000 | PA      | $321888.96    | 0.06%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74458 | PA      | $62691.87     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                          | EOG Resources Inc                                                                              | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    190000 | PA      | $189905.70    | 0.04%             | 2030-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72947 | PA      | $65116.69     | 0.01%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                  | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     10000 | PA      | $12591.68     | 0.00%             | 2039-07-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    240000 | PA      | $249343.13    | 0.05%             | 2042-03-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                 | MFA 2020-NQM1 Trust                                                                            | CUSIP: 552754AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108790 | PA      | $104104.00    | 0.02%             | 2049-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    950000 | PA      | $839467.81    | 0.17%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                       | CUSIP: 00206RMY5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    650000 | PA      | $661864.66    | 0.13%             | 2035-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    140000 | PA      | $135430.27    | 0.03%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                    | Colombia Government International Bonds                                                        | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    760000 | PA      | $560727.83    | 0.11%             | 2044-02-26      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQ2G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261013 | PA      | $263265.14    | 0.05%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                            | McDonald's Corp                                                                                | CUSIP: 58013MFA7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    330000 | PA      | $297610.72    | 0.06%             | 2045-12-09      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383CNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168366 | PA      | $33278.09     | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                 | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    430000 | PA      | $428609.65    | 0.09%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125678 | PA      | $18563.22     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                   | American Transmission Systems Inc                                                              | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $70384.62     | 0.01%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                               | Synopsys Inc                                                                                   | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    130000 | PA      | $131681.42    | 0.03%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83182 | PA      | $83899.76     | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3142GRBY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    238435 | PA      | $247188.36    | 0.05%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1067341 | PA      | $1056823.08   | 0.21%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210322 | PA      | $181286.62    | 0.04%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138WDH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1574860 | PA      | $1465282.48   | 0.29%             | 2044-11-01      | Fixed         | 3.50%                 | 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        |    950000 | PA      | $950000.00    | 0.19%             | 2034-10-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    560000 | PA      | $407678.38    | 0.08%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225585 | PA      | $30508.97     | 0.01%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                      | Micron Technology Inc                                                                          | CUSIP: 595112BZ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    190000 | PA      | $198140.12    | 0.04%             | 2033-02-09      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BG4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126119 | PA      | $111840.92    | 0.02%             | 2046-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137HBDW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789815 | PA      | $100806.08    | 0.02%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182598 | PA      | $146858.01    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137AJYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97603 | PA      | $11235.14     | 0.00%             | 2041-12-15      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                       | Targa Resources Corp                                                                           | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58395.52     | 0.01%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140J8VU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1054989 | PA      | $946957.79    | 0.19%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30450 | PA      | $28702.83     | 0.01%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                                              | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150401.44    | 0.03%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                      | Reynolds American Inc                                                                          | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48239.99     | 0.01%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                                        | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    160000 | PA      | $165698.62    | 0.03%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2024-RCF1 LLC                                                                             | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210992 | PA      | $206422.36    | 0.04%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                          | TSMC Arizona Corp                                                                              | CUSIP: 872898AA9<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    210000 | PA      | $203197.54    | 0.04%             | 2026-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                          | CUSIP: 3132WKLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257723 | PA      | $230655.09    | 0.05%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12912 | PA      | $11597.21     | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPUU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162323 | PA      | $160848.79    | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                     | Tennessee Gas Pipeline Co LLC                                                                  | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $193956.93    | 0.04%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                          | HSBC Holdings PLC                                                                              | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    630000 | PA      | $624816.37    | 0.13%             | 2028-03-13      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYT41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106220 | PA      | $91981.64     | 0.02%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140F9WR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181562 | PA      | $161763.41    | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    202027 | PA      | $202673.10    | 0.04%             | 2041-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                      | Micron Technology Inc                                                                          | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    170000 | PA      | $177915.98    | 0.04%             | 2035-11-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145952 | PA      | $142530.28    | 0.03%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63403 | PA      | $50964.07     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258605 | PA      | $228235.91    | 0.05%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                           | FirstEnergy Corp                                                                               | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78528.39     | 0.02%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE                                    | Mid-Atlantic Interstate Transmission LLC                                                       | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $198515.29    | 0.04%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76694 | PA      | $64589.88     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    540000 | PA      | $508449.05    | 0.10%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                            | CVS Health Corp                                                                                | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    270000 | PA      | $239115.86    | 0.05%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247915 | PA      | $244149.86    | 0.05%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    249398 | PA      | $204685.32    | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                     | SLM Private Credit Student Loan Trust 2005-B                                                   | CUSIP: 78443CCB8<br>LEI: 549300FE2YWO5PJ3Q820 | Long             | ABS-O            | CORP              | US        |    135105 | PA      | $131674.81    | 0.03%             | 2039-06-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                         | Coterra Energy Inc                                                                             | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    850000 | PA      | $841779.12    | 0.17%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                               | Hardee's Funding LLC                                                                           | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    691200 | PA      | $630167.18    | 0.13%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                    | Consolidated Edison Co of New York Inc                                                         | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     60000 | PA      | $46773.16     | 0.01%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 31398NJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196599 | PA      | $21173.68     | 0.00%             | 2040-09-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                                        | Georgia-Pacific LLC                                                                            | CUSIP: 37331NAT8<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |    370000 | PA      | $374441.08    | 0.08%             | 2032-06-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59920 | PA      | $55733.09     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                    | KazMunayGas National Co JSC                                                                    | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |   1810000 | PA      | $1571349.20   | 0.32%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1671765 | PA      | $94954.77     | 0.02%             | 2030-01-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                             | Amazon.com Inc                                                                                 | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40924.71     | 0.01%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2686158 | PA      | $50556.45     | 0.01%             | 2032-08-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    204000 | PA      | $204040.18    | 0.04%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54566 | PA      | $43806.16     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121624 | PA      | $114607.25    | 0.02%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FMU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $47149.66     | 0.01%             | 2029-06-25      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $112744.83    | 0.02%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213564 | PA      | $199074.60    | 0.04%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138EK7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136715 | PA      | $131845.83    | 0.03%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                    | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47354.79     | 0.01%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BARRICK PD AU FIN PTY LT                                   | Barrick PD Australia Finance Pty Ltd                                                           | CUSIP: 06849UAD7<br>LEI: 5493008DX0TK7OFLV260 | Long             | DBT              | CORP              | AU        |    390000 | PA      | $403938.98    | 0.08%             | 2039-10-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282021 | PA      | $240573.03    | 0.05%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                        | PayPal Holdings Inc                                                                            | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    120000 | PA      | $109164.29    | 0.02%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136798 | PA      | $129939.87    | 0.03%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                          | CI Financial Corp                                                                              | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    560000 | PA      | $590906.96    | 0.12%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45586 | PA      | $40876.75     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XNEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253596 | PA      | $255054.62    | 0.05%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                     | CUSIP: 458140CG3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    120000 | PA      | $121014.42    | 0.02%             | 2033-02-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    891914 | PA      | $785883.01    | 0.16%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                   | Anheuser-Busch InBev Worldwide Inc                                                             | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    680000 | PA      | $656033.46    | 0.13%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                    | Reliance Industries Ltd                                                                        | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    630000 | PA      | $433484.73    | 0.09%             | 2052-01-12      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                               | Synopsys Inc                                                                                   | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    110000 | PA      | $110873.30    | 0.02%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                | Oracle Corp                                                                                    | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     90000 | PA      | $62940.84     | 0.01%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                                         | Elmwood CLO I Ltd                                                                              | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $671816.37    | 0.13%             | 2037-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KRPW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82578 | PA      | $82973.97     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93066 | PA      | $86610.13     | 0.02%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119241 | PA      | $18475.64     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2024-NQM1 Trust                                                                            | CUSIP: 67448LAA0<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |    793028 | PA      | $797092.66    | 0.16%             | 2063-11-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                  | Kroger Co/The                                                                                  | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    220000 | PA      | $218426.55    | 0.04%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                               | Parallel 2023-1 Ltd                                                                            | CUSIP: 69915NAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1070000 | PA      | $1070000.00   | 0.21%             | 2036-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226902 | PA      | $220477.92    | 0.04%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                        | American Express Co                                                                            | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249899.75    | 0.05%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                                        | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    450000 | PA      | $460863.56    | 0.09%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70607 | PA      | $63622.88     | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2019-HY2                                                             | CUSIP: 89177HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $303640.80    | 0.06%             | 2058-05-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235549 | PA      | $198177.76    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                          | CUSIP: 31307WYS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9687 | PA      | $9342.60      | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    690266 | PA      | $7806.15      | 0.00%             | 2027-12-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                            | Deere & Co                                                                                     | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    150000 | PA      | $142674.09    | 0.03%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                                      | Texas Instruments Inc                                                                          | CUSIP: 882508BF0<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61856.95     | 0.01%             | 2039-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443624 | PA      | $371911.36    | 0.07%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13281 | PA      | $12332.29     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACSR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142141 | PA      | $148166.35    | 0.03%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179RLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2695 | PA      | $2634.36      | 0.00%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33117.34     | 0.01%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT                                         | UBS AG/Stamford CT                                                                             | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    820000 | PA      | $884585.47    | 0.18%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                         | Meta Platforms Inc                                                                             | CUSIP: 30303M8U9<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    430000 | PA      | $432012.22    | 0.09%             | 2034-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2017-6                                                     | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    764015 | PA      | $732937.10    | 0.15%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82709 | PA      | $69443.05     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    583296 | PA      | $26536.63     | 0.01%             | 2034-03-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VCF8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    480000 | PA      | $478069.17    | 0.10%             | 2034-01-31      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140N6NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89585 | PA      | $85821.39     | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                    | Colombia Government International Bonds                                                        | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    210000 | PA      | $140458.12    | 0.03%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XADE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69598 | PA      | $55938.23     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    530000 | PA      | $422949.43    | 0.08%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT                                         | UBS AG/Stamford CT                                                                             | CUSIP: 22550L2K6<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    490000 | PA      | $497568.24    | 0.10%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2021-SOAR                                                         | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350695 | PA      | $350585.67    | 0.07%             | 2038-06-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207516 | PA      | $174807.11    | 0.04%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                          | NatWest Group PLC                                                                              | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $202001.91    | 0.04%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27096 | PA      | $25416.35     | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                            | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $30815.63     | 0.01%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                 | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    680000 | PA      | $688301.15    | 0.14%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                            | CLI Funding IX LLC                                                                             | CUSIP: 12571WAA1<br>LEI: 2549008S2Z91ASJFZL83 | Long             | ABS-O            | CORP              | US        |    650094 | PA      | $655117.29    | 0.13%             | 2049-07-20      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                        | Peru Government International Bonds                                                            | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    160000 | PA      | $109675.20    | 0.02%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252875 | PA      | $254179.37    | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                   | Cooperatieve Rabobank UA                                                                       | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $246707.61    | 0.05%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                              | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67942 | PA      | $62052.60     | 0.01%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140M2SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233142 | PA      | $204387.58    | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418922 | PA      | $307249.91    | 0.06%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1496983 | PA      | $73534.35     | 0.01%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                   | Lloyds Banking Group PLC                                                                       | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    340000 | PA      | $339690.89    | 0.07%             | 2026-03-24      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26245 | PA      | $25515.55     | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46608 | PA      | $44048.35     | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148737 | PA      | $150341.82    | 0.03%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                   | Anheuser-Busch InBev Worldwide Inc                                                             | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    510000 | PA      | $506131.62    | 0.10%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232519 | PA      | $204482.81    | 0.04%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                        | Suzano Austria GmbH                                                                            | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    380000 | PA      | $334881.92    | 0.07%             | 2032-01-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364742 | PA      | $313677.61    | 0.06%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38376R4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5623820 | PA      | $198671.00    | 0.04%             | 2067-05-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                    | Kinder Morgan Energy Partners LP                                                               | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    140000 | PA      | $131944.13    | 0.03%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                     | Diamondback Energy Inc                                                                         | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    110000 | PA      | $108371.55    | 0.02%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                   | Avis Budget Rental Car Funding AESOP LLC                                                       | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $513020.05    | 0.10%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QRDB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423897 | PA      | $442393.05    | 0.09%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                | CUSIP: 3136B3YD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $285408.96    | 0.06%             | 2036-01-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS125120 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS125120 IRS USD P F  3.73000 2 CCPOIS  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  58222000 | OU      | $-769686.11   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41356 | PA      | $40192.44     | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157983 | PA      | $135550.66    | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223431 | PA      | $190909.40    | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42799.27     | 0.01%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2021-XL2                                                          | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428383 | PA      | $428249.12    | 0.09%             | 2038-10-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XPC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662258 | PA      | $685399.99    | 0.14%             | 2044-05-01      | Fixed         | 5.50%                 | 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        |    930000 | PA      | $939533.69    | 0.19%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204522 | PA      | $164680.74    | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                          | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2010000 | PA      | $1684380.00   | 0.34%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                 | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     70000 | PA      | $42711.24     | 0.01%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    230000 | PA      | $221585.33    | 0.04%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140MRBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68455 | PA      | $67384.42     | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136ATQK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230006 | PA      | $15581.64     | 0.00%             | 2046-09-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235169 | PA      | $226187.82    | 0.05%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17412 | PA      | $15611.95     | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97336.43     | 0.02%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                  | Prosus NV                                                                                      | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $188548.46    | 0.04%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115771 | PA      | $109615.46    | 0.02%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25046.25     | 0.01%             | 2040-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                               | CUSIP: 02209SBR3<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    650000 | PA      | $725474.68    | 0.15%             | 2033-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304477 | PA      | $241694.86    | 0.05%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617BFM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42677 | PA      | $39161.93     | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                    | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    510000 | PA      | $465129.97    | 0.09%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253001 | PA      | $202790.66    | 0.04%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137288 | PA      | $22814.42     | 0.00%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    450000 | PA      | $422169.57    | 0.08%             | 2029-02-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                     | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     60000 | PA      | $35645.23     | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54974 | PA      | $51159.66     | 0.01%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132E0Z62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174129 | PA      | $175172.15    | 0.04%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                   | Western Midstream Operating LP                                                                 | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38468.99     | 0.01%             | 2030-02-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BH7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    817770 | PA      | $127262.35    | 0.03%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XCM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310408 | PA      | $271569.89    | 0.05%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136528 | PA      | $122325.58    | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    739665 | PA      | $625205.24    | 0.13%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                             | Lowe's Cos Inc                                                                                 | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    250000 | PA      | $231239.51    | 0.05%             | 2028-09-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                  | CIM Trust 2024-R1                                                                              | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876795 | PA      | $859981.17    | 0.17%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076CP5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    270000 | PA      | $249590.22    | 0.05%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62868 | PA      | $50437.57     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281203 | PA      | $251599.97    | 0.05%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215882 | PA      | $186147.23    | 0.04%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FUVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89492 | PA      | $77393.34     | 0.02%             | 2045-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                  | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     90000 | PA      | $90331.04     | 0.02%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    164000 | PA      | $163987.98    | 0.03%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                       | Birch Grove CLO 4 Ltd                                                                          | CUSIP: 09077CAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $411364.89    | 0.08%             | 2037-07-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                                     | Pertamina Persero PT                                                                           | CUSIP: 69369EAD1<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    430000 | PA      | $423914.58    | 0.08%             | 2042-05-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                                        | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58254.41     | 0.01%             | 2064-02-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133BUGZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56425 | PA      | $58657.01     | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                            | Fannie Mae Interest Strip                                                                      | CUSIP: 31424U6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1737281 | PA      | $223359.22    | 0.04%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $427608.58    | 0.09%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37660 | PA      | $35934.39     | 0.01%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84703 | PA      | $67902.28     | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                   | Pioneer Natural Resources Co                                                                   | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49130.78     | 0.01%             | 2026-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                                    | HalseyPoint CLO 3 Ltd                                                                          | CUSIP: 40638UAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $511313.76    | 0.10%             | 2037-07-30      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KQUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672470 | PA      | $665355.77    | 0.13%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                      | Amrize Finance US LLC                                                                          | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70938.24     | 0.01%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144861 | PA      | $132313.57    | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2024-6                                                              | CUSIP: 92540JAC6<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    211006 | PA      | $212486.27    | 0.04%             | 2069-07-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                             | MSWF Commercial Mortgage Trust 2023-2                                                          | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $577871.06    | 0.12%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Mars Inc                                                   | Mars Inc                                                                                       | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    250000 | PA      | $237111.86    | 0.05%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $11971.29     | 0.00%             | 2060-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                    | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                                    | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $687480.27    | 0.14%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                          | Johnson & Johnson                                                                              | CUSIP: 478160CR3<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    440000 | PA      | $302295.93    | 0.06%             | 2040-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                           | Triumph Rail Holdings LLC                                                                      | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    417058 | PA      | $395036.99    | 0.08%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                                   | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    480000 | PA      | $473283.88    | 0.09%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                       | Shell Finance US Inc                                                                           | CUSIP: 822905AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $93773.67     | 0.02%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX 2024-PALM                                                                                   | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216346 | PA      | $216346.45    | 0.04%             | 2037-06-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312237 | PA      | $300163.96    | 0.06%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                     | SLC Student Loan Trust 2008-1                                                                  | CUSIP: 78444LAD5<br>LEI: 5493007QNQ56NU0MGE13 | Long             | ABS-O            | CORP              | US        |    229418 | PA      | $230703.01    | 0.05%             | 2032-12-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    210000 | PA      | $204107.93    | 0.04%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                            | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19400000 | PA      | $19104453.03  | 3.83%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160596 | PA      | $154462.29    | 0.03%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72335 | PA      | $60934.52     | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                                  | BMP 2024-MF23                                                                                  | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1001250.30   | 0.20%             | 2041-06-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138ERVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93488 | PA      | $83552.85     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108328 | PA      | $88261.97     | 0.02%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                           | BAT Capital Corp                                                                               | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    185000 | PA      | $182032.82    | 0.04%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2021-C                                                        | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211612 | PA      | $204615.92    | 0.04%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62422 | PA      | $52704.90     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                     | Diamondback Energy Inc                                                                         | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    440000 | PA      | $420911.88    | 0.08%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVL86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2702253 | PA      | $2372218.94   | 0.48%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    220000 | PA      | $208796.13    | 0.04%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133APLD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69553 | PA      | $58620.72     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                      | Texas Instruments Inc                                                                          | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    130000 | PA      | $115920.19    | 0.02%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145857 | PA      | $138123.88    | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    390000 | PA      | $388159.59    | 0.08%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126895 | PA      | $112024.15    | 0.02%             | 2048-05-15      | 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        |    140000 | PA      | $138923.35    | 0.03%             | 2026-05-03      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418D4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285422 | PA      | $246018.86    | 0.05%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137HAAJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2199218 | PA      | $44671.84     | 0.01%             | 2033-05-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                   | CUSIP: 20030NCG4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    590000 | PA      | $443839.48    | 0.09%             | 2052-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $471251.04    | 0.09%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KQ3M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132683 | PA      | $138175.18    | 0.03%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                | Walmart Inc                                                                                    | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43558.50     | 0.01%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QFG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1491770 | PA      | $1302642.33   | 0.26%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38375K4K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25182 | PA      | $2520.56      | 0.00%             | 2037-08-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140KXAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61178 | PA      | $51468.61     | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                                       | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    310000 | PA      | $308749.37    | 0.06%             | 2028-11-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59242 | PA      | $56226.82     | 0.01%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                           | DP World Ltd/United Arab Emirates                                                              | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |    630000 | PA      | $516568.50    | 0.10%             | 2049-09-30      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Estate Notes                     | Greystone CRE Notes 2025-FL4 LLC                                                               | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1240000 | PA      | $1240773.76   | 0.25%             | 2043-01-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    842538 | PA      | $833050.77    | 0.17%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77752 | PA      | $70760.60     | 0.01%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77661.45     | 0.02%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                           | NMEF Funding 2025-A LLC                                                                        | CUSIP: 62919VAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040000 | PA      | $1040411.22   | 0.21%             | 2032-07-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Student Loan Trust 2016-3                                                              | CUSIP: 63940HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278442 | PA      | $283156.95    | 0.06%             | 2065-06-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                   | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    271000 | PA      | $271048.82    | 0.05%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62944 | PA      | $50498.66     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133D4QF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154503 | PA      | $132852.13    | 0.03%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                   | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                      | CUSIP: 71568PAC3<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    310000 | PA      | $306938.29    | 0.06%             | 2027-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299830 | PA      | $267394.71    | 0.05%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                             | Eli Lilly & Co                                                                                 | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37379.99     | 0.01%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                               | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24862.48     | 0.00%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                               | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    220000 | PA      | $213847.87    | 0.04%             | 2030-03-19      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33119 | PA      | $31990.95     | 0.01%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                            | Cameron LNG LLC                                                                                | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    760000 | PA      | $651552.39    | 0.13%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2025-1                                                              | CUSIP: 92540TAC4<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |    323135 | PA      | $324462.79    | 0.07%             | 2070-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                  | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2380000 | PA      | $2382284.18   | 0.48%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105668 | PA      | $89892.65     | 0.02%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76413 | PA      | $64320.58     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BPPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506897 | PA      | $71585.43     | 0.01%             | 2050-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144799 | PA      | $122186.06    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1541530 | PA      | $224531.19    | 0.05%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                               | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     27000 | PA      | $27299.54     | 0.01%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338696 | PA      | $285391.69    | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 207932AB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    760000 | PA      | $801702.87    | 0.16%             | 2042-12-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                        | PayPal Holdings Inc                                                                            | CUSIP: 70450YAL7<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69176.02     | 0.01%             | 2032-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    542501 | PA      | $495858.91    | 0.10%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    810000 | PA      | $808524.88    | 0.16%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                            | OHA Credit Funding 7 Ltd                                                                       | CUSIP: 67098WAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    590000 | PA      | $590000.00    | 0.12%             | 2037-02-24      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XJTF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205719 | PA      | $202626.24    | 0.04%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2024-NQM11 Trust                                                                           | CUSIP: 67119EAA4<br>LEI: 254900F5LT8CA1U6PK21 | Long             | ABS-MBS          | CORP              | US        |    202908 | PA      | $204393.28    | 0.04%             | 2064-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298415 | PA      | $274877.65    | 0.06%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                          | Park Blue CLO 2022-II Ltd                                                                      | CUSIP: 70018CAQ9<br>LEI: 2138008W8XU9WO8BZO09 | Long             | ABS-CBDO         | CORP              | KY        |    770000 | PA      | $771713.25    | 0.15%             | 2037-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132E0PA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1535090 | PA      | $1572702.05   | 0.32%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                   | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25711.74     | 0.01%             | 2058-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132494 | PA      | $118711.82    | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Battery Park CLO Ltd.                                      | Battery Park Clo Ltd                                                                           | CUSIP: 07133YAL4<br>LEI: 549300HAR0K520KW1A03 | Long             | ABS-CBDO         | CORP              | KY        |    370000 | PA      | $370629.00    | 0.07%             | 2036-07-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XD6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148255 | PA      | $127756.77    | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                             | Merck & Co Inc                                                                                 | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     50000 | PA      | $30725.14     | 0.01%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABKA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74705 | PA      | $63038.50     | 0.01%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1199525 | PA      | $80394.08     | 0.02%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS125245 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS125245 IRS USD P F  3.85000 2 CCPOIS  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  13241000 | OU      | $-153360.84   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                                           | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    630000 | PA      | $642622.22    | 0.13%             | 2028-06-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236745 | PA      | $198655.03    | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                           | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    410000 | PA      | $360256.02    | 0.07%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                    | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    330000 | PA      | $301665.02    | 0.06%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65429 | PA      | $58703.31     | 0.01%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8560.38      | 0.00%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                       | Lockheed Martin Corp                                                                           | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192250.82    | 0.04%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138Y4M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1562129 | PA      | $1486192.74   | 0.30%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282989 | PA      | $255631.23    | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                    | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    230000 | PA      | $164541.08    | 0.03%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36202D6C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       424 | PA      | $420.33       | 0.00%             | 2034-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eaton Corp                                                 | Eaton Corp                                                                                     | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    250000 | PA      | $215154.95    | 0.04%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67997 | PA      | $57239.54     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138WKUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201527 | PA      | $190587.50    | 0.04%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Institutional US Government Money Market Fund | State Street Institutional US Government Money Market Fund                                     | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  16618663 | NS      | $16618663.27  | 3.33%             |  |  |  | No            |                  1 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                   | Comision Federal de Electricidad                                                               | CUSIP: 200447AK6<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   1220000 | PA      | $1037516.91   | 0.21%             | 2033-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59222 | PA      | $47713.64     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                               | Huntington Bank Auto Credit-Linked Notes Series 2024-2                                         | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    926412 | PA      | $935113.29    | 0.19%             | 2032-10-20      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Truist Bank                                                | Truist Bank                                                                                    | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    320000 | PA      | $316205.47    | 0.06%             | 2029-09-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    180000 | PA      | $153975.12    | 0.03%             | 2031-09-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159666 | PA      | $145308.16    | 0.03%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59155 | PA      | $57101.09     | 0.01%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                            | Fannie Mae Interest Strip                                                                      | CUSIP: 31424U8E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1796126 | PA      | $405289.27    | 0.08%             | 2053-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                            | Cigna Group/The                                                                                | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    130000 | PA      | $122217.18    | 0.02%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                   | Visa Inc                                                                                       | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    610000 | PA      | $530257.52    | 0.11%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179WDG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    567080 | PA      | $449967.81    | 0.09%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2022-C                                                        | CUSIP: 78449CAA6<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |    800304 | PA      | $795420.02    | 0.16%             | 2050-05-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68851.97     | 0.01%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1334622 | PA      | $1087121.07   | 0.22%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                             | Solventum Corp                                                                                 | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    450000 | PA      | $449851.52    | 0.09%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACA67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82314 | PA      | $77017.64     | 0.02%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                                      | Black Diamond CLO 2024-1 Ltd                                                                   | CUSIP: 09204UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1360000 | PA      | $1365944.56   | 0.27%             | 2037-10-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                      | Haleon US Capital LLC                                                                          | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $246345.38    | 0.05%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68757.53     | 0.01%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133B3ZF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80490 | PA      | $67771.90     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                    | Oncor Electric Delivery Co LLC                                                                 | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122244.52    | 0.02%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236438 | PA      | $233526.13    | 0.05%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315922 | PA      | $275942.62    | 0.06%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                    | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    110000 | PA      | $95485.65     | 0.02%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                                    | Walt Disney Co/The                                                                             | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    110000 | PA      | $125800.55    | 0.03%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461092 | PA      | $448350.51    | 0.09%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133BSPH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121577 | PA      | $124181.87    | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55516 | PA      | $44640.89     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    240000 | PA      | $161494.13    | 0.03%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                   | Angel Oak Mortgage Trust 2022-3                                                                | CUSIP: 03464TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380898 | PA      | $366155.74    | 0.07%             | 2067-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376571 | PA      | $316397.82    | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19418.01     | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| EMERSON ELECTRIC CO                                        | Emerson Electric Co                                                                            | CUSIP: 291011BS2<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | DBT              | CORP              | US        |    350000 | PA      | $220670.52    | 0.04%             | 2051-12-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142530 | PA      | $125065.61    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                      | Toronto-Dominion Bank/The                                                                      | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    170000 | PA      | $166870.94    | 0.03%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                       | Shell Finance US Inc                                                                           | CUSIP: 822905AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $46492.38     | 0.01%             | 2029-11-07      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management Ltd                                    | HPS Loan Management 2021-16 Ltd                                                                | CUSIP: 40440XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    360000 | PA      | $360486.72    | 0.07%             | 2035-01-23      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38378MVC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82060 | PA      | $10450.92     | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BJWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612419 | PA      | $99844.47     | 0.02%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBL6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    303000 | PA      | $301902.62    | 0.06%             | 2027-02-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $376977.77    | 0.08%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBA0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36035.25     | 0.01%             | 2044-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107682 | PA      | $107671.76    | 0.02%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    150000 | PA      | $140072.13    | 0.03%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16730 | PA      | $16035.99     | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    170000 | PA      | $173038.32    | 0.03%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1030000 | PA      | $1034877.57   | 0.21%             | 2044-09-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222200 | PA      | $200334.94    | 0.04%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGLT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71624 | PA      | $65542.62     | 0.01%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176654 | PA      | $177670.38    | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XHCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671235 | PA      | $606735.83    | 0.12%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X7WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281948 | PA      | $225121.65    | 0.05%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133B2MQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73047 | PA      | $64189.67     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                               | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    180000 | PA      | $147760.77    | 0.03%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC                                   | OBX 2021-NQM3 Trust                                                                            | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222485 | PA      | $181920.43    | 0.04%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                               | Synopsys Inc                                                                                   | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    210000 | PA      | $208794.26    | 0.04%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169471 | PA      | $169506.63    | 0.03%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411443 | PA      | $400801.18    | 0.08%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195900 | PA      | $184660.93    | 0.04%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115815 | PA      | $115958.67    | 0.02%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XJGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242025 | PA      | $233321.52    | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78363 | PA      | $77625.21     | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO Ltd                          | Hildene Community Funding CDO Ltd                                                              | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |    451609 | PA      | $398184.06    | 0.08%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BMZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1259095 | PA      | $217159.16    | 0.04%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138ETD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140052 | PA      | $139618.50    | 0.03%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                      | Northrop Grumman Corp                                                                          | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $993358.40    | 0.20%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                            | Fannie Mae Interest Strip                                                                      | CUSIP: 31423XMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746133 | PA      | $95730.45     | 0.02%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383RXB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690635 | PA      | $105510.97    | 0.02%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                    | SCF Equipment Trust 2016-1 LLC                                                                 | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1030000 | PA      | $1050680.03   | 0.21%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56892 | PA      | $8061.10      | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40176.32     | 0.01%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                    | Procter & Gamble Co/The                                                                        | CUSIP: 742718FH7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    120000 | PA      | $114509.13    | 0.02%             | 2030-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133BWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64638 | PA      | $67313.77     | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    230000 | PA      | $205819.39    | 0.04%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                                 | Driven Brands Funding LLC                                                                      | CUSIP: 26209XAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    843625 | PA      | $873166.81    | 0.18%             | 2054-10-20      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77453 | PA      | $68110.69     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156833 | PA      | $157617.04    | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60413 | PA      | $48474.95     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    170000 | PA      | $161126.78    | 0.03%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BPUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1706261 | PA      | $217949.25    | 0.04%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                            | MVW 2023-2 LLC                                                                                 | CUSIP: 55400WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172256 | PA      | $176212.41    | 0.04%             | 2040-11-20      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                      | CUSIP: 674599DK8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    560000 | PA      | $409578.40    | 0.08%             | 2044-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140LRT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68892 | PA      | $58018.64     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    982795 | PA      | $865505.34    | 0.17%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673653 | PA      | $535935.01    | 0.11%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    511510 | PA      | $424202.70    | 0.09%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3142GRQL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177617 | PA      | $183888.15    | 0.04%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                                        | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87803.07     | 0.02%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94193 | PA      | $88788.92     | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176972 | PA      | $166579.83    | 0.03%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KRCQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78435 | PA      | $81962.23     | 0.02%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                    | KazMunayGas National Co JSC                                                                    | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    250000 | PA      | $251730.04    | 0.05%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DS3U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2717426 | PA      | $2724187.02   | 0.55%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | Csmc 2022-Nqm1 Trust                                                                           | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    792058 | PA      | $718329.66    | 0.14%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1083967 | PA      | $999757.72    | 0.20%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR OPT JUN26C 96.75                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       208 | NC      | $209300.