# EDGAR Filing Document

**Accession Number:** 0000711080
**File Stem:** 0001193125-25-295445
**Filing Date:** 2025-11
**Character Count:** 189658
**Document Hash:** c3763e955d1e8d460a9d8348c21e229a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-25-295445.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0001193125-25-295445

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TOUCHSTONE STRATEGIC TRUST
- **CENTRAL INDEX KEY:** 0000711080

**ORGANIZATION NAME:**
- **EIN:** 311276717
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03651
- **FILM NUMBER:** 251516093

**BUSINESS ADDRESS:**
- **STREET 1:** 303 BROADWAY
- **STREET 2:** SUITE 1100
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45202-4203
- **BUSINESS PHONE:** 5133628000

**MAIL ADDRESS:**
- **STREET 1:** 303 BROADWAY
- **STREET 2:** SUITE 1100
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45202-4203

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** COUNTRYWIDE STRATEGIC TRUST
- **DATE OF NAME CHANGE:** 19970303

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MIDWEST STRATEGIC TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FINANCIAL INDEPENDENCE TRUST
- **DATE OF NAME CHANGE:** 19900604

## Series and Classes Contracts Data

### Touchstone Flexible Income Fund (Series ID: S000038009)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000117280 | Class A             | FFSAX           |
| C000117281 | Class C             | FRACX           |
| C000117282 | Class Y             | MXIIX           |
| C000117283 | Institutional Class | TFSLX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Touchstone Strategic Trust

- **b. Investment Company Act file number:** 811-03651

- **c. CIK number of Registrant:** 0000711080

- **d. LEI of Registrant:** 5493006Z577I3GNQF624

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

  - **Street Address 1:** 303 Broadway

  - **City:** Cincinnati

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45202

  - **Telephone number:** 8006388194

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

- **a. Name of Series:** Touchstone Strategic Trust-Touchstone Flexible Income Fund

- **b. EDGAR series identifier (if any):** S000038009

- **c. LEI of Series:** 549300BKMVTZKQG7DB15

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**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:** $1780166759.69

**Total Liabilities:** $9322620.97

**Net Assets:** $1770844138.72

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3801.900415783467 | **1-Year:** 15682.933665447720 | **5-Year:** 99021.620838896109 | **10-Year:** 176577.425111592394 | **30-Year:** 133571.610419604602

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

- **3-Month:** 422.291963738114 | **1-Year:** 5252.765643083286 | **5-Year:** 5337.217542958669 | **10-Year:** 3513.043799344996 | **30-Year:** 1752.463092471009