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                    | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    170000 | PA      | $171550.18    | 0.03%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                       | Glencore Funding LLC                                                                           | CUSIP: 378272CB2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    210000 | PA      | $212279.30    | 0.04%             | 2055-04-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1973418 | PA      | $46603.44     | 0.01%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                            | Deere & Co                                                                                     | CUSIP: 244199BK0<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    100000 | PA      | $77670.73     | 0.02%             | 2050-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    360000 | PA      | $316655.42    | 0.06%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377916 | PA      | $318199.02    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                       | Birch Grove CLO 7 Ltd                                                                          | CUSIP: 09077RAA7<br>LEI: 254900FP4VB7V5ZG0W95 | Long             | ABS-CBDO         | CORP              | JE        |   1760000 | PA      | $1763960.00   | 0.35%             | 2036-10-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                 | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    160000 | PA      | $163688.02    | 0.03%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    813885 | PA      | $121321.94    | 0.02%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     60000 | PA      | $39824.06     | 0.01%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82457 | PA      | $81707.81     | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                   | NIKE Inc                                                                                       | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79833.94     | 0.02%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                       | Freeport-McMoRan Inc                                                                           | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    180000 | PA      | $170102.81    | 0.03%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    130000 | PA      | $116379.51    | 0.02%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129002 | PA      | $102920.54    | 0.02%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80828 | PA      | $81459.36     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                               | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    410000 | PA      | $353615.85    | 0.07%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    250000 | PA      | $182938.88    | 0.04%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72464 | PA      | $60891.99     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193938 | PA      | $163601.33    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                     | SLM Private Credit Student Loan Trust 2006-A                                                   | CUSIP: 78443CCL6<br>LEI: 549300I2YWZ9E1B0EY33 | Long             | ABS-O            | CORP              | US        |    133900 | PA      | $130240.45    | 0.03%             | 2039-06-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                   | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98686.92     | 0.02%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122930 | PA      | $118022.74    | 0.02%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136AHGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33378 | PA      | $3594.86      | 0.00%             | 2043-12-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144384 | PA      | $139529.24    | 0.03%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                | PRKCM 2021-AFC2 Trust                                                                          | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212423 | PA      | $186938.76    | 0.04%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                  | ONEOK Inc                                                                                      | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    150000 | PA      | $155889.68    | 0.03%             | 2053-09-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47386 | PA      | $39860.97     | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-NQM8                                                                                 | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    769879 | PA      | $703849.39    | 0.14%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                       | Royal Bank of Canada                                                                           | CUSIP: 78016HZW3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     80000 | PA      | $81952.96     | 0.02%             | 2034-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139993 | PA      | $146745.82    | 0.03%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61229 | PA      | $54188.06     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                          | Park Blue Clo 2024-V Ltd                                                                       | CUSIP: 70019CAA3<br>LEI: 213800H9UFJ6SS8AMF70 | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $621492.96    | 0.12%             | 2037-07-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $365131.48    | 0.07%             | 2052-04-25      | Fixed         | 4.00%                 | 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        |    800000 | PA      | $799681.60    | 0.16%             | 2038-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                  | ONEOK Inc                                                                                      | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101375.71    | 0.02%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                            | Long: SWS124784 CDS USD R F  1.00000 2 CCPCDX / Short: SWS124784 CDS USD P V 03MEVENT 1 CCPCDX | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  63113000 | OU      | $1397800.85   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    370000 | PA      | $307641.25    | 0.06%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    224589 | PA      | $197349.85    | 0.04%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388296 | PA      | $310268.62    | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70794 | PA      | $61724.23     | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    470000 | PA      | $440477.98    | 0.09%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    160000 | PA      | $127738.64    | 0.03%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101993.85    | 0.02%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                 | JPMDB Commercial Mortgage Securities Trust 2016-C2                                             | CUSIP: 46590LAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    404000 | PA      | $396667.84    | 0.08%             | 2049-06-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    682235 | PA      | $20047.33     | 0.00%             | 2029-06-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21760.14     | 0.00%             | 2049-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                   | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    150000 | PA      | $146871.32    | 0.03%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81188.17     | 0.02%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XEAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153134 | PA      | $131817.60    | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67465 | PA      | $54109.37     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMRT                                                       | SMRT 2022-MINI                                                                                 | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $537975.11    | 0.11%             | 2039-01-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                 | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    440000 | PA      | $282542.73    | 0.06%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                           | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $958170.76    | 0.19%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136A76M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44 | PA      | $0.13         | 0.00%             | 2027-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    454434 | PA      | $75819.28     | 0.02%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-AFC1 Trust                                                                           | CUSIP: 12657LAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265613 | PA      | $223705.68    | 0.04%             | 2056-03-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DNBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80276 | PA      | $70265.06     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                   | EQT Corp                                                                                       | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    220000 | PA      | $238488.66    | 0.05%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    753065 | PA      | $666521.52    | 0.13%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                   | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     54000 | PA      | $31706.17     | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                        | Elevance Health Inc                                                                            | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    160000 | PA      | $130845.53    | 0.03%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                  | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    620000 | PA      | $618610.51    | 0.12%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BBF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    551597 | PA      | $92775.84     | 0.02%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2016-C36                                                 | CUSIP: 95000MBS9<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-MBS          | CORP              | US        |   7624787 | PA      | $71173.57     | 0.01%             | 2059-11-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust             | Morgan Stanley Residential Mortgage Loan Trust 2024-INV2                                       | CUSIP: 617939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610089 | PA      | $621385.56    | 0.12%             | 2054-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust              | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                                  | CUSIP: 46590KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308000 | PA      | $305338.23    | 0.06%             | 2049-01-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7889 | PA      | $7701.12      | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SWS125203 IRS USD R F  3.30000 2 CCPOIS / Short: SWS125203 IRS USD P V 00MSOFR 1 CCPOIS  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  56693000 | OU      | $141420.69    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65863 | PA      | $52827.90     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust                             | BOCA Commercial Mortgage Trust 2024-BOCA                                                       | CUSIP: 096817AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    940000 | PA      | $942352.44    | 0.19%             | 2041-08-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                   | Cooperatieve Rabobank UA                                                                       | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $233309.12    | 0.05%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197730.99    | 0.04%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                | CUSIP: 3136AT5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30212 | PA      | $28637.28     | 0.01%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78875 | PA      | $69781.92     | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121838 | PA      | $97536.10     | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75572 | PA      | $64267.03     | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85142 | PA      | $82784.49     | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    260000 | PA      | $231133.20    | 0.05%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70350 | PA      | $59310.05     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9533 | PA      | $9512.59      | 0.00%             | 2069-08-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                              | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53983 | PA      | $48943.35     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9LV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241304 | PA      | $219605.29    | 0.04%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348479 | PA      | $279509.34    | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                      | Haleon US Capital LLC                                                                          | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $233895.10    | 0.05%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                  | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    240000 | PA      | $209842.07    | 0.04%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                           | CIFC Funding 2015-IV Ltd                                                                       | CUSIP: 12550TAY1<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |    440000 | PA      | $440652.52    | 0.09%             | 2034-04-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275160 | PA      | $237348.69    | 0.05%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 31427MUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3311235 | PA      | $3265585.50   | 0.65%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                           | Georgia Power Co                                                                               | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    210000 | PA      | $212922.28    | 0.04%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173172 | PA      | $145689.03    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                   | AT&T Inc                                                                                       | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1302727.19   | 0.26%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                        | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    310000 | PA      | $312965.62    | 0.06%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245889 | PA      | $215689.07    | 0.04%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                   | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    120000 | PA      | $82285.03     | 0.02%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133B5EE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83812 | PA      | $72722.76     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                          | General Motors Co                                                                              | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71125.31     | 0.01%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132E0KM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166659 | PA      | $167050.41    | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABLA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146738 | PA      | $123734.68    | 0.02%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36202DUS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2322 | PA      | $2295.35      | 0.00%             | 2032-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-DNA2                                                        | CUSIP: 35564KDB2<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |    178659 | PA      | $182572.97    | 0.04%             | 2033-08-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                      | Truist Financial Corp                                                                          | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    250000 | PA      | $253358.71    | 0.05%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                       | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    340000 | PA      | $284548.04    | 0.06%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                          | CUSIP: 3132WKPM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40680 | PA      | $36233.45     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                               | CD 2016-CD1 Mortgage Trust                                                                     | CUSIP: 12514MBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610000 | PA      | $588615.78    | 0.12%             | 2049-08-10      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30017 | PA      | $27628.54     | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                   | Fox Corp                                                                                       | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    710000 | PA      | $694892.61    | 0.14%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300000 | PA      | $204890.43    | 0.04%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380PHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2478154 | PA      | $260177.96    | 0.05%             | 2060-05-16      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279880 | PA      | $267828.21    | 0.05%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138LJB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340852 | PA      | $332982.62    | 0.07%             | 2027-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KRCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69378 | PA      | $72436.06     | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380R2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3351429 | PA      | $199437.48    | 0.04%             | 2061-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BBEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373343 | PA      | $329210.60    | 0.07%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                   | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    290000 | PA      | $173887.54    | 0.03%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                              | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11833 | PA      | $10727.81     | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                   | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $391695.69    | 0.08%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457113 | PA      | $419637.29    | 0.08%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                             | Air Lease Corp                                                                                 | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    180000 | PA      | $183950.23    | 0.04%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                      | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     40000 | PA      | $27222.89     | 0.01%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239433 | PA      | $216529.04    | 0.04%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BCER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125844 | PA      | $22638.65     | 0.00%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                               | CaixaBank SA                                                                                   | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    500000 | PA      | $501968.02    | 0.10%             | 2031-07-03      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310871 | PA      | $250453.89    | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    720779 | PA      | $618224.60    | 0.12%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                         | Ford Motor Co                                                                                  | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    270000 | PA      | $269620.80    | 0.05%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69098 | PA      | $69080.46     | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KJDA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295043 | PA      | $255983.64    | 0.05%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AC6M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1133340 | PA      | $1168093.77   | 0.23%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                   | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    750000 | PA      | $927284.96    | 0.19%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72380 | PA      | $60952.91     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1709071 | PA      | $1688021.16   | 0.34%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1731805 | PA      | $1441050.00   | 0.29%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENT Trust                                                 | CENT Trust 2023-CITY                                                                           | CUSIP: 12516WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $870000.96    | 0.17%             | 2038-09-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | Morgan Stanley                                                                                 | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19971.88     | 0.00%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58490 | PA      | $11283.81     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $287343.85    | 0.06%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd            | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                                         | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    301519 | PA      | $301519.16    | 0.06%             | 2037-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    210000 | PA      | $147182.97    | 0.03%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                   | Warnermedia Holdings Inc                                                                       | CUSIP: 55903VBA0<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93071.07     | 0.02%             | 2027-03-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                  | NYCT Trust 2024-3ELV                                                                           | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310000 | PA      | $310383.10    | 0.06%             | 2029-08-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                           | FirstEnergy Corp                                                                               | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    510000 | PA      | $504281.92    | 0.10%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235330 | PA      | $213612.76    | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                          | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3025830 | PA      | $3028150.30   | 0.61%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    982333 | PA      | $22425.68     | 0.00%             | 2028-05-25      | Variable      | 1.01%                 | 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        |   1070000 | PA      | $1019362.16   | 0.20%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                           | BAT Capital Corp                                                                               | CUSIP: 05526DCD5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    130000 | PA      | $131666.80    | 0.03%             | 2055-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                                             | CUSIP: 31325WSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78664 | PA      | $8637.90      | 0.00%             | 2046-12-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133B9NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232965 | PA      | $203757.60    | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XMZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497725 | PA      | $464149.15    | 0.09%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    640000 | PA      | $584479.96    | 0.12%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    528556 | PA      | $455270.99    | 0.09%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    694110 | PA      | $22494.58     | 0.00%             | 2030-12-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X8P84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157943 | PA      | $156303.22    | 0.03%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                | RCKT Mortgage Trust 2024-INV1                                                                  | CUSIP: 74938QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255134 | PA      | $260176.40    | 0.05%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224957 | PA      | $193853.03    | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-E                                                        | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    561492 | PA      | $566952.56    | 0.11%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QEYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195780 | PA      | $156445.16    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    474576 | PA      | $378127.79    | 0.08%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31416RRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112399 | PA      | $112143.71    | 0.02%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1692564 | PA      | $35835.81     | 0.01%             | 2055-04-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                | Hertz Vehicle Financing III LLC                                                                | CUSIP: 42806MCT4<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    780000 | PA      | $782618.77    | 0.16%             | 2029-09-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72463 | PA      | $61147.24     | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $64174.37     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32862 | PA      | $31420.27     | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71182 | PA      | $69202.28     | 0.01%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QNM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70066 | PA      | $63191.67     | 0.01%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140LHQV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96010 | PA      | $94727.44     | 0.02%             | 2032-10-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167078 | PA      | $165122.35    | 0.03%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                       | Glencore Funding LLC                                                                           | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    130000 | PA      | $128936.29    | 0.03%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                | MF1 2025-FL19 LLC                                                                              | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1330000 | PA      | $1331660.51   | 0.27%             | 2042-05-18      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324004 | PA      | $3823.44      | 0.00%             | 2027-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    410000 | PA      | $408446.21    | 0.08%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    689691 | PA      | $696130.73    | 0.14%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71606 | PA      | $61713.06     | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192795 | PA      | $5907.34      | 0.00%             | 2059-12-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    190000 | PA      | $170679.65    | 0.03%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2020-A                                                        | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107257 | PA      | $103298.26    | 0.02%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366502 | PA      | $294567.08    | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                         | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-1                                  | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    371211 | PA      | $306782.53    | 0.06%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69717 | PA      | $60129.43     | 0.01%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    250000 | PA      | $225212.80    | 0.05%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| NJ Trust 2023-GSP                                          | NJ Trust 2023-GSP                                                                              | CUSIP: 65486XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $440919.91    | 0.09%             | 2029-01-06      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221016 | PA      | $139870.81    | 0.03%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                           | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    120000 | PA      | $144398.75    | 0.03%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                                       | Sagard-Halseypoint Clo 8 Ltd                                                                   | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |    460000 | PA      | $460812.36    | 0.09%             | 2038-01-30      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140NCRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63632 | PA      | $66129.55     | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    997500 | PA      | $1030847.92   | 0.21%             | 2043-07-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                             | Eli Lilly & Co                                                                                 | CUSIP: 532457CR7<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    190000 | PA      | $188275.20    | 0.04%             | 2034-08-14      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    120000 | PA      | $74669.89     | 0.01%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71125 | PA      | $64525.34     | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3788 | PA      | $3397.45      | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                                   | Columbia Pipelines Holding Co LLC                                                              | CUSIP: 19828AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    220000 | PA      | $229066.48    | 0.05%             | 2028-08-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829529 | PA      | $725537.02    | 0.15%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    580000 | PA      | $497062.39    | 0.10%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XNQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231711 | PA      | $240305.66    | 0.05%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    180000 | PA      | $167244.76    | 0.03%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                      | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     90000 | PA      | $65987.87     | 0.01%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACEG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162510 | PA      | $163222.79    | 0.03%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383FHR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293210 | PA      | $259353.33    | 0.05%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381HN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $138739.32    | 0.03%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                                   | Cleveland Electric Illuminating Co/The                                                         | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $68096.53     | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44648 | PA      | $4062.63      | 0.00%             | 2047-11-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64838 | PA      | $64718.23     | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ADOBE INC                                                  | Adobe Inc                                                                                      | CUSIP: 00724PAD1<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | DBT              | CORP              | US        |    260000 | PA      | $239755.99    | 0.05%             | 2030-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9QM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85496 | PA      | $73684.00     | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1404956 | PA      | $1408958.91   | 0.28%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    941494 | PA      | $2452.50      | 0.00%             | 2048-10-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7019 | PA      | $6668.34      | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XNVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1978263 | PA      | $1655334.90   | 0.33%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1706576 | PA      | $1441634.50   | 0.29%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157955 | PA      | $152019.14    | 0.03%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381DHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3209295 | PA      | $202166.34    | 0.04%             | 2063-02-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383R7N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $78150.12     | 0.02%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    460000 | PA      | $460863.09    | 0.09%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                        | Petroleos Mexicanos                                                                            | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     85000 | PA      | $85019.30     | 0.02%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    296000 | PA      | $288363.03    | 0.06%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1147802.89   | 0.23%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71600 | PA      | $60272.85     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $915557.74    | 0.18%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82393 | PA      | $79513.74     | 0.02%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214864 | PA      | $187997.08    | 0.04%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307356 | PA      | $289723.28    | 0.06%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58519 | PA      | $47599.48     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| APPLIED MATERIALS INC                                      | Applied Materials Inc                                                                          | CUSIP: 038222AN5<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |     90000 | PA      | $79985.19     | 0.02%             | 2030-06-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30898.37     | 0.01%             | 2031-02-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132E0BE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3588486 | PA      | $3654091.12   | 0.73%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244580 | PA      | $246689.79    | 0.05%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                     | Mitsubishi UFJ Financial Group Inc                                                             | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $198846.80    | 0.04%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                       | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    330000 | PA      | $284014.23    | 0.06%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                    | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     50000 | PA      | $32059.23     | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                | Walmart Inc                                                                                    | CUSIP: 931142ES8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     80000 | PA      | $74153.01     | 0.01%             | 2028-09-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133APF79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75183 | PA      | $63296.07     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130994 | PA      | $18683.05     | 0.00%             | 2046-10-16      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $416323.95    | 0.08%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140AQS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1937932 | PA      | $1940933.56   | 0.39%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                    | Royal Caribbean Cruises Ltd                                                                    | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    340000 | PA      | $342077.09    | 0.07%             | 2031-09-30      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2024-DNA1                                                        | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | USGSE             | US        |    470000 | PA      | $476740.32    | 0.10%             | 2044-02-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                                   | KLA Corp                                                                                       | CUSIP: 482480AL4<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    160000 | PA      | $161051.70    | 0.03%             | 2032-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SWAP CCPC GOLDMAN SACHS COC                                | SWAP CCPC GOLDMAN SACHS COC                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     63285 | NS      | $63285.42     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74776 | PA      | $12529.76     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BHGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333707 | PA      | $273170.27    | 0.05%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208130 | PA      | $175323.70    | 0.04%             | 2051-10-01      | 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        |    460000 | PA      | $480691.06    | 0.10%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137HBW42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436209 | PA      | $98564.22     | 0.02%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347465 | PA      | $320935.70    | 0.06%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                   | Constellation Brands Inc                                                                       | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    160000 | PA      | $160014.00    | 0.03%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                   | Florida Power & Light Co                                                                       | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    240000 | PA      | $242744.33    | 0.05%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                           | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    270000 | PA      | $237138.11    | 0.05%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Kings Park CLO Ltd                                         | Kings Park CLO Ltd                                                                             | CUSIP: 496094AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    880000 | PA      | $880246.40    | 0.18%             | 2035-01-21      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                | Oracle Corp                                                                                    | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37353.89     | 0.01%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138EPDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75981 | PA      | $79264.13     | 0.02%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XJCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577384 | PA      | $461451.35    | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    440322 | PA      | $374438.91    | 0.08%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63851 | PA      | $53825.23     | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228102 | PA      | $216367.65    | 0.04%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XNQ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162741 | PA      | $169160.58    | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QNQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74981 | PA      | $68094.39     | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76859 | PA      | $73774.60     | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                   | Warnermedia Holdings Inc                                                                       | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    110000 | PA      | $81812.50     | 0.02%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2022-NQM2                                                  | CUSIP: 64831MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    791647 | PA      | $751480.78    | 0.15%             | 2062-03-27      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75787 | PA      | $74966.47     | 0.02%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XLKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85157 | PA      | $85227.83     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                 | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     50000 | PA      | $31377.82     | 0.01%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455631 | PA      | $374540.23    | 0.08%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125322 | PA      | $105481.73    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Myers Park CLO LTD                                         | Myers Park CLO Ltd                                                                             | CUSIP: 62848FAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250453.75    | 0.05%             | 2030-10-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                   | JP Morgan Mortgage Trust Series 2025-NQM1                                                      | CUSIP: 46593QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1233673 | PA      | $1240629.59   | 0.25%             | 2065-06-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR NOTE (CBT)SEP25                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       568 | NC      | $1030086.80   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FYJM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    422347 | PA      | $99047.31     | 0.02%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380913 | PA      | $327245.95    | 0.07%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73497 | PA      | $64694.43     | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGWP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74869 | PA      | $62949.35     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64092 | PA      | $51505.72     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                 | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $305114.17    | 0.06%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co                                      | MidAmerican Energy Co                                                                          | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    260000 | PA      | $254988.82    | 0.05%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    130000 | PA      | $129378.75    | 0.03%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                      | Aon North America Inc                                                                          | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    540000 | PA      | $554682.03    | 0.11%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                           | DP World Ltd/United Arab Emirates                                                              | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |    970000 | PA      | $903627.75    | 0.18%             | 2048-09-25      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-NQM3                                                                                 | CUSIP: 12660LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460012 | PA      | $404916.14    | 0.08%             | 2066-04-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                                           | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    140000 | PA      | $143892.18    | 0.03%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1984 | PA      | $1968.62      | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                     | Berkshire Hathaway Finance Corp                                                                | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    280000 | PA      | $236863.37    | 0.05%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                      | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194304.62    | 0.04%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    110000 | PA      | $122118.84    | 0.02%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2017-2                                                     | CUSIP: 64829KAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323653 | PA      | $321256.19    | 0.06%             | 2057-03-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2015-2                                                     | CUSIP: 64829EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268639 | PA      | $258322.57    | 0.05%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60331 | PA      | $60220.12     | 0.01%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61192 | PA      | $49193.36     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179V7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1888983 | PA      | $1676269.56   | 0.34%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                    | Oncor Electric Delivery Co LLC                                                                 | CUSIP: 68233JDA9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150649.30    | 0.03%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                            | Sands China Ltd                                                                                | CUSIP: 80007RAL9<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    600000 | PA      | $573533.58    | 0.11%             | 2030-06-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1541713 | PA      | $1255867.81   | 0.25%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    610000 | PA      | $497659.39    | 0.10%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $33195.66     | 0.01%             | 2030-01-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                             | Mastercard Inc                                                                                 | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    660000 | PA      | $521117.98    | 0.10%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257779 | PA      | $225223.21    | 0.05%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71372 | PA      | $57401.55     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29206 | PA      | $28352.13     | 0.01%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    