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000117280 | 0.23%                | 0.87%                | 1.18%                |
| Class ID C000117281 | 0.17%                | 0.82%                | 1.14%                |
| Class ID C000117282 | 0.25%                | 0.89%                | 1.20%                |
| Class ID C000117283 | 0.26%                | 0.90%                | 1.30%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $912180.01               | $-1645364.89                               |
| Month 2  | $454748.01               | $7577006.84                                |
| Month 3  | $137942.24               | $14353467.67                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Short-Term Invts T                                                                   | Short-Term Invts T INVSCO GOVT INST                                                                                                                    | CUSIP: 825252885<br>LEI: 549300UJV6OHYATSFU27 | Long             | STIV             | RF                | US        |   4769000 | NS      | $4769000.00   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                   | MSM 2004-7AR 2A6                                                                                                                                       | CUSIP: 61748HCK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46413 | PA      | $45939.47     | 0.00%             | 2034-09-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                                        | NRZT 2015-1A B3                                                                                                                                        | CUSIP: 64829CAL2<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-O            | CORP              | US        |   1113759 | PA      | $1107117.82   | 0.06%             | 2052-05-28      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                                  | NEE V6.375 08/15/55                                                                                                                                    | CUSIP: 65339KDE7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  13162000 | PA      | $13666194.76  | 0.77%             | 2055-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                                  | NEE V6.5 08/15/55 .                                                                                                                                    | CUSIP: 65339KDF4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   9807000 | PA      | $10386780.03  | 0.59%             | 2055-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp.                                                                  | RITM 8 04/01/29 144A                                                                                                                                   | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |  20264000 | PA      | $20742980.17  | 1.17%             | 2029-04-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| PSMC 2019-1 Trust                                                                    | PSMC 2020-3 A11                                                                                                                                        | CUSIP: 693675AL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    742716 | PA      | $727217.81    | 0.04%             | 2050-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RES TR 2021-SFR5                                                            | PROG 2021-SFR5 D                                                                                                                                       | CUSIP: 74333FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3950000 | PA      | $3881028.66   | 0.22%             | 2038-07-19      | Fixed         | 2.11%                 | Yes           |                  2 | On Loan: No      |
| Tiaa Bank Mortgage Loan Trust 2018-3                                                 | TBMLT 2018-2 A1                                                                                                                                        | CUSIP: 886312AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91899 | PA      | $83561.73     | 0.00%             | 2048-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                                           | PROG 2021-SFR6 A                                                                                                                                       | CUSIP: 74333HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3338463 | PA      | $3287079.05   | 0.19%             | 2038-07-19      | Fixed         | 1.52%                 | Yes           |                  2 | On Loan: No      |
| Tiaa Bank Mortgage Loan Trust 2018-3                                                 | TBMLT 2018-2 B2                                                                                                                                        | CUSIP: 886312CC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760772 | PA      | $696311.52    | 0.04%             | 2048-07-25      | Variable      | 3.66%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TST 2020-SFR3                                                   | PROG 2021-SFR3 B                                                                                                                                       | CUSIP: 74333VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975000 | PA      | $964952.43    | 0.05%             | 2038-05-19      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TST 2020-SFR3                                                   | PROG 2021-SFR3 H                                                                                                                                       | CUSIP: 74333VAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2489672 | PA      | $2474575.87   | 0.14%             | 2038-05-19      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| PROVIDENT FDG MTG LN 2019-2                                                          | PFMT 2019-1 B1                                                                                                                                         | CUSIP: 74387LAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4826092 | PA      | $4169947.72   | 0.24%             | 2049-12-25      | Variable      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| RTX Corp.                                                                            | RTX 3.03 03/15/52                                                                                                                                      | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |  10940000 | PA      | $7210211.25   | 0.41%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K143 X3                                                                                                                                           | CUSIP: 3137H74D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  10400000 | PA      | $1741814.88   | 0.10%             | 2050-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K751 X3                                                                                                                                           | CUSIP: 3137HA4E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  19560000 | PA      | $3624884.63   | 0.20%             | 2056-03-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K513 X1                                                                                                                                           | CUSIP: 3137HBFZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 129061442 | PA      | $2648160.10   | 0.15%             | 2028-12-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K755 X3                                                                                                                                           | CUSIP: 3137HCKN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5122000 | PA      | $1297284.28   | 0.07%             | 2059-02-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | CHASE 2020-CL1 M1                                                                                                                                      | CUSIP: 46591HAG5<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |  11989422 | PA      | $12346947.98  | 0.70%             | 2057-10-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | JPMWM 2021-CL1 M1                                                                                                                                      | CUSIP: 46591HBK5<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   1862678 | PA      | $1845516.43   | 0.10%             | 2051-03-27      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | JPMWM 2021-CL1 M2                                                                                                                                      | CUSIP: 46591HBL3<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   6465478 | PA      | $6383827.97   | 0.36%             | 2051-03-27      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | JPMWM 2021-CL1 M3                                                                                                                                      | CUSIP: 46591HBM1<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   3033578 | PA      | $3013754.74   | 0.17%             | 2051-03-27      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V1.578 04/22/27                                                                                                                                    | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  25000000 | PA      | $24634198.75  | 1.39%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| JP MORG WLTH MTG TR 2020-ATR1                                                        | JPMWM 2020-ATR1 A3                                                                                                                                     | CUSIP: 46652HAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2549461 | PA      | $2235798.15   | 0.13%             | 2050-02-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Nasdaq Inc                                                                           | NDAQ 3.25 04/28/50                                                                                                                                     | CUSIP: 63111XAB7<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |  10278000 | PA      | $7154937.20   | 0.40%             | 2050-04-28      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 4.5 07/15/44                                                                                                                                       | CUSIP: 674599DK8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2366000 | PA      | $1879171.84   | 0.11%             | 2044-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K743 X3                                                                                                                                           | CUSIP: 3137H14E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9500000 | PA      | $652890.35    | 0.04%             | 2049-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K130 X3                                                                                                                                           | CUSIP: 3137H1YY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  10595456 | PA      | $1574884.21   | 0.09%             | 2048-08-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K130 XAM                                                                                                                                          | CUSIP: 3137H1YZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  41864611 | PA      | $2584407.10   | 0.15%             | 2031-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K744 X3                                                                                                                                           | CUSIP: 3137H1Z66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  39018396 | PA      | $2732017.36   | 0.15%             | 2049-08-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K131 X3                                                                                                                                           | CUSIP: 3137H2N91<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |  10451281 | PA      | $1490019.27   | 0.08%             | 2049-09-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K745 X3                                                                                                                                           | CUSIP: 3137H2NH3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |  47774075 | PA      | $3340334.66   | 0.19%             | 2049-09-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| AMSR 2020-Sfr5 Trust                                                                 | AMSR 2020-SFR5 G                                                                                                                                       | CUSIP: 03217JAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8100000 | PA      | $8072618.76   | 0.46%             | 2037-11-19      | Fixed         | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K745 XAM                                                                                                                                          | CUSIP: 3137H2NJ9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        | 146903000 | PA      | $3787541.29   | 0.21%             | 2028-09-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| AMSR 2020-Sfr5 Trust                                                                 | AMSR 2020-SFR5 H                                                                                                                                       | CUSIP: 03217JAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3149500 | PA      | $3137053.81   | 0.18%             | 2037-11-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K-1521 X1                                                                                                                                         | CUSIP: 3137H2NZ3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |  55091423 | PA      | $4215182.47   | 0.24%             | 2036-08-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K132 X3                                                                                                                                           | CUSIP: 3137H3EY4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |  29501666 | PA      | $4172332.12   | 0.24%             | 2049-08-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K746 XAM                                                                                                                                          | CUSIP: 3137H4C40<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        | 155000000 | PA      | $2420759.00   | 0.14%             | 2028-10-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V1.462 06/09/27                                                                                                                                      | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   8735000 | PA      | $8569329.37   | 0.48%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K134 X3                                                                                                                                           | CUSIP: 3137H4CG3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   9413138 | PA      | $1252639.22   | 0.07%             | 2049-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V7 PERP DD                                                                                                                                           | CUSIP: 172967PM7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5187000 | PA      | $5509928.82   | 0.31%             | N/A             | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K136 X1                                                                                                                                           | CUSIP: 3137H4SK7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        | 217533829 | PA      | $3781564.57   | 0.21%             | 2031-11-25      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                     | DUK 3.3 06/15/41                                                                                                                                       | CUSIP: 26441CBM6<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |  12602000 | PA      | $9690775.06   | 0.55%             | 2041-06-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K136 X3                                                                                                                                           | CUSIP: 3137H4SL5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |  21000000 | PA      | $3005564.10   | 0.17%             | 2049-12-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET V7.125 PERP G                                                                                                                                       | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   4593000 | PA      | $4745827.48   | 0.27%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K136 XAM                                                                                                                                          | CUSIP: 3137H4SM3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |  96839687 | PA      | $2848800.86   | 0.16%             | 2031-12-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| EverBank Mortgage Loan Trust                                                         | EVER 2013-1 B4                                                                                                                                         | CUSIP: 29977JAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1947850 | PA      | $1600335.83   | 0.09%             | 2043-03-25      | Variable      | 3.52%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K137 X3                                                                                                                                           | CUSIP: 3137H5DS3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |  20601000 | PA      | $3000486.21   | 0.17%             | 2049-01-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| EverBank Mortgage Loan Trust                                                         | EVER 2013-2 A                                                                                                                                          | CUSIP: 29977KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1918769 | PA      | $1792756.85   | 0.10%             | 2043-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K747 X3                                                                                                                                           | CUSIP: 3137H5E29<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |  52159495 | PA      | $3613208.19   | 0.20%             | 2049-12-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K139 X3                                                                                                                                           | CUSIP: 3137H6LR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  31585759 | PA      | $4974333.79   | 0.28%             | 2049-02-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K139 XAM                                                                                                                                          | CUSIP: 3137H6LS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  97300000 | PA      | $4151246.12   | 0.23%             | 2032-02-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K140 X3                                                                                                                                           | CUSIP: 3137H6M44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  31370856 | PA      | $4783515.96   | 0.27%             | 2049-03-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K757 X3                                                                                                                                           | CUSIP: 3137HH6A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  31179400 | PA      | $8331625.20   | 0.47%             | 2056-10-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K-165 XAM                                                                                                                                         | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  46617000 | PA      | $3258057.47   | 0.18%             | 2034-09-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K758 X3                                                                                                                                           | CUSIP: 3137HHJJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6400000 | PA      | $1625501.44   | 0.09%             | 2056-11-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K538 X1                                                                                                                                           | CUSIP: 3137HKSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 138615640 | PA      | $3153173.13   | 0.18%             | 2030-01-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K542 X1                                                                                                                                           | CUSIP: 3137HLY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        | 523448398 | PA      | $18104614.44  | 1.02%             | 2030-04-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K546 X1                                                                                                                                           | CUSIP: 3137HN4T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  82863000 | PA      | $3054653.35   | 0.17%             | 2030-05-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                                 | GFMT 2017-1 B2                                                                                                                                         | CUSIP: 36416UBJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2513266 | PA      | $2391754.77   | 0.14%             | 2056-07-25      | Variable      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Southern Co.                                                                         | SO V6.375 03/15/55 2025                                                                                                                                | CUSIP: 842587EB9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |  17307000 | PA      | $18442282.26  | 1.04%             | 2055-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp.                                                                      | SBUX 3.5 11/15/50                                                                                                                                      | CUSIP: 855244BA6<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |   9150000 | PA      | $6518825.63   | 0.37%             | 2050-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRP Mortgage Trust 2013-1                                                            | NRPMT 2013-1 A1                                                                                                                                        | CUSIP: 62942KAA4<br>LEI: 549300RI0I8NS7M7F275 | Long             | ABS-O            | CORP              | US        |   3008430 | PA      | $2739847.72   | 0.15%             | 2043-07-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| OBX 2018-1 Trust                                                                     | OBX 2018-EXP1 B1A                                                                                                                                      | CUSIP: 67097VAY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1254719 | PA      | $1286615.39   | 0.07%             | 2048-04-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 15-R LTD                                                          | OAKC 2023-15RA X                                                                                                                                       | CUSIP: 67121NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2800000 | PA      | $2799874.00   | 0.16%             | 2038-07-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Enbridge Inc.                                                                        | ENBCN V8.5 01/15/84                                                                                                                                    | CUSIP: 29250NBT1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   3553000 | PA      | $4063406.22   | 0.23%             | 2084-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 4.4 04/15/46                                                                                                                                       | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1083000 | PA      | $851111.29    | 0.05%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 4.1 02/15/47                                                                                                                                       | CUSIP: 674599CL7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   4095000 | PA      | $2930243.59   | 0.17%             | 2047-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 4.2 03/15/48                                                                                                                                       | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    674000 | PA      | $494604.66    | 0.03%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust 2013-J1                                                               | PMTLT 2013-J1 A1                                                                                                                                       | CUSIP: 693456AA3<br>LEI: 549300QFMQR379ND0354 | Long             | ABS-O            | CORP              | US        |   1803478 | PA      | $1678027.60   | 0.09%             | 2043-09-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K110 X3                                                                                                                                           | CUSIP: 3137FTZT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   7005157 | PA      | $927105.21    | 0.05%             | 2048-06-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust 2013-J1                                                               | PMTLT 2013-J1 A8                                                                                                                                       | CUSIP: 693456AH8<br>LEI: 549300QFMQR379ND0354 | Long             | ABS-O            | CORP              | US        |   1082087 | PA      | $982151.81    | 0.06%             | 2043-09-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Phillips 66 Co.                                                                      | PSX V6.2 03/15/56 B                                                                                                                                    | CUSIP: 718547BA9<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |  17891000 | PA      | $17941631.53  | 1.01%             | 2056-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K110 XAM                                                                                                                                          | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  28800000 | PA      | $2125555.20   | 0.12%             | 2030-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp.                                                                  | Rithm Capital Corp. 7.00% FIXED-RATE RESET SERIES D CUMULATIVE REDEEMABLE PREFERRED STOCK                                                              | CUSIP: 64828T706<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |    290000 | NS      | $7122400.00   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Reinsurance Group of America, Incorporated                                           | Reinsurance Group of America, Incorporated 5.75% FXD TO FLTNG SUB ORD                                                                                  | CUSIP: 759351802<br>LEI: LORM1GNEU1DKEW527V90 | Long             | EP               | CORP              | US        |      3267 | NS      | $81217.62     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Reinsurance Group of America, Incorporated                                           | Reinsurance Group of America, Incorporated 7.125% FIXED-RATE RESET SUBORDINATED DEBENTURES DUE OCTOBER 15, 2052                                        | CUSIP: 759351885<br>LEI: LORM1GNEU1DKEW527V90 | Long             | EP               | CORP              | US        |    186953 | NS      | $4832735.05   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K111 X1                                                                                                                                           | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  34889040 | PA      | $2117258.84   | 0.12%             | 2030-05-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K111 X3                                                                                                                                           | CUSIP: 3137FUZF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  19436545 | PA      | $2510556.32   | 0.14%             | 2048-04-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Annaly Capital Management, Inc.                                                      | Annaly Capital Management, Inc. 6.750% FXD TO FTG RATE CUM                                                                                             | CUSIP: 035710847<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EP               | CORP              | US        |    438461 | NS      | $11110601.74  | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K111 XAM                                                                                                                                          | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  35663000 | PA      | $2664946.21   | 0.15%             | 2030-05-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Trust 2020-7                                                      | JPMMT 2020-7 A3                                                                                                                                        | CUSIP: 46591XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13284417 | PA      | $11523320.36  | 0.65%             | 2051-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1516 X1                                                                                                                                         | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  29696886 | PA      | $3230676.66   | 0.18%             | 2035-05-25      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Trust 2020-7                                                      | JPMMT 2020-7 A15                                                                                                                                       | CUSIP: 46591XBT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    782354 | PA      | $679188.73    | 0.04%             | 2051-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN MTG TR 2020-LTV2                                                           | JPMMT 2020-LTV2 B1                                                                                                                                     | CUSIP: 46653LCA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    971430 | PA      | $888589.86    | 0.05%             | 2050-11-25      | Variable      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1516 X3                                                                                                                                         | CUSIP: 3137FUZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  18435033 | PA      | $4634270.49   | 0.26%             | 2038-10-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Sempra                                                                               | SRE V4.875 PERP                                                                                                                                        | CUSIP: 816851BK4<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |  25659000 | PA      | $25650794.25  | 1.45%             | N/A             | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K112 X1                                                                                                                                           | CUSIP: 3137FUZX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 113695142 | PA      | $6248298.44   | 0.35%             | 2030-05-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K112 X3                                                                                                                                           | CUSIP: 3137FUZY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  15300000 | PA      | $1884618.81   | 0.11%             | 2048-07-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K112 XAM                                                                                                                                          | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  10630000 | PA      | $733606.06    | 0.04%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K113 XAM                                                                                                                                          | CUSIP: 3137FV5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  10743000 | PA      | $707961.55    | 0.04%             | 2030-06-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Williams Companies Inc. (The)                                                        | WMB 3.5 10/15/51                                                                                                                                       | CUSIP: 88339WAA4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |  10810000 | PA      | $7679980.61   | 0.43%             | 2051-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Winwater Mtge Loan Trust 2014-1                                                      | WIN 2014-1 A9                                                                                                                                          | CUSIP: 97652PAJ0<br>LEI: 5493002CYMIHYUBDIR84 | Long             | ABS-O            | CORP              | US        |    568586 | PA      | $541045.48    | 0.03%             | 2044-06-20      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K114 X3                                                                                                                                           | CUSIP: 3137FVNK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  19500000 | PA      | $2104900.20   | 0.12%             | 2048-08-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K115 X3                                                                                                                                           | CUSIP: 3137FWGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  21702896 | PA      | $2572908.70   | 0.15%             | 2048-09-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2013-1                                                      | ABMT 2013-1 A1                                                                                                                                         | CUSIP: 008414AA2<br>LEI: 549300FEDPP088KAOR45 | Long             | ABS-O            | CORP              | US        |    171298 | PA      | $159957.26    | 0.01%             | 2043-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2013-1                                                      | ABMT 2015-2 B2                                                                                                                                         | CUSIP: 00841XBJ8<br>LEI: 549300FEDPP088KAOR45 | Long             | ABS-O            | CORP              | US        |   1703566 | PA      | $1589400.30   | 0.09%             | 2045-03-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2015-5                                                      | ABMT 2015-5 A3                                                                                                                                         | CUSIP: 00842BAC1<br>LEI: 549300RM62GNIVQ1WJ04 | Long             | ABS-O            | CORP              | US        |    564940 | PA      | $522262.30    | 0.03%             | 2045-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1517 X1                                                                                                                                         | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  40306551 | PA      | $3730455.90   | 0.21%             | 2035-07-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Athene Holding Ltd                                                                   | ATH 3.95 05/25/51                                                                                                                                      | CUSIP: 04686JAD3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |  12114000 | PA      | $8826111.64   | 0.50%             | 2051-05-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Mid-State Capital Corp.                                                              | MDST 2005-1 M2                                                                                                                                         | CUSIP: 595481AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51235 | PA      | $51437.83     | 0.00%             | 2040-01-15      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 3.5 08/01/50                                                                                                                                       | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  11011000 | PA      | $7515259.21   | 0.42%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding 2022-2 LTD / LLC                                          | PSTAT 2022-2A A1                                                                                                                                       | CUSIP: 69701NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    318726 | PA      | $318798.76    | 0.02%             | 2030-10-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding 2022-2 LTD / LLC                                          | PSTAT 2022-2A A2                                                                                                                                       | CUSIP: 69701NAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5350000 | PA      | $5356099.00   | 0.30%             | 2030-10-15      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2004-3 M1                                                                                                                                         | CUSIP: 81744FBA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    804532 | PA      | $844911.32    | 0.05%             | 2034-05-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-4                                                        | SEMT 2013-4 A1                                                                                                                                         | CUSIP: 81744YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2878853 | PA      | $2499439.95   | 0.14%             | 2043-04-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-5 A1                                                                                                                                         | CUSIP: 81745AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1873858 | PA      | $1644858.74   | 0.09%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1517 X3                                                                                                                                         | CUSIP: 3137FWHH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  52485811 | PA      | $12438617.60  | 0.70%             | 2038-08-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-5 A2                                                                                                                                         | CUSIP: 81745AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3826221 | PA      | $3448162.05   | 0.19%             | 2043-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-6 A1                                                                                                                                         | CUSIP: 81745BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4978284 | PA      | $4384994.68   | 0.25%             | 2043-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-6 A2                                                                                                                                         | CUSIP: 81745BAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4143823 | PA      | $3744973.85   | 0.21%             | 2043-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-7 A1                                                                                                                                         | CUSIP: 81745CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1510359 | PA      | $1323753.03   | 0.07%             | 2043-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-10 A1                                                                                                                                        | CUSIP: 81745GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1461649 | PA      | $1360290.37   | 0.08%             | 2043-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-11 A1                                                                                                                                        | CUSIP: 81745JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2445497 | PA      | $2300091.40   | 0.13%             | 2043-09-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-2                                                        | SEMT 2013-2 A                                                                                                                                          | CUSIP: 81745MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1560705 | PA      | $1344736.40   | 0.08%             | 2043-02-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-3 A2                                                                                                                                         | CUSIP: 81745RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2390189 | PA      | $2091777.70   | 0.12%             | 2043-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K116 X3                                                                                                                                           | CUSIP: 3137FWHW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  26000000 | PA      | $3215724.20   | 0.18%             | 2047-09-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2019-2 A1                                                                                                                                         | CUSIP: 81746YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    419304 | PA      | $396648.04    | 0.02%             | 2049-06-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2019-CH3 A13                                                                                                                                      | CUSIP: 81748GBA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1157679 | PA      | $1088861.10   | 0.06%             | 2049-10-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2019-4 A1                                                                                                                                         | CUSIP: 81748JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    438275 | PA      | $398769.09    | 0.02%             | 2049-11-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2020-1 A7                                                                                                                                         | CUSIP: 81748MAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6164649 | PA      | $5610202.92   | 0.32%             | 2050-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Simon Property Group LP                                                              | SPG 3.25 09/13/49                                                                                                                                      | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |  10913000 | PA      | $7648028.69   | 0.43%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VanEck ETF Trust                                                                     | VanEck ETF Trust VANECK VECTORS LONG MUNI ET                                                                                                           | CUSIP: 92189F536<br>LEI: 549300ZLFKNTXC51ZN76 | Long             | EC               | RF                | US        |    645683 | NS      | $11286538.84  | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Bond Index Funds                                                            | Vanguard Bond Index Funds VANGUARD ULTRA SHORT BOND ETF                                                                                                | CUSIP: 92203C303<br>LEI: 549300INE5BF80OGAZ51 | Long             | EC               | RF                | US        |    396982 | NS      | $19847115.09  | 1.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Scottsdale Funds                                                            | Vanguard Scottsdale Funds LG-TERM COR BD                                                                                                               | CUSIP: 92206C813<br>LEI: 549300Y88GQ3VLJIBX57 | Long             | EC               | RF                | US        |     46791 | NS      | $3633321.15   | 0.21%             |  |  |  | No            |                  1 | On Loan: —       |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K117 XAM                                                                                                                                          | CUSIP: 3137FX3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  39700000 | PA      | $2461904.19   | 0.14%             | 2030-09-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Virtus Convertible & Income Fund II                                                  | Virtus Convertible & Income Fund II 5.50% CUM PRF SHS SER A                                                                                            | CUSIP: 92838U702<br>LEI: 549300VQWKOKLGOGUQ16 | Long             | EP               | CORP              | US        |      7379 | NS      | $153630.78    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Virtus Convertible & Income Fund                                                     | Virtus Convertible & Income Fund 5.625% SERIES A CUMULATIVE PREFERRED SHARES                                                                           | CUSIP: 92838X706<br>LEI: 549300WT3ICVH2Z06O49 | Long             | EP               | CORP              | US        |    192373 | NS      | $4153333.07   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K119 X3                                                                                                                                           | CUSIP: 3137FXQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4900000 | PA      | $576125.83    | 0.03%             | 2048-09-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 3.5 11/16/26                                                                                                                                        | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     11000 | PA      | $10929.45     | 0.00%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K127 X3                                                                                                                                           | CUSIP: 3137FXZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  38058448 | PA      | $4519467.34   | 0.26%             | 2049-03-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V7.379 PERP Q                                                                                                                                       | CUSIP: 38148BAE8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3526000 | PA      | $3560114.05   | 0.20%             | N/A             | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K-1520 X1                                                                                                                                         | CUSIP: 3137FYTY2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |  57246094 | PA      | $1955623.88   | 0.11%             | 2036-02-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K-1520 X3                                                                                                                                         | CUSIP: 3137FYTZ9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   5000000 | PA      | $1169775.00   | 0.07%             | 2039-04-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K128 X3                                                                                                                                           | CUSIP: 3137FYUM6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |  18230000 | PA      | $2295465.09   | 0.13%             | 2049-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K742 X3                                                                                                                                           | CUSIP: 3137H0GY8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |  16000000 | PA      | $971905.60    | 0.05%             | 2049-04-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| CSMLT 2015-3 Trust                                                                   | CSMLT 2015-2 A7                                                                                                                                        | CUSIP: 12637LAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565824 | PA      | $522971.13    | 0.03%             | 2045-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                              | CSMC 2013-IVR1 A1                                                                                                                                      | CUSIP: 12646UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2934159 | PA      | $2618334.54   | 0.15%             | 2043-03-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                              | CSMC 2013-IVR1 A2                                                                                                                                      | CUSIP: 12646UAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2158886 | PA      | $1973024.43   | 0.11%             | 2043-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K118 X3                                                                                                                                           | CUSIP: 3137F62Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  24368853 | PA      | $2720019.69   | 0.15%             | 2048-10-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                              | CSMC 2013-IVR2 A1                                                                                                                                      | CUSIP: 12646WAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1158287 | PA      | $1020466.99   | 0.06%             | 2043-04-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K739 X3                                                                                                                                           | CUSIP: 3137F64S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  15100238 | PA      | $679406.52    | 0.04%             | 2048-11-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                              | CSMC 2013-IVR3 A1                                                                                                                                      | CUSIP: 12646XAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2107977 | PA      | $1871848.44   | 0.11%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K120 X3                                                                                                                                           | CUSIP: 3137F72S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  11576808 | PA      | $1342093.56   | 0.08%             | 2048-11-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                              | CSMC 2013-IVR3 A2                                                                                                                                      | CUSIP: 12646XAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2762533 | PA      | $2514606.63   | 0.14%             | 2043-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K121 X1                                                                                                                                           | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 147426533 | PA      | $6040654.76   | 0.34%             | 2030-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| CSMC Trust 2013-IVR4                                                                 | CSMC 2013-IVR4 A11                                                                                                                                     | CUSIP: 12647GAX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4850434 | PA      | $4524194.51   | 0.26%             | 2043-07-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K121 X3                                                                                                                                           | CUSIP: 3137F83T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  16073000 | PA      | $1947692.39   | 0.11%             | 2048-11-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| CSMC Trust 2013-IVR4                                                                 | CSMC 2013-IVR4 A12                                                                                                                                     | CUSIP: 12647GAY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471947 | PA      | $440203.85    | 0.02%             | 2043-07-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K122 X3                                                                                                                                           | CUSIP: 3137F84K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9700000 | PA      | $1090856.18   | 0.06%             | 2049-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| CSMC Trust 2013-IVR4                                                                 | CSMC 2013-IVR4 A2                                                                                                                                      | CUSIP: 12647GBF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271624 | PA      | $247429.47    | 0.01%             | 2043-07-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1519 X1                                                                                                                                         | CUSIP: 3137F8TU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 115888741 | PA      | $4919071.45   | 0.28%             | 2035-12-25      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Csmc                                                                                 | CSMC 2013-6 2A1                                                                                                                                        | CUSIP: 12647MBY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    716562 | PA      | $665925.11    | 0.04%             | 2043-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1519 X3                                                                                                                                         | CUSIP: 3137F8ZP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  11201391 | PA      | $2349262.13   | 0.13%             | 2038-12-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| CSMC Trust 2013-7                                                                    | CSMC 2013-7 A6                                                                                                                                         | CUSIP: 12647PAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    353199 | PA      | $327806.12    | 0.02%             | 2043-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K123 X3                                                                                                                                           | CUSIP: 3137F8ZY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   7569056 | PA      | $862395.53    | 0.05%             | 2049-02-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Csmc Trust 2013-IVR5                                                                 | CSMC 2013-IVR5 A3                                                                                                                                      | CUSIP: 12647VAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4471165 | PA      | $4164254.46   | 0.24%             | 2043-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K124 X3                                                                                                                                           | CUSIP: 3137F9Z20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9255000 | PA      | $1067065.41   | 0.06%             | 2049-02-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Csmc Trust 2014-Ivr3                                                                 | CSMC 2014-IVR3 B4                                                                                                                                      | CUSIP: 12648TAT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1045096 | PA      | $943610.72    | 0.05%             | 2044-07-25      | Variable      | 3.99%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K125 X3                                                                                                                                           | CUSIP: 3137F9ZB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  16150000 | PA      | $1913256.59   | 0.11%             | 2049-02-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST                                                  | CAS 2019-HRP1 B1                                                                                                                                       | CUSIP: 20754PAD2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-O            | USGSE             | US        |   9164525 | PA      | $9806597.53   | 0.55%             | 2039-11-25      | Floating      | 13.71%                | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K741 X3                                                                                                                                           | CUSIP: 3137FF4A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  16196664 | PA      | $808190.86    | 0.05%             | 2049-03-25      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Csmc                                                                                 | CSMC 2013-TH1 A1                                                                                                                                       | CUSIP: 22944PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2632049 | PA      | $2309321.22   | 0.13%             | 2043-02-25      | Variable      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K095 XAM                                                                                                                                          | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4964000 | PA      | $215459.44    | 0.01%             | 2029-06-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management Funds                                             | Dreyfus Government Cash Management Funds SH BEN INT                                                                                                    | CUSIP: 262006208<br>LEI: 549300F7IDB6WRO7VJ11 | Long             | STIV             | RF                | US        |  73005776 | NS      | $73005776.18  | 4.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K109 X1                                                                                                                                           | CUSIP: 3137FTG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  55670496 | PA      | $3246146.64   | 0.18%             | 2030-04-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1515 X3                                                                                                                                         | CUSIP: 3137FTZN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5835659 | PA      | $1508456.58   | 0.09%             | 2038-03-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K110 X1                                                                                                                                           | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  35198224 | PA      | $2117451.22   | 0.12%             | 2030-04-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2020-SFR2 TRUST                                                       | FKH 2020-SFR2 D                                                                                                                                        | CUSIP: 33767JAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7400000 | PA      | $7364258.74   | 0.42%             | 2037-10-19      | Fixed         | 1.97%                 | Yes           |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2020-SFR2 TRUST                                                       | FKH 2020-SFR2 F1                                                                                                                                       | CUSIP: 33767JAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2930000 | PA      | $2917172.17   | 0.16%             | 2037-10-19      | Fixed         | 3.02%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Backed Securities Trust 2014-EB1                                         | GSMBS 2014-EB1A 2A4                                                                                                                                    | CUSIP: 36250BAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99267 | PA      | $98644.14     | 0.01%             | 2044-07-25      | Variable      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2020-SFR2 TRUST                                                       | FKH 2020-SFR2 F3                                                                                                                                       | CUSIP: 33767JBA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $298663.83    | 0.02%             | 2037-10-19      | Fixed         | 3.37%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2020-Pj3                                         | GSMBS 2020-INV1 A14                                                                                                                                    | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3046546 | PA      | $2633478.18   | 0.15%             | 2050-10-25      | Variable      | 2.91%                 | Yes           |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2020-SFR2 TRUST                                                       | FKH 2020-SFR2 G1                                                                                                                                       | CUSIP: 33767JBC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $298750.14    | 0.02%             | 2037-10-19      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GS MORTGAGE BACKED SECURITY 20-PJ4                                                   | GSMBS 2020-PJ4 A2                                                                                                                                      | CUSIP: 36259VAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1578444 | PA      | $1364568.12   | 0.08%             | 2051-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2020-SFR2 TRUST                                                       | FKH 2020-SFR2 G2                                                                                                                                       | CUSIP: 33767JBE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $298802.16    | 0.02%             | 2037-10-19      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-PJ5                                                              | GSMBS 2020-PJ5 A2                                                                                                                                      | CUSIP: 36260DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9069868 | PA      | $7841664.30   | 0.44%             | 2051-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mtg Tr 2017-1                                                               | FSMT 2018-1 A13                                                                                                                                        | CUSIP: 33850TAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6483179 | PA      | $5866363.98   | 0.33%             | 2047-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2020-Pj2                                         | GSMBS 2020-PJ2 A1                                                                                                                                      | CUSIP: 36262DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2511208 | PA      | $2259400.60   | 0.13%             | 2050-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2018-3Inv                                                    | FSMT 2018-2 A14                                                                                                                                        | CUSIP: 33851HAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8432053 | PA      | $7551875.74   | 0.43%             | 2048-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2012-147 IO                                                                                                                                        | CUSIP: 38378B3G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2478093 | PA      | $20400.15     | 0.00%             | 2054-04-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2018-3Inv                                                    | FSMT 2018-3INV A9                                                                                                                                      | CUSIP: 33851JAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6066941 | PA      | $5632405.82   | 0.32%             | 2048-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-94 IO                                                                                                                                         | CUSIP: 38379RD34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  12993551 | PA      | $459924.93    | 0.03%             | 2059-02-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Flagstar Mtg Tr 2017-1                                                               | FSMT 2018-4 B2                                                                                                                                         | CUSIP: 33851LAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    812650 | PA      | $756043.34    | 0.04%             | 2048-07-25      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-76 IO                                                                                                                                         | CUSIP: 38379RWL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10630698 | PA      | $487092.22    | 0.03%             | 2056-12-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2016-110 IO                                                                                                                                        | CUSIP: 38379UE85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7501937 | PA      | $308056.55    | 0.02%             | 2058-05-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2016-52 IO                                                                                                                                         | CUSIP: 38379UNY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   9891444 | PA      | $360570.81    | 0.02%             | 2058-03-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2016-158 IO                                                                                                                                        | CUSIP: 38379UX35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  17071549 | PA      | $599300.13    | 0.03%             | 2058-06-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Home Partners Of America Trust 2019-1                                                | HPA 2019-1 C                                                                                                                                           | CUSIP: 43731QAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1279702 | PA      | $1247865.13   | 0.07%             | 2039-09-19      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2015-2 A1                                                                                                                                         | CUSIP: 81733YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2348457 | PA      | $2162816.85   | 0.12%             | 2045-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2015-2 A13                                                                                                                                        | CUSIP: 81733YBA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    591299 | PA      | $544557.77    | 0.03%             | 2045-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2015-2 B2                                                                                                                                         | CUSIP: 81733YEE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1852162 | PA      | $1791429.63   | 0.10%             | 2045-05-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-7 A2                                                                                                                                         | CUSIP: 81745CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3287936 | PA      | $2966418.25   | 0.17%             | 2043-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-9                                                        | SEMT 2013-9 A1                                                                                                                                         | CUSIP: 81745DAE1<br>LEI: 54930005PH54PMVV8351 | Long             | ABS-O            | CORP              | US        |   2287271 | PA      | $2100843.72   | 0.12%             | 2043-07-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-8 A1                                                                                                                                         | CUSIP: 81745EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1548440 | PA      | $1401878.38   | 0.08%             | 2043-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2014-4 A6                                                                                                                                         | CUSIP: 81745LAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36839 | PA      | $34047.02     | 0.00%             | 2044-11-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mtg Tr 2017-5                                                                | SEMT 2017-5 A1                                                                                                                                         | CUSIP: 81746DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1317439 | PA      | $1193642.82   | 0.07%             | 2047-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mtg Tr 2017-5                                                                | SEMT 2017-5 B2                                                                                                                                         | CUSIP: 81746DCC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1419370 | PA      | $1337951.56   | 0.08%             | 2047-08-25      | Variable      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2017-6 B2                                                                                                                                         | CUSIP: 81746FCC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1410960 | PA      | $1338665.29   | 0.08%             | 2047-09-25      | Variable      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2017-7 B2                                                                                                                                         | CUSIP: 81746GCC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1459508 | PA      | $1374536.87   | 0.08%             | 2047-10-25      | Variable      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2015-3                                                        | SEMT 2015-3 B1                                                                                                                                         | CUSIP: 81746LCB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1128529 | PA      | $1108193.64   | 0.06%             | 2045-07-25      | Variable      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2016-1 B1                                                                                                                                         | CUSIP: 81746PCB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1383664 | PA      | $1342600.26   | 0.08%             | 2046-06-25      | Variable      | 3.77%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2013-A                                        | SEMT 2018-2 B1                                                                                                                                         | CUSIP: 81746QCB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3434003 | PA      | $3229357.50   | 0.18%             | 2048-02-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2013-A                                        | SEMT 2018-2 B2                                                                                                                                         | CUSIP: 81746QCC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400280 | PA      | $2244078.92   | 0.13%             | 2048-02-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2017-1 A1                                                                                                                                         | CUSIP: 81746TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4593379 | PA      | $4175673.17   | 0.24%             | 2047-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2017-3                                                        | SEMT 2017-3 A1                                                                                                                                         | CUSIP: 81746XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    943687 | PA      | $856644.01    | 0.05%             | 2047-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2018-5 A7                                                                                                                                         | CUSIP: 81747GAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1972689 | PA      | $1791425.29   | 0.10%             | 2048-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2018-6 B4                                                                                                                                         | CUSIP: 81747JCF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2249000 | PA      | $1780430.30   | 0.10%             | 2048-07-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.25 05/15/50                                                                                                                                        | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59511000 | PA      | $29158065.50  | 1.65%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.375 08/15/50                                                                                                                                       | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59511000 | PA      | $29888004.81  | 1.69%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.625 11/15/50                                                                                                                                       | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  75577000 | PA      | $40510452.51  | 2.29%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.125 08/15/53                                                                                                                                       | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 114872000 | PA      | $103743775.00 | 5.86%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Ssga Active Trust                                                                    | Ssga Active Trust BLACKSTONE / GSO SR LN ETF                                                                                                           | CUSIP: 78467V608<br>LEI: 549300MAXSRPQ75ICU67 | Long             | EC               | RF                | US        |     50000 | NS      | $2079000.00   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Arch Capital Group Ltd.                                                              | ACGL 3.635 06/30/50                                                                                                                                    | CUSIP: 03939AAA5<br>LEI: 549300AYR4P8AFKDCE43 | Long             | DBT              | CORP              | BM        |   6738000 | PA      | $5009936.94   | 0.28%             | 2050-06-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: —       |
| CONNECTICUT AVENUE SECURITIES TRUST                                                  | CAS 2020-SBT1 2B1                                                                                                                                      | CUSIP: 20753VDL9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  16000000 | PA      | $16913451.20  | 0.96%             | 2040-02-27      | Floating      | 11.06%                | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | CAS 2022-R01 1M1                                                                                                                                       | CUSIP: 20754LAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3419777 | PA      | $3416562.60   | 0.19%             | 2041-12-26      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Agnc Investment Corp                                                                 | Agnc Investment Corp 7% CUM RED REP 1/1000 INT P                                                                                                       | CUSIP: 00123Q500<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     64699 | NS      | $1686702.93   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Agnc Investment Corp                                                                 | Agnc Investment Corp DEPOSITARY SHARES EACH REPRESENTING A 1/1,000TH INTEREST IN A SHARE OF 8.75% SERIES H FIXED-RATE CUMULATIVE REDEEMABLE PREFERRED  | CUSIP: 00123Q831<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |    162201 | NS      | $4128015.45   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Agnc Investment Corp                                                                 | Agnc Investment Corp DEPOSITARY SHARES EACH REPRESENTING 1/1,000TH OF A SHARE OF 6.125% SERIES F FIXED-TO-FLOATING RATE CUMULATIVE REDEEMABLE PREFERRE | CUSIP: 00123Q872<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |    589927 | NS      | $14960548.72  | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Alibaba Group Holding Ltd.                                                           | BABA 3.15 02/09/51                                                                                                                                     | CUSIP: 01609WAZ5<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |   6113000 | PA      | $4278038.72   | 0.24%             | 2051-02-09      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| The Allstate Corporation                                                             | The Allstate Corporation DEPOSITARY SHARES EACH REPRESENTING A 1/1,000TH INTEREST IN A SHARE OF FIXED RATE NONCUMULATIVE PERPETUAL PREFERRED STOCK, SE | CUSIP: 020002788<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | EP               | CORP              | US        |    146575 | NS      | $3882771.75   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Ally Financial Inc.                                                                  | ALLY V4.7 PERP C                                                                                                                                       | CUSIP: 02005NBN9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |  15755000 | PA      | $14519993.91  | 0.82%             | N/A             | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                                                  | ALLY V6.646 01/17/40                                                                                                                                   | CUSIP: 02005NBY5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |  10101000 | PA      | $10099224.75  | 0.57%             | 2040-01-17      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2024-B D                                                                                                                                         | CUSIP: 02007G4E0<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |   3783979 | PA      | $3801083.40   | 0.21%             | 2032-09-15      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2024-B E                                                                                                                                         | CUSIP: 02007G4F7<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |   2665237 | PA      | $2693688.57   | 0.15%             | 2032-09-15      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2025-A E                                                                                                                                         | CUSIP: 02007G5H2<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |  10223022 | PA      | $10259274.05  | 0.58%             | 2033-06-15      | Fixed         | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2025-A F                                                                                                                                         | CUSIP: 02007G5J8<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |   1742561 | PA      | $1753156.24   | 0.10%             | 2033-06-15      | Fixed         | 6.94%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2025-A G                                                                                                                                         | CUSIP: 02007G5K5<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |   3601292 | PA      | $3636204.27   | 0.21%             | 2033-06-15      | Fixed         | 10.22%                | Yes           |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2024-A D                                                                                                                                         | CUSIP: 02007GZ71<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |   1624248 | PA      | $1648675.81   | 0.09%             | 2032-05-17      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2024-A E                                                                                                                                         | CUSIP: 02007GZ89<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |   3892781 | PA      | $3988114.68   | 0.23%             | 2032-05-17      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-1                                                   | ALLYA 2024-1 CERT                                                                                                                                      | CUSIP: 02008F104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  69665532 | PA      | $4196860.65   | 0.24%             | 2032-02-16      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V1.093 12/09/26 VAR                                                                                                                                 | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13799000 | PA      | $13712327.38  | 0.77%             | 2026-12-09      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V3.21 04/22/42                                                                                                                                      | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   6978000 | PA      | $5392184.95   | 0.30%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Invesco Exchange Traded Fund Trust II                                                | Invesco Exchange Traded Fund Trust II SR LN ETF                                                                                                        | CUSIP: 46138G508<br>LEI: O540V2L4S174Y60FMD36 | Long             | EC               | RF                | US        |    200000 | NS      | $4186000.00   | 0.24%             |  |  |  | No            |                  1 | On Loan: —       |
| iShares Trust                                                                        | iShares Trust PREFERRED AND INCOME SECURI                                                                                                              | CUSIP: 464288687<br>LEI: 5493000860OXIC4B5K91 | Long             | EC               | RF                | US        |    982618 | NS      | $31070381.16  | 1.75%             |  |  |  | No            |                  1 | On Loan: —       |
| iShares Trust                                                                        | iShares Trust 0-5YR HIGH YEILD CORP BD ET                                                                                                              | CUSIP: 46434V407<br>LEI: 5493000860OXIC4B5K91 | Long             | EC               | RF                | US        |   1032420 | NS      | $44703786.00  | 2.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Lincoln National Corp.                                                               | Lincoln National Corp. DEPOSITARY SHARES                                                                                                               | CUSIP: 534187885<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | EP               | CORP              | US        |    303742 | NS      | $8100799.14   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| REDWOOD FUNDING TRUST 2023-1                                                         | RFT 2023-1 A                                                                                                                                           | CUSIP: 75806CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7439595 | PA      | $7411047.30   | 0.42%             | 2059-07-27      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                       | RALI 2004-QS6 A1                                                                                                                                       | CUSIP: 76110HTG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9703 | PA      | $8464.30      | 0.00%             | 2019-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS V9.25 PERP 144a                                                                                                                                    | CUSIP: 902613BF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1963000 | PA      | $2162309.28   | 0.12%             | N/A             | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| American Electric Power Co, Inc.                                                     | AEP 3.25 03/01/50                                                                                                                                      | CUSIP: 025537AP6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   7339000 | PA      | $4919490.88   | 0.28%             | 2050-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co, Inc.                                                     | AEP V5.8 03/15/56 C                                                                                                                                    | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    876000 | PA      | $873812.91    | 0.05%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co, Inc.                                                     | AEP V6.05 03/15/56 D                                                                                                                                   | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |  10580000 | PA      | $10590886.82  | 0.60%             | 2056-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                           | AMT 2.95 01/15/51                                                                                                                                      | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   7273000 | PA      | $4710699.41   | 0.27%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTG TR 2020-2                                                              | JPMMT 2020-2 A5A                                                                                                                                       | CUSIP: 46591TAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298279 | PA      | $258201.99    | 0.01%             | 2050-07-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2017                                                        | JPMMT 2017-3 1A13                                                                                                                                      | CUSIP: 46647SBA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1062330 | PA      | $959555.13    | 0.05%             | 2047-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| J P Morgan Mtg Tr 2018-5                                                             | JPMMT 2018-5 A4                                                                                                                                        | CUSIP: 46649KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    827600 | PA      | $731017.29    | 0.04%             | 2048-10-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| J P Morgan Mtg Tr 2018-5                                                             | JPMMT 2018-5 A13                                                                                                                                       | CUSIP: 46649KAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1923740 | PA      | $1728852.16   | 0.10%             | 2048-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| J P Morgan Mtg Tr 2018-5                                                             | JPMMT 2018-5 B4                                                                                                                                        | CUSIP: 46649KBH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3448948 | PA      | $3134740.74   | 0.18%             | 2048-10-25      | Variable      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2018-3 A1                                                                                                                                        | CUSIP: 46649TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2464595 | PA      | $2219387.83   | 0.13%             | 2048-09-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2018-6 1A7                                                                                                                                       | CUSIP: 46650JAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3007512 | PA      | $2712495.24   | 0.15%             | 2048-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN MTG TR 2019-INV2                                                           | JPMMT 2019-INV2 A15                                                                                                                                    | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    536550 | PA      | $485841.36    | 0.03%             | 2050-02-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN MTG TR 2019-INV2                                                           | JPMMT 2019-INV2 B2A                                                                                                                                    | CUSIP: 46651DBC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    638595 | PA      | $570141.07    | 0.03%             | 2050-02-25      | Variable      | 3.45%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2019-7 B2A                                                                                                                                       | CUSIP: 46651GBC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4634832 | PA      | $4052505.41   | 0.23%             | 2050-02-25      | Variable      | 2.95%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2017                                                        | JPMMT 2020-1 A5A                                                                                                                                       | CUSIP: 46651XAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255432 | PA      | $222262.52    | 0.01%             | 2050-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2017                                                        | JPMMT 2020-1 A15                                                                                                                                       | CUSIP: 46651XBH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1772721 | PA      | $1593598.72   | 0.09%             | 2050-06-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2020-5 A5                                                                                                                                        | CUSIP: 46653JAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2359004 | PA      | $2041660.20   | 0.12%             | 2050-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN MTG TR 2020-LTV2                                                           | JPMMT 2020-LTV2 B3                                                                                                                                     | CUSIP: 46653LCG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1352966 | PA      | $1209925.15   | 0.07%             | 2050-11-25      | Variable      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-3                                                    | JPMMT 2022-3 A12                                                                                                                                       | CUSIP: 46654UBC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    268576 | PA      | $258464.39    | 0.01%             | 2052-08-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                  | KMI 3.25 08/01/50                                                                                                                                      | CUSIP: 49456BAS0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   8735000 | PA      | $5787599.88   | 0.33%             | 2050-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Lincoln National Corp.                                                               | LNC V9.25 PERP C                                                                                                                                       | CUSIP: 534187BR9<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |  13112000 | PA      | $14095045.98  | 0.80%             | N/A             | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Carlyle Finance LLC                                                                  | Carlyle Finance LLC CARLYLE FINANCE L.L.C. 4.625% SUBORDINATED NOTES DUE MAY 15, 2061                                                                  | CUSIP: 14314C105<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    163194 | NS      | $2934228.12   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Brookfield Oaktree Holdings LLC                                                      | Brookfield Oaktree Holdings LLC 6.625% PRF UNITS SERIES A                                                                                              | CUSIP: 674001300<br>LEI: 254900T1ODNFOK2L6090 | Long             | EP               | CORP              | US        |     53686 | NS      | $1178944.56   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Brookfield Oaktree Holdings LLC                                                      | Brookfield Oaktree Holdings LLC 6.550% PRF UNITS SERIES B                                                                                              | CUSIP: 674001409<br>LEI: 254900T1ODNFOK2L6090 | Long             | EP               | CORP              | US        |    102481 | NS      | $2216664.03   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Brookfield Renewable Partners L P                                                    | Brookfield Renewable Partners L P 5.25% CLASS A PREFERRED LIMITED PARTNERSHIP UNITS, SERIES 17                                                         | CUSIP: G16258231<br>LEI: VA8DFMRI2GY8Y7V79H93 | Long             | EP               | CORP              | BM        |    316505 | NS      | $5985109.55   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Agate Bay Mortgage Trust 2015-7                                                      | ABMT 2015-7 A3                                                                                                                                         | CUSIP: 00842CAC9<br>LEI: 549300LK2ZDVY7I44B84 | Long             | ABS-O            | CORP              | US        |    591062 | PA      | $543835.29    | 0.03%             | 2045-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| AGATE BAY MORTGAGE LOAN TRUST                                                        | ABMT 2016-3 A3                                                                                                                                         | CUSIP: 00842VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    601389 | PA      | $549512.53    | 0.03%             | 2046-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund IVB LP                                               | BVCLN 2024-CAR1 A                                                                                                                                      | CUSIP: 07336QAA0<br>LEI: 549300PYZPV2K342TZ72 | Long             | ABS-O            | CORP              | US        |   8011112 | PA      | $8032727.09   | 0.45%             | 2031-12-26      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund IVB LP                                               | BVCLN 2024-CAR1 B                                                                                                                                      | CUSIP: 07336QAB8<br>LEI: 549300PYZPV2K342TZ72 | Long             | ABS-O            | CORP              | US        |   1251374 | PA      | $1255986.90   | 0.07%             | 2031-12-26      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund IVB LP                                               | BVCLN 2024-CAR1 C                                                                                                                                      | CUSIP: 07336QAC6<br>LEI: 549300PYZPV2K342TZ72 | Long             | ABS-O            | CORP              | US        |    787902 | PA      | $790376.77    | 0.04%             | 2031-12-26      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund IVB LP                                               | BVCLN 2024-CAR1 D                                                                                                                                      | CUSIP: 07336QAD4<br>LEI: 549300PYZPV2K342TZ72 | Long             | ABS-O            | CORP              | US        |    347604 | PA      | $349534.86    | 0.02%             | 2031-12-26      | Floating      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund IVB LP                                               | BVCLN 2024-CAR1 E                                                                                                                                      | CUSIP: 07336QAE2<br>LEI: 549300PYZPV2K342TZ72 | Long             | ABS-O            | CORP              | US        |    695208 | PA      | $703260.62    | 0.04%             | 2031-12-26      | Floating      | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                           | BSABS 2003-AC7 A2                                                                                                                                      | CUSIP: 07384YPJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44497 | PA      | $37043.14     | 0.00%             | 2034-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Cim Trust                                                                            | CIM 2018-INV1 A4                                                                                                                                       | CUSIP: 12553XAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    572284 | PA      | $536683.36    | 0.03%             | 2048-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Cim Trust 2019-Inv2                                                                  | CIM 2019-INV2 A15                                                                                                                                      | CUSIP: 12554TAR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625208 | PA      | $591216.00    | 0.03%             | 2049-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Cim Trust                                                                            | CIM 2020-J1 A2                                                                                                                                         | CUSIP: 12559YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7919108 | PA      | $6626560.00   | 0.37%             | 2050-07-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Cim Trust                                                                            | CIM 2020-J2 A1                                                                                                                                         | CUSIP: 12568PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1873588 | PA      | $1551219.49   | 0.09%             | 2051-01-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Csmc Trust 2017                                                                      | CSMC 2017-HL2 A1                                                                                                                                       | CUSIP: 12652CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1588749 | PA      | $1437332.93   | 0.08%             | 2047-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| LYB International Finance III LLC                                                    | LYB 3.625 04/01/51                                                                                                                                     | CUSIP: 50249AAJ2<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |  12643000 | PA      | $8473765.93   | 0.48%             | 2051-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Macys Retail Holdings LLC                                                            | M 5.125 01/15/42                                                                                                                                       | CUSIP: 55616XAG2<br>LEI: 549300JMONK27O4SQQ19 | Long             | DBT              | CORP              | US        |   2676000 | PA      | $2112944.29   | 0.12%             | 2042-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Macys Retail Holdings LLC                                                            | M 4.3 02/15/43                                                                                                                                         | CUSIP: 55616XAJ6<br>LEI: 549300JMONK27O4SQQ19 | Long             | DBT              | CORP              | US        |   5783000 | PA      | $4167138.43   | 0.24%             | 2043-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                           | CSMC 2018-J1 A2                                                                                                                                        | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3965565 | PA      | $3569173.18   | 0.20%             | 2048-02-25      | Variable      | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.484 09/16/36                                                                                                                                     | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10774000 | PA      | $9363653.45   | 0.53%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                                  | D V6.875 02/01/55 A                                                                                                                                    | CUSIP: 25746UDT3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |  17283000 | PA      | $18075145.05  | 1.02%             | 2055-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                                  | D V7 06/01/54 B                                                                                                                                        | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   6840000 | PA      | $7417090.80   | 0.42%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | CAS 2016-C02 1B                                                                                                                                        | CUSIP: 30711XCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5697331 | PA      | $5966656.48   | 0.34%             | 2028-09-25      | Floating      | 16.71%                | No            |                  2 | On Loan: No      |
| U S Bank National Assn Minneapolis Minnesota                                         | USCLN 2023-1 B                                                                                                                                         | CUSIP: 90357PAV6<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | ABS-O            | CORP              | US        |   5876009 | PA      | $5944499.57   | 0.34%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| USB AUTO OWNER TRUST 2025-1                                                          | USCAR 2025-1A R                                                                                                                                        | CUSIP: 90367VAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40000 | PA      | $12036495.20  | 0.68%             | 2032-12-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Valero Energy Corp.                                                                  | VLO 3.65 12/01/51                                                                                                                                      | CUSIP: 91913YBD1<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |   7712000 | PA      | $5414805.81   | 0.31%             | 2051-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.875 11/20/50                                                                                                                                      | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  11884000 | PA      | $7578852.96   | 0.43%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC 3 04/22/26                                                                                                                                         | CUSIP: 949746RW3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   6366000 | PA      | $6329132.97   | 0.36%             | 2026-04-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC 3 10/23/26                                                                                                                                         | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   8246000 | PA      | $8163515.26   | 0.46%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                 | WFMBS 2018-1 A1                                                                                                                                        | CUSIP: 94989UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    403099 | PA      | $371272.99    | 0.02%             | 2047-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2020-1 Trust                                  | WFMBS 2020-1 A5                                                                                                                                        | CUSIP: 95002KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404042 | PA      | $350336.54    | 0.02%             | 2049-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2006 Ar2 Trust                                | WFMBS 2020-3 A1                                                                                                                                        | CUSIP: 95002TAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6704605 | PA      | $5835366.60   | 0.33%             | 2050-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Western Alliance Bank                                                                | WAL 2021-CL2 M1                                                                                                                                        | CUSIP: 95763PNC1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-O            | CORP              | US        |  10815656 | PA      | $11394873.15  | 0.64%             | 2059-07-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Western Alliance Bank                                                                | WAL 2021-CL2 M3                                                                                                                                        | CUSIP: 95763PNE7<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-O            | CORP              | US        |   8814333 | PA      | $9326136.18   | 0.53%             | 2059-07-25      | Variable      | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | STACR 2015-DNA3 B                                                                                                                                      | CUSIP: 3137G0GZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3046123 | PA      | $3061047.03   | 0.17%             | 2028-04-25      | Floating      | 13.81%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | STACR 2017-HQA3 M2B                                                                                                                                    | CUSIP: 3137G0RY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    840267 | PA      | $854314.89    | 0.05%             | 2030-04-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | STACR 2018-SPI4 B                                                                                                                                      | CUSIP: 3137G1DQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6599586 | PA      | $4829387.55   | 0.27%             | 2048-11-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                        | SCRT 2017-2 M1                                                                                                                                         | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    389482 | PA      | $387820.17    | 0.02%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                        | SCRT 2017-2 M2                                                                                                                                         | CUSIP: 35563PBJ7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  16250000 | PA      | $15567417.13  | 0.88%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                        | SCRT 2017-4 M                                                                                                                                          | CUSIP: 35563PDJ5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1304770 | PA      | $1290149.28   | 0.07%             | 2057-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                        | SCRT 2018-1 M                                                                                                                                          | CUSIP: 35563PES4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   5823704 | PA      | $5721730.94   | 0.32%             | 2057-05-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                        | STACR 2021-DNA7 M1                                                                                                                                     | CUSIP: 35564KMA4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2690888 | PA      | $2689237.51   | 0.15%             | 2041-11-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                        | STACR 2022-DNA2 M1A                                                                                                                                    | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1445128 | PA      | $1445123.68   | 0.08%             | 2042-02-25      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 3.6 04/01/40                                                                                                                                      | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  10515000 | PA      | $8443471.40   | 0.48%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 3.85 04/01/60                                                                                                                                     | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  10379000 | PA      | $7131478.36   | 0.40%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets PLC                                                               | BPLN V4.875 PERP                                                                                                                                       | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |  31650000 | PA      | $31425427.43  | 1.77%             | N/A             | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V6.3 PERP DD                                                                                                                                       | CUSIP: 060505EU4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7019000 | PA      | $7059457.52   | 0.40%             | N/A             | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V1.197 10/24/26 MTN                                                                                                                                | CUSIP: 06051GJK6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  24232000 | PA      | $24185300.82  | 1.37%             | 2026-10-24      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V1.734 07/22/27                                                                                                                                    | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  13115000 | PA      | $12853786.05  | 0.73%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V5.08 01/20/27                                                                                                                                     | CUSIP: 06051GLE7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  31971000 | PA      | $32030619.20  | 1.81%             | 2027-01-20      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                                                      | BANK 2020-BN26 XA                                                                                                                                      | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  28195900 | PA      | $1110625.24   | 0.06%             | 2063-03-16      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                         | BACR V3.33 11/24/42                                                                                                                                    | CUSIP: 06738EBW4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   4303000 | PA      | $3321981.92   | 0.19%             | 2042-11-24      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Energy Company                                                    | BRKHEC 2.85 05/15/51                                                                                                                                   | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |   6243000 | PA      | $3959179.06   | 0.22%             | 2051-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Biogen Inc                                                                           | BIIB 3.15 05/01/50                                                                                                                                     | CUSIP: 09062XAG8<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |  12236000 | PA      | $7945217.30   | 0.45%             | 2050-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 3.001 03/17/52                                                                                                                                    | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   6502000 | PA      | $4231396.01   | 0.24%             | 2052-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.5 06/01/41                                                                                                                                      | CUSIP: 161175BZ6<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |  10201000 | PA      | $7441084.77   | 0.42%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-5                                                        | CHAOT 2024-5A R1                                                                                                                                       | CUSIP: 16144QAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32000 | PA      | $7290116.13   | 0.41%             | 2032-01-26      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-4                                                        | CHAOT 2024-4A R1                                                                                                                                       | CUSIP: 16144YAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27000 | PA      | $7603031.68   | 0.43%             | 2031-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST.                                                              | CHAOT 2025-1A R1                                                                                                                                       | CUSIP: 16145NAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27000 | PA      | $4671087.10   | 0.26%             | 2032-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST.                                                              | CHAOT 2025-1A AIO                                                                                                                                      | CUSIP: 16145NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 583480548 | PA      | $7524156.72   | 0.42%             | 2032-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                         | CHASE 2019-ATR1 B3                                                                                                                                     | CUSIP: 16158RBA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1979660 | PA      | $1851511.48   | 0.10%             | 2049-04-25      | Variable      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | CAS 2016-C04 1B                                                                                                                                        | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4713475 | PA      | $5011666.83   | 0.28%             | 2029-01-25      | Floating      | 14.71%                | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | CHASE 2021-CL1 M1                                                                                                                                      | CUSIP: 46591HBX7<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |  18702304 | PA      | $18461068.83  | 1.04%             | 2050-02-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | CHASE 2021-CL1 M2                                                                                                                                      | CUSIP: 46591HBY5<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   1933117 | PA      | $1887926.09   | 0.11%             | 2050-02-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | CACLN 2025-1 B                                                                                                                                         | CUSIP: 46591HCS7<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   9136226 | PA      | $9175864.75   | 0.52%             | 2033-02-25      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | CACLN 2025-1 E                                                                                                                                         | CUSIP: 46591HCV0<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   5024924 | PA      | $5044318.67   | 0.28%             | 2033-02-25      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Fresb 2017-Sb42 Mortgage Trust                                                       | FRESB 2020-SB79 X1                                                                                                                                     | CUSIP: 30316VAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27308583 | PA      | $1294861.05   | 0.07%             | 2040-07-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2020-SB81 X1                                                                                                                                     | CUSIP: 30317QAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  69181871 | PA      | $3397590.88   | 0.19%             | 2040-10-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2021-SB82 X1                                                                                                                                     | CUSIP: 30318CAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  28078740 | PA      | $652625.74    | 0.04%             | 2040-10-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2021-SB83 X1                                                                                                                                     | CUSIP: 30318NAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  46475156 | PA      | $1275194.62   | 0.07%             | 2041-01-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2021-SB86 X1                                                                                                                                     | CUSIP: 30320MAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 121326324 | PA      | $2467474.12   | 0.14%             | 2041-03-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2021-SB89 X1                                                                                                                                     | CUSIP: 30320QAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  58417226 | PA      | $1383033.68   | 0.08%             | 2041-06-25      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2021-SB87 X1                                                                                                                                     | CUSIP: 30320VAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  71046869 | PA      | $2033546.10   | 0.11%             | 2041-04-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2021-SB84 X1                                                                                                                                     | CUSIP: 30320WAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24902519 | PA      | $512045.60    | 0.03%             | 2041-01-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FRESB 2021-SB88 MTG TR                                                               | FRESB 2021-SB88 X1                                                                                                                                     | CUSIP: 30321CAU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  75271954 | PA      | $2148404.59   | 0.12%             | 2041-05-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| FRESB 2021-SB85 MTG TR                                                               | FRESB 2021-SB85 X1                                                                                                                                     | CUSIP: 30321KAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  64367978 | PA      | $1868396.43   | 0.11%             | 2041-02-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| FRESB MTG TR 2022-SB94                                                               | FRESB 2022-SB94 X1                                                                                                                                     | CUSIP: 30324QAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 110415293 | PA      | $1354365.02   | 0.08%             | 2041-11-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2013-3 A3                                                                                                                                        | CUSIP: 46640MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1134116 | PA      | $1065817.23   | 0.06%             | 2043-07-25      | Variable      | 3.36%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13                        | JPMMT 2014-IVR6 B4                                                                                                                                     | CUSIP: 46643QAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2981500 | PA      | $3084730.86   | 0.17%             | 2044-08-25      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2016-1 A13                                                                                                                                       | CUSIP: 46646BAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1592247 | PA      | $1454448.52   | 0.08%             | 2046-05-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2017                                                        | JPMMT 2017-3 1A3                                                                                                                                       | CUSIP: 46647SAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2025979 | PA      | $1839943.59   | 0.10%             | 2047-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2017-1 A8                                                                                                                                        | CUSIP: 46648CAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1579820 | PA      | $1422270.21   | 0.08%             | 2047-01-25      | Variable      | 3.45%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2017-2 A3                                                                                                                                        | CUSIP: 46648HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313897 | PA      | $284083.09    | 0.02%             | 2047-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                               | MLMI 2003-A1 2A                                                                                                                                        | CUSIP: 589929D88<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3058 | PA      | $3063.90      | 0.00%             | 2032-12-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc.                                                               | MU 3.477 11/01/51                                                                                                                                      | CUSIP: 595112BU6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |  11880000 | PA      | $8491467.72   | 0.48%             | 2051-11-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-24

**Name of Applicant:** Touchstone Strategic Trust

**Signature:** Terri Lucas

**Name of Signer:** Terri Lucas

**Title:** Controller & Treasurer