430000 | PA      | $401762.36    | 0.08%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                | Hertz Vehicle Financing III LLC 2025-2                                                         | CUSIP: 42806MCX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    780000 | PA      | $782264.50    | 0.16%             | 2031-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $128034.93    | 0.03%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                   | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    890000 | PA      | $885193.02    | 0.18%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                              | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35502 | PA      | $32187.55     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                            | Oaktree CLO 2024-25 Ltd                                                                        | CUSIP: 67402PAA5<br>LEI: 254900NTZ5OVNC5X7789 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $751983.00    | 0.15%             | 2037-04-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67228 | PA      | $56450.14     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                             | Eli Lilly & Co                                                                                 | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    420000 | PA      | $419756.93    | 0.08%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1776996 | PA      | $112055.93    | 0.02%             | 2030-04-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds                     | Uruguay Government International Bonds                                                         | CUSIP: 760942AS1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     80000 | PA      | $95343.20     | 0.02%             | 2036-03-21      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X4MM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49381 | PA      | $47719.49     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                          | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2845920 | PA      | $2892348.48   | 0.58%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65038 | PA      | $55137.66     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    240000 | PA      | $232324.22    | 0.05%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    598523 | PA      | $586877.30    | 0.12%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                         | Coterra Energy Inc                                                                             | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    300000 | PA      | $296240.29    | 0.06%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FYAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137905 | PA      | $120314.07    | 0.02%             | 2041-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    840000 | PA      | $830173.93    | 0.17%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174306 | PA      | $163657.89    | 0.03%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114909 | PA      | $112078.70    | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229655 | PA      | $233965.43    | 0.05%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74477 | PA      | $74328.20     | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    368354 | PA      | $10025.71     | 0.00%             | 2057-04-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                   | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    150000 | PA      | $100741.68    | 0.02%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDF35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147004 | PA      | $126725.44    | 0.03%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                                        | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     81000 | PA      | $78479.35     | 0.02%             | 2029-07-26      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                          | CUSIP: 3128LXC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28115 | PA      | $28028.07     | 0.01%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                  | Nelnet Student Loan Trust 2021-B                                                               | CUSIP: 64034QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    523362 | PA      | $520625.96    | 0.10%             | 2062-04-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                        | Abbott Laboratories                                                                            | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159244.73    | 0.03%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63668 | PA      | $50771.71     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076CF7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    260000 | PA      | $220568.75    | 0.04%             | 2031-03-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74552 | PA      | $77673.26     | 0.02%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94773 | PA      | $92158.03     | 0.02%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                            | CVS Health Corp                                                                                | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    450000 | PA      | $449656.09    | 0.09%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1862542 | PA      | $1568659.67   | 0.31%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71400 | PA      | $57429.42     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     60000 | PA      | $46280.03     | 0.01%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2021-NQM2 Trust                                                                            | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147308 | PA      | $121143.08    | 0.02%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    560000 | PA      | $493333.77    | 0.10%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VNO Mortgage Trust                                         | VNDO Trust 2016-350P                                                                           | CUSIP: 91831UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $1063600.42   | 0.21%             | 2035-01-10      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     40000 | PA      | $47566.25     | 0.01%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    492113 | PA      | $28739.57     | 0.01%             | 2060-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21567 | PA      | $19616.77     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                             | Amazon.com Inc                                                                                 | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1051765.33   | 0.21%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264289 | PA      | $222346.10    | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15449 | PA      | $13899.05     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XC5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57693 | PA      | $54404.99     | 0.01%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2021-NQM4 Trust                                                                            | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491355 | PA      | $417387.61    | 0.08%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    890000 | PA      | $876338.24    | 0.18%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41816 | PA      | $37612.48     | 0.01%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69757 | PA      | $60156.60     | 0.01%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218233 | PA      | $26626.79     | 0.01%             | 2046-02-20      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                          | CUSIP: 3132WKPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74018 | PA      | $66200.63     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QQWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69892 | PA      | $72941.73     | 0.01%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55301 | PA      | $53985.61     | 0.01%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                               | Ares Loan Funding IV Ltd                                                                       | CUSIP: 04020FAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    710000 | PA      | $711633.00    | 0.14%             | 2036-10-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25933 | PA      | $24380.70     | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80363 | PA      | $79410.59     | 0.02%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    372868 | PA      | $311643.20    | 0.06%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28902 | PA      | $28063.22     | 0.01%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                | PRKCM 2024-HOME1 Trust                                                                         | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508205 | PA      | $514931.59    | 0.10%             | 2059-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644643 | PA      | $537923.64    | 0.11%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65383 | PA      | $9441.33      | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    180000 | PA      | $183269.27    | 0.04%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust           | GoodLeap Sustainable Home Solutions Trust 2022-1                                               | CUSIP: 38237JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    351610 | PA      | $303403.02    | 0.06%             | 2049-01-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 29273VAY6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    210000 | PA      | $212598.00    | 0.04%             | 2034-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQB70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82351 | PA      | $82770.65     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                                   | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10095.84     | 0.00%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAKF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321050 | PA      | $292840.43    | 0.06%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255470 | PA      | $257674.02    | 0.05%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                        | Citigroup Commercial Mortgage Trust 2016-P3                                                    | CUSIP: 29429CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178000 | PA      | $175251.79    | 0.04%             | 2049-04-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                               | Barclays PLC                                                                                   | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    450000 | PA      | $454704.48    | 0.09%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                        | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43547.26     | 0.01%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-C                                                        | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    355739 | PA      | $353191.90    | 0.07%             | 2052-06-17      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27161.92     | 0.01%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                       | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    408000 | PA      | $275297.13    | 0.06%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224753 | PA      | $196331.55    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617Y5UR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76793 | PA      | $71533.15     | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    410000 | PA      | $413908.46    | 0.08%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63531 | PA      | $51100.00     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                              | MHC Commercial Mortgage Trust 2021-MHC                                                         | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43188 | PA      | $43187.58     | 0.01%             | 2038-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                 | US Bancorp                                                                                     | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    270000 | PA      | $280370.54    | 0.06%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25275 | PA      | $23730.97     | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2014-2                                                     | CUSIP: 64828YAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139612 | PA      | $132896.35    | 0.03%             | 2054-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78411 | PA      | $69488.77     | 0.01%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54608 | PA      | $51795.39     | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                                 | Kenvue Inc                                                                                     | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    290000 | PA      | $294289.91    | 0.06%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    280000 | PA      | $275606.41    | 0.06%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X44M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211474 | PA      | $211281.04    | 0.04%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72456 | PA      | $65184.07     | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219573 | PA      | $188127.29    | 0.04%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133APF61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72242 | PA      | $60869.34     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                 | US Bancorp                                                                                     | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $105041.36    | 0.02%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35038 | PA      | $32607.57     | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341770 | PA      | $273986.66    | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383FX73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146647 | PA      | $125509.07    | 0.03%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DLLMT LLC                                                  | DLLMT 2024-1 LLC                                                                               | CUSIP: 23347AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $325884.99    | 0.07%             | 2032-04-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACZT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69178 | PA      | $72015.46     | 0.01%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                   | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                      | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    200000 | PA      | $203702.80    | 0.04%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                   | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    350000 | PA      | $269862.54    | 0.05%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AWH72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81325 | PA      | $64958.12     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                   | Pioneer Natural Resources Co                                                                   | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    200000 | PA      | $177277.54    | 0.04%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    230000 | PA      | $220638.46    | 0.04%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1515684 | PA      | $1331289.05   | 0.27%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                                             | CUSIP: 907818FJ2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    170000 | PA      | $165041.03    | 0.03%             | 2027-02-05      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                      | CUSIP: 674599CS2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    120000 | PA      | $111546.91    | 0.02%             | 2029-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58489 | PA      | $52352.32     | 0.01%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    100000 | PA      | $70547.08     | 0.01%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA4                                                        | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |    990000 | PA      | $1028904.92   | 0.21%             | 2042-05-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                             | Merck & Co Inc                                                                                 | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    600000 | PA      | $524868.26    | 0.11%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    346583 | PA      | $346552.49    | 0.07%             | 2050-02-01      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                   | Mars Inc                                                                                       | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70930.59     | 0.01%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-AFC1 Trust                                                                           | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198085 | PA      | $165258.39    | 0.03%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                           | BAT Capital Corp                                                                               | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    180000 | PA      | $142086.43    | 0.03%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA2                                                        | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |    283573 | PA      | $284353.59    | 0.06%             | 2042-02-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499386.65    | 0.10%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                  | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    490000 | PA      | $423728.76    | 0.08%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                               | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    370000 | PA      | $367948.27    | 0.07%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Point Au Roche Park CLO, Ltd                               | Point Au Roche Park CLO Ltd                                                                    | CUSIP: 73052VAA3<br>LEI: 5493000RMLD359CPH591 | Long             | ABS-CBDO         | CORP              | KY        |   2050000 | PA      | $2050426.40   | 0.41%             | 2034-07-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    560000 | PA      | $556807.69    | 0.11%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2310000 | PA      | $2103295.43   | 0.42%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76070 | PA      | $62813.55     | 0.01%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68388 | PA      | $57621.61     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2024-NQM17 Trust                                                                           | CUSIP: 673911AE3<br>LEI: 254900HMH8TR6ZSMCB34 | Long             | ABS-MBS          | CORP              | US        |    958769 | PA      | $963151.15    | 0.19%             | 2064-11-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383FR62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    288410 | PA      | $235551.14    | 0.05%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382XZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800332 | PA      | $115406.96    | 0.02%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140Q9XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123079 | PA      | $115961.94    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    340000 | PA      | $339859.55    | 0.07%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24163 | PA      | $22270.93     | 0.00%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617B8HH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40838 | PA      | $37473.75     | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78224 | PA      | $78431.93     | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60131 | PA      | $53160.50     | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                   | Mars Inc                                                                                       | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    800000 | PA      | $798047.02    | 0.16%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     90000 | PA      | $65481.90     | 0.01%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                       | Deephaven Residential Mortgage Trust 2022-1                                                    | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532157 | PA      | $490541.95    | 0.10%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59504 | PA      | $48235.03     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFX30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213910 | PA      | $190700.79    | 0.04%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                            | CVS Health Corp                                                                                | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    392000 | PA      | $390391.52    | 0.08%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA3                                                        | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |    830000 | PA      | $854792.85    | 0.17%             | 2042-04-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| CINTAS CORPORATION NO. 2                                   | Cintas Corp No 2                                                                               | CUSIP: 17252MAQ3<br>LEI: 549300QVUQTTKMTE0G41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96648.78     | 0.02%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75672 | PA      | $66265.48     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50846 | PA      | $45746.00     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                    | DBJPM 16-C1 Mortgage Trust                                                                     | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $221953.19    | 0.04%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    260000 | PA      | $264705.88    | 0.05%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381EX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    753800 | PA      | $31630.51     | 0.01%             | 2062-02-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9K86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79696 | PA      | $68702.10     | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373424 | PA      | $321447.21    | 0.06%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21185.85     | 0.00%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X9LZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52544 | PA      | $44213.13     | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                               | Chevron Corp                                                                                   | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $101017.16    | 0.02%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156823 | PA      | $153258.39    | 0.03%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                                       | CUSIP: 75513EAC5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    480000 | PA      | $318210.09    | 0.06%             | 2050-07-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KNWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158130 | PA      | $138305.53    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71509 | PA      | $57523.38     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    410000 | PA      | $404413.59    | 0.08%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                   | Delta Air Lines Inc / SkyMiles IP Ltd                                                          | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    500000 | PA      | $501159.53    | 0.10%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138587 | PA      | $117096.09    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237472 | PA      | $203342.71    | 0.04%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                           | Whitebox Clo I Ltd                                                                             | CUSIP: 96467FAU4<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |    680000 | PA      | $680233.24    | 0.14%             | 2036-07-24      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179U6Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41224 | PA      | $41148.13     | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69490 | PA      | $55892.82     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XK5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78396 | PA      | $75369.40     | 0.02%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    160000 | PA      | $127029.40    | 0.03%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138ETHB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189538 | PA      | $186535.29    | 0.04%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    320000 | PA      | $269514.50    | 0.05%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QNT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463057 | PA      | $434188.37    | 0.09%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                             | Amazon.com Inc                                                                                 | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    120000 | PA      | $108545.93    | 0.02%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                      | General Dynamics Corp                                                                          | CUSIP: 369550BJ6<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    160000 | PA      | $134601.00    | 0.03%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2015-2                                                     | CUSIP: 64829EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471953 | PA      | $456727.04    | 0.09%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2020-RPL4 Trust                                                                           | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223716 | PA      | $200275.32    | 0.04%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                 | Humana Inc                                                                                     | CUSIP: 444859BK7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    260000 | PA      | $245030.74    | 0.05%             | 2029-08-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                             | Lowe's Cos Inc                                                                                 | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    240000 | PA      | $241831.33    | 0.05%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    719618 | PA      | $596019.37    | 0.12%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141426 | PA      | $119382.25    | 0.02%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BQ3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    988600 | PA      | $177350.05    | 0.04%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143439 | PA      | $121740.57    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                                             | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167175 | PA      | $18934.54     | 0.00%             | 2044-08-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                             | CarVal CLO XI C Ltd                                                                            | CUSIP: 14688RAA8<br>LEI: 254900BDRF474L9PWM54 | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $972306.66    | 0.19%             | 2037-10-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                   | AT&T Inc                                                                                       | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     58000 | PA      | $48083.63     | 0.01%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                  | Prosus NV                                                                                      | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    850000 | PA      | $568343.58    | 0.11%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133BTCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78014 | PA      | $76673.56     | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167968 | PA      | $169642.18    | 0.03%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    645789 | PA      | $99474.99     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H9QF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1456518 | PA      | $233643.38    | 0.05%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                    | Royal Caribbean Cruises Ltd                                                                    | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    290000 | PA      | $295590.33    | 0.06%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214650 | PA      | $187031.83    | 0.04%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                             | Eli Lilly & Co                                                                                 | CUSIP: 532457CN6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    330000 | PA      | $306575.75    | 0.06%             | 2064-02-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                                        | Gilead Sciences Inc                                                                            | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    160000 | PA      | $143220.13    | 0.03%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                    | Honeywell International Inc                                                                    | CUSIP: 438516CS3<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    400000 | PA      | $402575.30    | 0.08%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO 13 Ltd                                             | AGL CLO 13 Ltd                                                                                 | CUSIP: 00120JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $260327.08    | 0.05%             | 2034-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                                    | Schlumberger Holdings Corp                                                                     | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74244.52     | 0.01%             | 2028-05-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H4YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    806217 | PA      | $133958.67    | 0.03%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                  | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    150000 | PA      | $128021.56    | 0.03%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                            | BRAVO Residential Funding Trust 2024-NQM5                                                      | CUSIP: 105925AA9<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-MBS          | CORP              | US        |    208724 | PA      | $209992.15    | 0.04%             | 2064-06-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H3ST0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644504 | PA      | $94103.04     | 0.02%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                          | General Motors Co                                                                              | CUSIP: 37045VAL4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     41000 | PA      | $41863.70     | 0.01%             | 2046-04-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                           | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    190000 | PA      | $172090.66    | 0.03%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                           | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    670000 | PA      | $590511.90    | 0.12%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QMZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    908882 | PA      | $783216.64    | 0.16%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                           | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43306.85     | 0.01%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5926129 | PA      | $48683.15     | 0.01%             | 2026-08-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    220000 | PA      | $190758.11    | 0.04%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                            | Chevron USA Inc                                                                                | CUSIP: 166756AS5<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    490000 | PA      | $475266.96    | 0.10%             | 2029-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CINTAS CORPORATION NO. 2                                   | Cintas Corp No 2                                                                               | CUSIP: 17252MAN0<br>LEI: 549300QVUQTTKMTE0G41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $158842.05    | 0.03%             | 2027-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                  | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $915980.55    | 0.18%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72710 | PA      | $71937.27     | 0.01%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                     | PNC Financial Services Group Inc/The                                                           | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    370000 | PA      | $383179.93    | 0.08%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97764 | PA      | $90952.84     | 0.02%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2649740 | PA      | $2335200.51   | 0.47%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BDY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369200 | PA      | $63822.48     | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291968 | PA      | $8745.78      | 0.00%             | 2029-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67989 | PA      | $59722.03     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    752550 | PA      | $89908.84     | 0.02%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                    | Reliance Industries Ltd                                                                        | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    360000 | PA      | $319624.35    | 0.06%             | 2032-01-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                            | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3470000 | PA      | $3481385.94   | 0.70%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380RWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    632062 | PA      | $36061.58     | 0.01%             | 2061-01-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70037 | PA      | $59256.63     | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H2N83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2388167 | PA      | $87469.01     | 0.02%             | 2031-07-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                                              | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    277000 | PA      | $256233.09    | 0.05%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312334 | PA      | $265040.00    | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SWAP CCPC GOLDMAN SACHS COC                                | SWAP CCPC GOLDMAN SACHS COC                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -25000 | NS      | $-25000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Silver Point CLO, Ltd                                      | Silver Point Clo 8 Ltd                                                                         | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499262.00    | 0.10%             | 2038-04-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ADBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    944858 | PA      | $973777.19    | 0.20%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2024-C63                                                 | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $357964.29    | 0.07%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49951 | PA      | $47067.64     | 0.01%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                     | Diamondback Energy Inc                                                                         | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    360000 | PA      | $329740.23    | 0.07%             | 2031-03-24      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H2UN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414967 | PA      | $51391.56     | 0.01%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35252.02     | 0.01%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80142 | PA      | $78932.45     | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47796.70     | 0.01%             | 2029-07-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                | BBCMS Mortgage Trust 2025-5C34                                                                 | CUSIP: 07337BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $415717.96    | 0.08%             | 2058-05-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164080 | PA      | $146425.68    | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                                             | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    220000 | PA      | $148975.00    | 0.03%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    771030 | PA      | $173919.41    | 0.03%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297499 | PA      | $238580.48    | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396844 | PA      | $333100.03    | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38376R5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9235 | PA      | $9186.55      | 0.00%             | 2067-05-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420350 | PA      | $396228.13    | 0.08%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1892399 | PA      | $38006.57     | 0.01%             | 2032-05-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                           | CUSIP: 88339WAC0<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    380000 | PA      | $379126.95    | 0.08%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XJYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74245 | PA      | $75465.31     | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                  | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                                    | CUSIP: 61690VAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300040 | PA      | $297819.40    | 0.06%             | 2048-10-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32266 | PA      | $30369.72     | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                     | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    200000 | PA      | $163164.00    | 0.03%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H62K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284770 | PA      | $38357.77     | 0.01%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164025 | PA      | $143316.23    | 0.03%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165047 | PA      | $158743.68    | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State of Israel                                            | Israel Government International Bond                                                           | CUSIP: 46513YJH2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    400000 | PA      | $386206.06    | 0.08%             | 2028-01-17      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80193 | PA      | $67450.79     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    130000 | PA      | $132293.72    | 0.03%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                            | BRAVO Residential Funding Trust 2024-NQM3                                                      | CUSIP: 10569LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390147 | PA      | $393714.60    | 0.08%             | 2064-03-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256316 | PA      | $242792.19    | 0.05%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                 | Humana Inc                                                                                     | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    420000 | PA      | $407025.41    | 0.08%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                                   | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     70000 | PA      | $54996.06     | 0.01%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                      | Micron Technology Inc                                                                          | CUSIP: 595112CB7<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20894.14     | 0.00%             | 2033-09-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                          | Kinder Morgan Inc                                                                              | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    220000 | PA      | $220180.11    | 0.04%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                            | Fannie Mae Interest Strip                                                                      | CUSIP: 31423XQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463958 | PA      | $76968.33     | 0.02%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                       | Lockheed Martin Corp                                                                           | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    920000 | PA      | $730105.03    | 0.15%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1148000 | PA      | $1152779.68   | 0.23%             | 2027-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QFA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257112 | PA      | $205772.85    | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60595 | PA      | $48840.49     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                   | BHP Billiton Finance USA Ltd                                                                   | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    220000 | PA      | $208481.61    | 0.04%             | 2043-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                   | NIKE Inc                                                                                       | CUSIP: 654106AK9<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    380000 | PA      | $357981.90    | 0.07%             | 2030-03-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46625HRX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    130000 | PA      | $128172.34    | 0.03%             | 2027-12-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1221000 | PA      | $1219701.94   | 0.24%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-NQM7                                                                                 | CUSIP: 12662QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148956 | PA      | $131038.22    | 0.03%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315029 | PA      | $315940.28    | 0.06%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                             | Solventum Corp                                                                                 | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    310000 | PA      | $319227.35    | 0.06%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                       | Glencore Funding LLC                                                                           | CUSIP: 378272CA4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    480000 | PA      | $489676.57    | 0.10%             | 2035-04-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION                                   | Florida Gas Transmission Co LLC                                                                | CUSIP: 340711BC3<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |    420000 | PA      | $429799.01    | 0.09%             | 2035-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    210000 | PA      | $187009.45    | 0.04%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69095.08     | 0.01%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1289035 | PA      | $966314.21    | 0.19%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160826 | PA      | $159138.17    | 0.03%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                                       | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    460000 | PA      | $494237.92    | 0.10%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85213 | PA      | $81958.82     | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFSJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151328 | PA      | $132873.88    | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224768 | PA      | $208651.36    | 0.04%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13803 | PA      | $1553.12      | 0.00%             | 2043-06-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133BUNF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64524 | PA      | $67194.37     | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QMRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598891 | PA      | $502738.02    | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73597 | PA      | $76460.43     | 0.02%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29885 | PA      | $28594.74     | 0.01%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                       | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     50000 | PA      | $33545.21     | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153055 | PA      | $136305.36    | 0.03%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1708700 | PA      | $9837.67      | 0.00%             | 2026-10-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                                      | Northrop Grumman Corp                                                                          | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    160000 | PA      | $156312.59    | 0.03%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                           | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $921210.44    | 0.18%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75561 | PA      | $70586.40     | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                         | Siemens Funding BV                                                                             | CUSIP: 82622RAG1<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    220000 | PA      | $227884.39    | 0.05%             | 2065-05-28      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381HL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    377838 | PA      | $23811.27     | 0.00%             | 2064-07-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QPRZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307224 | PA      | $306302.73    | 0.06%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141799 | PA      | $147667.78    | 0.03%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395886 | PA      | $333108.10    | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138ETPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43341 | PA      | $44483.93     | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                           | Bank of Montreal                                                                               | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $68179.77     | 0.01%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                      | Palmer Square CLO 2019-1 Ltd                                                                   | CUSIP: 69700GAJ1<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |    440000 | PA      | $440309.76    | 0.09%             | 2034-11-14      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                         | Roche Holdings Inc                                                                             | CUSIP: 771196BY7<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |    300000 | PA      | $183390.72    | 0.04%             | 2051-12-13      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                                             | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     90000 | PA      | $64768.95     | 0.01%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    592458 | PA      | $583435.63    | 0.12%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                        | Citigroup Commercial Mortgage Trust 2016-P6                                                    | CUSIP: 17291EAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88681 | PA      | $87363.55     | 0.02%             | 2049-12-10      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    970000 | PA      | $886866.40    | 0.18%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1188953 | PA      | $41861.83     | 0.01%             | 2036-02-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38378KSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    699952 | PA      | $7274.74      | 0.00%             | 2053-12-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                               | Parallel 2020-1 Ltd                                                                            | CUSIP: 69917AAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $520750.88    | 0.10%             | 2034-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146404 | PA      | $133766.03    | 0.03%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                         | Ellington Financial Mortgage Trust 2021-2                                                      | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210978 | PA      | $177336.13    | 0.04%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Southern Copper Corp                                       | Southern Copper Corp                                                                           | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1291588.00   | 0.26%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H9JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4790546 | PA      | $68512.96     | 0.01%             | 2032-10-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Recette CLO LLC                                            | Recette Clo Ltd                                                                                | CUSIP: 75620TAW8<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250600.00    | 0.05%             | 2034-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XQQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643888 | PA      | $552610.29    | 0.11%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H2UH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1054714 | PA      | $156983.99    | 0.03%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SAU                                   | Telefonica Emisiones SA                                                                        | CUSIP: 87938WAU7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    150000 | PA      | $132710.45    | 0.03%             | 2047-03-08      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72556 | PA      | $61400.51     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                    | Consolidated Edison Co of New York Inc                                                         | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76885.06     | 0.02%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108659 | PA      | $102181.97    | 0.02%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QFA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64747 | PA      | $51737.87     | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32819 | PA      | $30542.30     | 0.01%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 5YR NOTE (CBT) SEP25                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       701 | NC      | $700829.12    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Colombia Government International Bonds                    | Colombia Government International Bonds                                                        | CUSIP: 195325DL6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    420000 | PA      | $410046.00    | 0.08%             | 2027-04-25      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VLS Commercial Mortgage Trust                              | VLS Commercial Mortgage Trust 2020-LAB                                                         | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480000 | PA      | $406468.61    | 0.08%             | 2042-10-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424525 | PA      | $341496.55    | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                            | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14000000 | PA      | $13947500.00  | 2.80%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                     | CUSIP: 458140CF5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    170000 | PA      | $173830.85    | 0.03%             | 2030-02-10      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BHD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169281 | PA      | $29946.47     | 0.01%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80835 | PA      | $76550.80     | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1275831 | PA      | $72681.42     | 0.01%             | 2030-07-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| GCAT                                                       | GCAT 2019-NQM2 Trust                                                                           | CUSIP: 36167FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461946 | PA      | $448065.22    | 0.09%             | 2060-01-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                        | Elevance Health Inc                                                                            | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    190000 | PA      | $182419.88    | 0.04%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                     | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    120000 | PA      | $110262.61    | 0.02%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                            | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    270000 | PA      | $262828.13    | 0.05%             | 2055-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                            | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14000000 | PA      | $14534296.84  | 2.91%             | 2031-05-31      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-XL5                                                          | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303062 | PA      | $303345.86    | 0.06%             | 2041-03-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81700 | PA      | $74297.55     | 0.01%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                 | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    650000 | PA      | $659786.23    | 0.13%             | 2029-01-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1032937 | PA      | $821763.06    | 0.16%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                  | ONEOK Inc                                                                                      | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $167487.21    | 0.03%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QSQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491708 | PA      | $504282.65    | 0.10%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                | NVIDIA Corp                                                                                    | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    210000 | PA      | $154418.64    | 0.03%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64793 | PA      | $63243.00     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $184015.70    | 0.04%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                                | CUSIP: 95000GBB9<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |   3741627 | PA      | $35091.97     | 0.01%             | 2049-08-15      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114974 | PA      | $96905.00     | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XN6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266406 | PA      | $229713.56    | 0.05%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331329 | PA      | $310253.44    | 0.06%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                           | Ocean Trails Clo X                                                                             | CUSIP: 67516CAW9<br>LEI: 635400RMMLHBGDGXBC03 | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $690317.40    | 0.14%             | 2034-10-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                            | BRAVO Residential Funding Trust 2022-NQM3                                                      | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    643909 | PA      | $649369.14    | 0.13%             | 2062-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XBW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66194 | PA      | $55697.43     | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244404 | PA      | $234805.31    | 0.05%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297369 | PA      | $252113.75    | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                   | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                      | CUSIP: 71568PAF6<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    890000 | PA      | $866723.92    | 0.17%             | 2048-05-21      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151618 | PA      | $140726.97    | 0.03%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                        | PayPal Holdings Inc                                                                            | CUSIP: 70450YAP8<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81258.17     | 0.02%             | 2034-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CRSO TR 2023 BRND                                          | CRSO TR 2023 BRND                                                                              | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1280000 | PA      | $1319212.93   | 0.26%             | 2040-07-10      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Woodmont Trust                                             | Woodmont 2023-12 Trust                                                                         | CUSIP: 979926AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1016990 | PA      | $1019014.77   | 0.20%             | 2032-10-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $455019.40    | 0.09%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1910000 | PA      | $1855026.00   | 0.37%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17851.23     | 0.00%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $353683.65    | 0.07%             | 2044-02-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68589 | PA      | $10209.74     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | Morgan Stanley                                                                                 | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    390000 | PA      | $384431.98    | 0.08%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20753UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1040000 | PA      | $1051116.25   | 0.21%             | 2044-01-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABWK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    549043 | PA      | $481751.90    | 0.10%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    607425 | PA      | $534107.88    | 0.11%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239528 | PA      | $237167.71    | 0.05%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                | Hertz Vehicle Financing III LLC                                                                | CUSIP: 42806MCE7<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $417085.04    | 0.08%             | 2030-03-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KKT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436389 | PA      | $366610.11    | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-RPL2Trust                                                                            | CUSIP: 12656TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137021 | PA      | $120604.82    | 0.02%             | 2060-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291691 | PA      | $256488.24    | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67316 | PA      | $56785.57     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3142GRQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177493 | PA      | $180750.66    | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS125302 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS125302 IRS USD P F  3.78000 2 CCPOIS  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   6788000 | OU      | $-25050.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                 | CUSIP: 05581KAG6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    790000 | PA      | $837244.28    | 0.17%             | 2034-12-05      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63579 | PA      | $51048.78     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344288 | PA      | $66766.53     | 0.01%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48860 | PA      | $45480.98     | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    579898 | PA      | $583979.64    | 0.12%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                        | Charles Schwab Corp/The                                                                        | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    110000 | PA      | $119017.72    | 0.02%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR ULTRA FUT SEP25                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -2 | NC      | $-1190.96     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39630 | PA      | $39552.50     | 0.01%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2687359 | PA      | $63433.49     | 0.01%             | 2032-06-25      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L8DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125042 | PA      | $105367.37    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                  | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    390000 | PA      | $364562.15    | 0.07%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                            | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $969101.56    | 0.19%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                            | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $250976.56    | 0.05%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                    | Transcontinental Gas Pipe Line Co LLC                                                          | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $169771.67    | 0.03%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206417 | PA      | $38739.80     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156653 | PA      | $152474.93    | 0.03%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133BQSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82483 | PA      | $79024.58     | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $173582.10    | 0.03%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60973 | PA      | $60239.48     | 0.01%             | 2070-07-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                               | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    180000 | PA      | $127599.50    | 0.03%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    840000 | PA      | $723809.11    | 0.15%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA5                                                        | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | USGSE             | US        |    240000 | PA      | $255039.50    | 0.05%             | 2042-06-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                          | TSMC Arizona Corp                                                                              | CUSIP: 872898AC5<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1120064.11   | 0.22%             | 2031-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DP2Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242691 | PA      | $239582.82    | 0.05%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227217 | PA      | $182182.61    | 0.04%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2024-VLT4                                                                             | CUSIP: 05612TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $749532.08    | 0.15%             | 2029-07-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XK6H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84046 | PA      | $74988.09     | 0.02%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                           | Empower CLO 2024-1 Ltd                                                                         | CUSIP: 29244RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250752.25    | 0.05%             | 2037-04-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380RRQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3020279 | PA      | $248312.27    | 0.05%             | 2062-12-16      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132E0VN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    730997 | PA      | $760833.72    | 0.15%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166432 | PA      | $162590.70    | 0.03%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23354 | PA      | $23386.35     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376758 | PA      | $357242.61    | 0.07%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79847 | PA      | $74090.95     | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                       | Shell Finance US Inc                                                                           | CUSIP: 822905AE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    660000 | PA      | $524696.78    | 0.11%             | 2046-05-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                             | Amazon.com Inc                                                                                 | CUSIP: 023135AQ9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    150000 | PA      | $145535.34    | 0.03%             | 2044-12-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    180000 | PA      | $128885.65    | 0.03%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                       | BlueMountain CLO XXXI Ltd                                                                      | CUSIP: 09631BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    440000 | PA      | $440306.24    | 0.09%             | 2034-04-19      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307566 | PA      | $300356.21    | 0.06%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150385 | PA      | $146220.32    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84653 | PA      | $75742.36     | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                        | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    230000 | PA      | $203418.08    | 0.04%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                       | Birch Grove CLO 8 Ltd                                                                          | CUSIP: 09077TAA3<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |    240000 | PA      | $241073.04    | 0.05%             | 2037-04-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Cayuga Park CLO, Ltd.                                      | Cayuga Park CLO Ltd                                                                            | CUSIP: 149791AP0<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $620633.02    | 0.12%             | 2034-07-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2031495 | PA      | $1654768.07   | 0.33%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                 | Humana Inc                                                                                     | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    290000 | PA      | $288920.89    | 0.06%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H4AC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    739221 | PA      | $107234.77    | 0.02%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $13577.31     | 0.00%             | 2029-06-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-17

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

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP