# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0001752724-23-014646
**Filing Date:** 2023-1
**Character Count:** 374522
**Document Hash:** 2b79e581e18a7df1113ac30dad7d4c7d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014646.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014646

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SALEM STREET TRUST
- **CENTRAL INDEX KEY:** 0000035315
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 23556487

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FIXED INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FLEXIBLE BOND FUND
- **DATE OF NAME CHANGE:** 19860904

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY CORPORATE BOND FUND INC
- **DATE OF NAME CHANGE:** 19851225

## Series and Classes Contracts Data

### Fidelity Intermediate Bond Fund (Series ID: S000017674)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000048836 | Fidelity Intermediate Bond Fund | FTHRX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **Intermediate Bond Fund**

**November 30, 2022**

IBF-NPRT1-0123

1.813081.118 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Nonconvertible Bonds - 39.8%** | &nbsp;&nbsp;**Nonconvertible Bonds - 39.8%** | &nbsp;&nbsp;**Nonconvertible Bonds - 39.8%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| COMMUNICATION SERVICES - 1.9%  |  |  |
| Diversified Telecommunication Services - 1.0% |  |  |
| AT&T, Inc.: |  |  |
|  1.65% 2/1/28  | 4281  | 3675  |
|  4.3% 2/15/30  | 6552  | 6225  |
| NTT Finance Corp.: |  |  |
|  1.162% 4/3/26 (b) | 4930  | 4379  |
|  1.591% 4/3/28 (b) | 6814  | 5764  |
| Verizon Communications, Inc.: |  |  |
|  2.1% 3/22/28  | 5134  | 4492  |
|  2.355% 3/15/32  | 1666  | 1337  |
|  |  | 25872 |
| Media - 0.4% |  |  |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: |  |  |
|  4.2% 3/15/28  | 3276  | 3047  |
|  4.908% 7/23/25  | 3158  | 3108  |
| Discovery Communications LLC 3.625% 5/15/30  | 1082 | 912 |
| Magallanes, Inc.: |  |  |
|  3.755% 3/15/27 (b) | 3181  | 2899  |
|  4.054% 3/15/29 (b) | 535  | 469  |
|  |  | 10435 |
| Wireless Telecommunication Services - 0.5% |  |  |
| Rogers Communications, Inc. 3.2% 3/15/27 (b) | 1663 | 1552 |
| T-Mobile U.S.A., Inc.: |  |  |
|  2.4% 3/15/29  | 2296  | 1950  |
|  2.625% 4/15/26  | 5569  | 5107  |
|  3.5% 4/15/25  | 2752  | 2665  |
|  |  | 11274 |
| TOTAL COMMUNICATION SERVICES |  | 47581 |
| CONSUMER DISCRETIONARY - 2.5%  |  |  |
| Automobiles - 1.3% |  |  |
| General Motors Co. 6.125% 10/1/25  | 3276 | 3319 |
| General Motors Financial Co., Inc.: |  |  |
|  1.05% 3/8/24  | 1318  | 1247  |
|  1.25% 1/8/26  | 3715  | 3256  |
|  2.35% 2/26/27  | 2686  | 2365  |
|  3.25% 1/5/23  | 3603  | 3597  |
|  4.15% 6/19/23  | 3946  | 3920  |
|  4.35% 4/9/25  | 3931  | 3847  |
| Volkswagen Group of America Finance LLC: |  |  |
|  1.25% 11/24/25 (b) | 8052  | 7209  |
|  3.125% 5/12/23 (b) | 1548  | 1534  |
|  4.35% 6/8/27 (b) | 2839  | 2747  |
|  |  | 33041 |
| Household Durables - 0.2% |  |  |
| Toll Brothers Finance Corp.: |  |  |
|  4.875% 11/15/25  | 2883  | 2768  |
|  4.875% 3/15/27  | 1404  | 1315  |
|  |  | 4083 |
| Multiline Retail - 0.3% |  |  |
| Dollar Tree, Inc. 4% 5/15/25  | 7993 | 7831 |
| Specialty Retail - 0.7% |  |  |
| AutoZone, Inc.: |  |  |
|  3.625% 4/15/25  | 354  | 344  |
|  4% 4/15/30  | 3276  | 3063  |
| Lowe's Companies, Inc.: |  |  |
|  1.7% 9/15/28  | 3276  | 2787  |
|  4.5% 4/15/30  | 4586  | 4462  |
| O'Reilly Automotive, Inc.: |  |  |
|  3.9% 6/1/29  | 3276  | 3065  |
|  4.2% 4/1/30  | 367  | 348  |
| Ross Stores, Inc. 0.875% 4/15/26  | 5302 | 4664 |
| The Home Depot, Inc. 2.5% 4/15/27  | 234 | 217 |
|  |  | 18950 |
| TOTAL CONSUMER DISCRETIONARY |  | 63905 |
| CONSUMER STAPLES - 2.0%  |  |  |
| Beverages - 0.1% |  |  |
| Anheuser-Busch InBev Worldwide, Inc. 3.5% 6/1/30  | 1111 | 1026 |
| Molson Coors Beverage Co. 3% 7/15/26  | 2948 | 2765 |
|  |  | 3791 |
| Food & Staples Retailing - 0.1% |  |  |
| 7-Eleven, Inc. 0.95% 2/10/26 (b) | 1515 | 1329 |
| Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b) | 1785 | 1521 |
|  |  | 2850 |
| Food Products - 0.6% |  |  |
| JBS U.S.A. Lux SA / JBS Food Co.: |  |  |
|  2.5% 1/15/27 (b) | 3770  | 3286  |
|  3% 2/2/29 (b) | 3276  | 2748  |
|  5.125% 2/1/28 (b) | 7862  | 7497  |
| JDE Peet's BV 1.375% 1/15/27 (b) | 1001 | 845 |
|  |  | 14376 |
| Tobacco - 1.2% |  |  |
| Altria Group, Inc.: |  |  |
|  2.35% 5/6/25  | 658  | 617  |
|  4.8% 2/14/29  | 1001  | 961  |
| BAT Capital Corp.: |  |  |
|  3.222% 8/15/24  | 1965  | 1895  |
|  4.7% 4/2/27  | 4143  | 3995  |
| BAT International Finance PLC 1.668% 3/25/26  | 8124 | 7201 |
| Imperial Tobacco Finance PLC 3.125% 7/26/24 (b) | 5438 | 5186 |
| Philip Morris International, Inc. 5.125% 11/17/27  | 10400 | 10422 |
|  |  | 30277 |
| TOTAL CONSUMER STAPLES |  | 51294 |
| ENERGY - 3.3%  |  |  |
| Energy Equipment & Services - 0.1% |  |  |
| Baker Hughes Co. 2.061% 12/15/26  | 1245 | 1121 |
| Oil, Gas & Consumable Fuels - 3.2% |  |  |
| Canadian Natural Resources Ltd. 3.9% 2/1/25  | 2228 | 2180 |
| Cenovus Energy, Inc. 4.25% 4/15/27  | 7207 | 6904 |
| DCP Midstream Operating LP: |  |  |
|  3.875% 3/15/23  | 2313  | 2301  |
|  5.375% 7/15/25  | 3931  | 3882  |
| Eastern Gas Transmission & Storage, Inc. 3% 11/15/29  | 3603 | 3144 |
| Energy Transfer LP: |  |  |
|  2.9% 5/15/25  | 3931  | 3708  |
|  3.6% 2/1/23  | 2150  | 2143  |
|  4.2% 9/15/23  | 1088  | 1080  |
|  4.5% 4/15/24  | 5330  | 5263  |
|  4.95% 6/15/28  | 3276  | 3169  |
|  5.875% 1/15/24  | 3953  | 3968  |
| EQT Corp.: |  |  |
|  3.9% 10/1/27  | 1965  | 1819  |
|  5.7% 4/1/28  | 352  | 352  |
| Equinor ASA 1.75% 1/22/26  | 723 | 663 |
| Hess Corp. 4.3% 4/1/27  | 12776 | 12280 |
| Hess Midstream Partners LP 5.625% 2/15/26 (b) | 5241 | 5152 |
| Kinder Morgan Energy Partners LP 3.5% 9/1/23  | 1980 | 1954 |
| MPLX LP: |  |  |
|  1.75% 3/1/26  | 3210  | 2865  |
|  4% 2/15/25  | 328  | 318  |
|  4% 3/15/28  | 3276  | 3067  |
|  4.5% 7/15/23  | 649  | 645  |
| Occidental Petroleum Corp. 2.9% 8/15/24  | 4024 | 3863 |
| Petroleos Mexicanos 6.7% 2/16/32  | 3107 | 2395 |
| Plains All American Pipeline LP/PAA Finance Corp. 3.85% 10/15/23  | 1736 | 1713 |
| Southeast Supply Header LLC 4.25% 6/15/24 (b) | 2009 | 1813 |
| The Williams Companies, Inc.: |  |  |
|  4.3% 3/4/24  | 1631  | 1612  |
|  4.55% 6/24/24  | 1669  | 1652  |
| Western Gas Partners LP 3 month U.S. LIBOR + 1.100% 5.0407% 1/13/23 (c)(d) | 1358 | 1355 |
|  |  | 81260 |
| TOTAL ENERGY |  | 82381 |
| FINANCIALS - 20.6%  |  |  |
| Banks - 11.2% |  |  |
| Bank of America Corp.: |  |  |
|  1.197% 10/24/26 (c) | 11465  | 10178  |
|  1.319% 6/19/26 (c) | 3734  | 3369  |
|  2.496% 2/13/31 (c) | 3276  | 2695  |
|  3.384% 4/2/26 (c) | 5798  | 5521  |
|  3.97% 3/5/29 (c) | 3276  | 3043  |
|  3.974% 2/7/30 (c) | 4455  | 4097  |
|  4.25% 10/22/26  | 3873  | 3792  |
|  4.271% 7/23/29 (c) | 2293  | 2158  |
|  4.45% 3/3/26  | 2283  | 2245  |
|  4.948% 7/22/28 (c) | 5700  | 5588  |
| Bank of Nova Scotia 4.5% 12/16/25  | 4193 | 4141 |
| Barclays PLC: |  |  |
|  1.007% 12/10/24 (c) | 2582  | 2442  |
|  2.279% 11/24/27 (c) | 8576  | 7376  |
|  2.852% 5/7/26 (c) | 6455  | 5952  |
|  3.932% 5/7/25 (c) | 5916  | 5707  |
|  5.304% 8/9/26 (c) | 2635  | 2591  |
| BNP Paribas SA: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(c)(d) | 3654  | 3174  |
|  2.219% 6/9/26 (b)(c) | 2279  | 2093  |
| Capital One NA 2.28% 1/28/26 (c) | 3728 | 3468 |
| Citigroup, Inc.: |  |  |
|  3.106% 4/8/26 (c) | 3669  | 3480  |
|  4.6% 3/9/26  | 2180  | 2149  |
| Danske Bank A/S 3.875% 9/12/23 (b) | 1965 | 1936 |
| DNB Bank ASA: |  |  |
|  1.535% 5/25/27 (b)(c) | 2813  | 2454  |
|  1.605% 3/30/28 (b)(c) | 6094  | 5181  |
| First Citizens Bank & Trust Co. 3.929% 6/19/24 (c) | 495 | 489 |
| HSBC Holdings PLC: |  |  |
|  0.976% 5/24/25 (c) | 1638  | 1507  |
|  1.645% 4/18/26 (c) | 8191  | 7360  |
|  2.251% 11/22/27 (c) | 9709  | 8369  |
|  2.999% 3/10/26 (c) | 5241  | 4891  |
|  4.292% 9/12/26 (c) | 3276  | 3121  |
|  5.21% 8/11/28 (c) | 4111  | 3967  |
| Huntington Bancshares, Inc. 4.443% 8/4/28 (c) | 3284 | 3119 |
| ING Groep NV 1.726% 4/1/27 (c) | 2376 | 2097 |
| Intesa Sanpaolo SpA: |  |  |
|  3.375% 1/12/23 (b) | 3014  | 3005  |
|  5.71% 1/15/26 (b) | 3236  | 3126  |
| JPMorgan Chase & Co.: |  |  |
|  1.045% 11/19/26 (c) | 3826  | 3375  |
|  1.47% 9/22/27 (c) | 6480  | 5625  |
|  2.069% 6/1/29 (c) | 4914  | 4132  |
|  2.083% 4/22/26 (c) | 4652  | 4322  |
|  2.522% 4/22/31 (c) | 3276  | 2709  |
|  2.947% 2/24/28 (c) | 11853  | 10782  |
|  2.956% 5/13/31 (c) | 4616  | 3849  |
|  3.797% 7/23/24 (c) | 3171  | 3138  |
|  3.875% 9/10/24  | 3386  | 3328  |
|  4.125% 12/15/26  | 3322  | 3245  |
|  4.25% 10/1/27  | 2621  | 2555  |
| Mitsubishi UFJ Financial Group, Inc.: |  |  |
|  1.64% 10/13/27 (c) | 7999  | 6914  |
|  2.193% 2/25/25  | 4678  | 4393  |
|  4.05% 9/11/28  | 3276  | 3086  |
|  5.017% 7/20/28 (c) | 8910  | 8734  |
| Mizuho Financial Group, Inc.: |  |  |
|  1.234% 5/22/27 (c) | 6552  | 5668  |
|  4.254% 9/11/29 (c) | 1965  | 1812  |
| NatWest Group PLC: |  |  |
|  1.642% 6/14/27 (c) | 2293  | 1963  |
|  2.359% 5/22/24 (c) | 2714  | 2662  |
|  3.073% 5/22/28 (c) | 2293  | 2030  |
|  4.519% 6/25/24 (c) | 4506  | 4459  |
| Rabobank Nederland 1.98% 12/15/27 (b)(c) | 2686 | 2326 |
| Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c) | 5891 | 5112 |
| Societe Generale: |  |  |
|  1.792% 6/9/27 (b)(c) | 4104  | 3492  |
|  4.25% 4/14/25 (b) | 1994  | 1905  |
|  4.677% 6/15/27 (b) | 5569  | 5432  |
|  4.75% 11/24/25 (b) | 4777  | 4550  |
| Sumitomo Mitsui Financial Group, Inc. 1.402% 9/17/26  | 5765 | 5013 |
| SVB Financial Group: |  |  |
|  2.1% 5/15/28  | 1007  | 826  |
|  3.125% 6/5/30  | 1934  | 1582  |
| The Toronto-Dominion Bank 2.8% 3/10/27  | 4990 | 4581 |
| Truist Financial Corp. 4.26% 7/28/26 (c) | 5759 | 5654 |
| Wells Fargo & Co.: |  |  |
|  2.164% 2/11/26 (c) | 5575  | 5198  |
|  3.526% 3/24/28 (c) | 3510  | 3260  |
|  4.3% 7/22/27  | 6407  | 6188  |
| Westpac Banking Corp.: |  |  |
|  U.S. TREASURY 1 YEAR INDEX + 2.680% 5.405% 8/10/33 (c)(d) | 4259  | 3933  |
|  4.11% 7/24/34 (c) | 1178  | 1005  |
|  |  | 284719 |
| Capital Markets - 3.2% |  |  |
| Ares Capital Corp. 3.25% 7/15/25  | 9000 | 8232 |
| Credit Suisse Group AG: |  |  |
|  1.305% 2/2/27 (b)(c) | 5890  | 4632  |
|  2.593% 9/11/25 (b)(c) | 3276  | 2902  |
|  4.207% 6/12/24 (b)(c) | 8845  | 8583  |
|  4.55% 4/17/26  | 3276  | 2847  |
|  6.373% 7/15/26 (b)(c) | 4455  | 4131  |
| Deutsche Bank AG 4.5% 4/1/25  | 4541 | 4306 |
| Deutsche Bank AG New York Branch: |  |  |
|  1.447% 4/1/25 (c) | 3868  | 3568  |
|  2.129% 11/24/26 (c) | 6434  | 5631  |
|  2.222% 9/18/24 (c) | 4403  | 4224  |
|  2.311% 11/16/27 (c) | 4775  | 3989  |
| Goldman Sachs Group, Inc. 4.482% 8/23/28 (c) | 3462 | 3324 |
| Moody's Corp.: |  |  |
|  3.25% 1/15/28  | 4586  | 4237  |
|  3.75% 3/24/25  | 2605  | 2538  |
| Morgan Stanley: |  |  |
|  0.79% 5/30/25 (c) | 1638  | 1518  |
|  2.188% 4/28/26 (c) | 3603  | 3351  |
|  3.737% 4/24/24 (c) | 3733  | 3707  |
|  3.875% 1/27/26  | 3014  | 2920  |
| S&P Global, Inc. 2.45% 3/1/27 (b) | 4586 | 4217 |
| State Street Corp. 2.901% 3/30/26 (c) | 199 | 189 |
| UBS Group AG 1.008% 7/30/24 (b)(c) | 2724 | 2640 |
|  |  | 81686 |
| Consumer Finance - 3.2% |  |  |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: |  |  |
|  1.75% 1/30/26  | 3495  | 3084  |
|  2.45% 10/29/26  | 1390  | 1222  |
|  3% 10/29/28  | 1456  | 1230  |
|  3.3% 1/23/23  | 3800  | 3789  |
|  4.125% 7/3/23  | 4646  | 4604  |
|  6.5% 7/15/25  | 1093  | 1104  |
| Ally Financial, Inc.: |  |  |
|  1.45% 10/2/23  | 640  | 618  |
|  2.2% 11/2/28  | 4939  | 3944  |
|  3.05% 6/5/23  | 2817  | 2779  |
|  4.625% 3/30/25  | 1965  | 1928  |
|  4.75% 6/9/27  | 7141  | 6723  |
|  5.125% 9/30/24  | 6421  | 6370  |
|  5.75% 11/20/25  | 1336  | 1318  |
| Capital One Financial Corp.: |  |  |
|  1.878% 11/2/27 (c) | 11269  | 9779  |
|  2.359% 7/29/32 (c) | 6552  | 4774  |
|  2.636% 3/3/26 (c) | 3276  | 3055  |
|  3.2% 2/5/25  | 2293  | 2202  |
|  4.985% 7/24/26 (c) | 2495  | 2473  |
| Discover Financial Services 4.5% 1/30/26  | 1591 | 1532 |
| Ford Motor Credit Co. LLC: |  |  |
|  2.3% 2/10/25  | 2621  | 2405  |
|  3.375% 11/13/25  | 8189  | 7555  |
| Synchrony Financial: |  |  |
|  4.25% 8/15/24  | 3276  | 3195  |
|  4.375% 3/19/24  | 4395  | 4316  |
|  |  | 79999 |
| Diversified Financial Services - 1.7% |  |  |
| Athene Global Funding: |  |  |
|  0.95% 1/8/24 (b) | 4427  | 4197  |
|  1.73% 10/2/26 (b) | 4452  | 3839  |
|  2.646% 10/4/31 (b) | 6486  | 4991  |
| Blackstone Private Credit Fund 4.7% 3/24/25  | 10119 | 9890 |
| Brixmor Operating Partnership LP: |  |  |
|  3.85% 2/1/25  | 1919  | 1841  |
|  4.125% 6/15/26  | 882  | 829  |
| Corebridge Financial, Inc.: |  |  |
|  3.65% 4/5/27 (b) | 1815  | 1699  |
|  3.85% 4/5/29 (b) | 1139  | 1037  |
|  3.9% 4/5/32 (b) | 1356  | 1196  |
| Equitable Holdings, Inc. 4.35% 4/20/28  | 7076 | 6730 |
| Jackson Financial, Inc.: |  |  |
|  5.17% 6/8/27  | 1257  | 1232  |
|  5.67% 6/8/32  | 4927  | 4681  |
|  |  | 42162 |
| Insurance - 1.3% |  |  |
| AFLAC, Inc. 3.6% 4/1/30  | 735 | 678 |
| AIA Group Ltd.: |  |  |
|  3.375% 4/7/30 (b) | 2279  | 2012  |
|  3.9% 4/6/28 (b) | 5569  | 5236  |
| American International Group, Inc. 2.5% 6/30/25  | 2446 | 2310 |
| Aon PLC 3.875% 12/15/25  | 4072 | 3958 |
| Equitable Financial Life Global Funding: |  |  |
|  1.3% 7/12/26 (b) | 3276  | 2864  |
|  1.4% 8/27/27 (b) | 3276  | 2755  |
|  1.7% 11/12/26 (b) | 4175  | 3674  |
| Five Corners Funding Trust II 2.85% 5/15/30 (b) | 2963 | 2514 |
| Marsh & McLennan Companies, Inc. 3.875% 3/15/24  | 1585 | 1563 |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) | 2819 | 2630 |
| Willis Group North America, Inc. 4.5% 9/15/28  | 3603 | 3404 |
|  |  | 33598 |
| TOTAL FINANCIALS |  | 522164 |
| HEALTH CARE - 1.6%  |  |  |
| Health Care Equipment & Supplies - 0.1% |  |  |
| Alcon Finance Corp. 2.75% 9/23/26 (b) | 2685 | 2461 |
| Health Care Providers & Services - 1.2% |  |  |
| Centene Corp.: |  |  |
|  2.45% 7/15/28  | 2742  | 2306  |
|  4.25% 12/15/27  | 3276  | 3074  |
| Cigna Corp. 3.4% 3/1/27  | 2948 | 2784 |
| HCA Holdings, Inc.: |  |  |
|  3.125% 3/15/27 (b) | 8583  | 7807  |
|  3.5% 9/1/30  | 1638  | 1408  |
|  5.625% 9/1/28  | 3276  | 3266  |
|  5.875% 2/1/29  | 1806  | 1818  |
| Humana, Inc.: |  |  |
|  1.35% 2/3/27  | 3931  | 3391  |
|  3.7% 3/23/29  | 1041  | 959  |
| Sabra Health Care LP: |  |  |
|  3.2% 12/1/31  | 2600  | 1950  |
|  3.9% 10/15/29  | 885  | 731  |
| UnitedHealth Group, Inc. 2.75% 2/15/23  | 448 | 446 |
|  |  | 29940 |
| Pharmaceuticals - 0.3% |  |  |
| Elanco Animal Health, Inc. 5.772% 8/28/23  | 420 | 418 |
| GSK Consumer Healthcare Capital U.S. LLC 3.375% 3/24/27  | 7000 | 6535 |
| Mylan NV 4.55% 4/15/28  | 1002 | 944 |
| Viatris, Inc.: |  |  |
|  1.65% 6/22/25  | 290  | 263  |
|  2.7% 6/22/30  | 1005  | 802  |
|  |  | 8962 |
| TOTAL HEALTH CARE |  | 41363 |
| INDUSTRIALS - 2.2%  |  |  |
| Aerospace & Defense - 0.7% |  |  |
| BAE Systems Holdings, Inc. 3.8% 10/7/24 (b) | 1416 | 1380 |
| BAE Systems PLC 3.4% 4/15/30 (b) | 1006 | 895 |
| The Boeing Co.: |  |  |
|  1.167% 2/4/23  | 3772  | 3744  |
|  2.7% 2/1/27  | 3276  | 2960  |
|  5.04% 5/1/27  | 6027  | 5969  |
|  5.15% 5/1/30  | 2752  | 2685  |
|  |  | 17633 |
| Airlines - 0.5% |  |  |
| American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29  | 2890 | 2419 |
| Delta Air Lines, Inc.: |  |  |
|  2.9% 10/28/24  | 3603  | 3416  |
|  3.8% 4/19/23  | 1834  | 1815  |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29  | 1976 | 1700 |
| United Airlines, Inc. equipment trust certificate 4.6% 9/1/27  | 2207 | 2005 |
|  |  | 11355 |
| Building Products - 0.0% |  |  |
| Carrier Global Corp. 2.493% 2/15/27  | 983 | 893 |
| Machinery - 0.3% |  |  |
| Daimler Trucks Finance North America LLC 2% 12/14/26 (b) | 4559 | 3998 |
| Otis Worldwide Corp. 2.056% 4/5/25  | 3400 | 3185 |
|  |  | 7183 |
| Trading Companies & Distributors - 0.3% |  |  |
| Air Lease Corp.: |  |  |
|  0.7% 2/15/24  | 1801  | 1696  |
|  0.8% 8/18/24  | 2701  | 2484  |
|  2.2% 1/15/27  | 2524  | 2202  |
|  4.25% 2/1/24  | 1937  | 1903  |
|  |  | 8285 |
| Transportation Infrastructure - 0.4% |  |  |
| Avolon Holdings Funding Ltd.: |  |  |
|  2.875% 2/15/25 (b) | 4665  | 4283  |
|  3.25% 2/15/27 (b) | 1829  | 1555  |
|  3.95% 7/1/24 (b) | 1996  | 1901  |
|  4.375% 5/1/26 (b) | 670  | 609  |
|  5.5% 1/15/26 (b) | 1203  | 1139  |
|  |  | 9487 |
| TOTAL INDUSTRIALS |  | 54836 |
| INFORMATION TECHNOLOGY - 0.8%  |  |  |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |
| Broadcom, Inc. 1.95% 2/15/28 (b) | 3276 | 2769 |
| Micron Technology, Inc. 4.185% 2/15/27  | 5602 | 5356 |
|  |  | 8125 |
| Software - 0.5% |  |  |
| Oracle Corp. 1.65% 3/25/26  | 2045 | 1836 |
| Roper Technologies, Inc.: |  |  |
|  1.4% 9/15/27  | 3276  | 2800  |
|  2% 6/30/30  | 3754  | 3008  |
| VMware, Inc.: |  |  |
|  1% 8/15/24  | 4004  | 3728  |
|  1.4% 8/15/26  | 1758  | 1546  |
|  |  | 12918 |
| TOTAL INFORMATION TECHNOLOGY |  | 21043 |
| MATERIALS - 0.4%  |  |  |
| Chemicals - 0.4% |  |  |
| International Flavors & Fragrances, Inc.: |  |  |
|  1.23% 10/1/25 (b) | 655  | 579  |
|  1.832% 10/15/27 (b) | 3276  | 2738  |
| LYB International Finance III LLC 1.25% 10/1/25  | 3156 | 2809 |
| The Mosaic Co. 4.25% 11/15/23  | 3338 | 3305 |
|  |  | 9431 |
| REAL ESTATE - 2.0%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 1.9% |  |  |
| American Homes 4 Rent LP 3.625% 4/15/32  | 1247 | 1057 |
| Boston Properties, Inc. 3.2% 1/15/25  | 1965 | 1885 |
| Corporate Office Properties LP 2% 1/15/29  | 2376 | 1839 |
| Federal Realty Investment Trust 3.95% 1/15/24  | 4586 | 4523 |
| Hudson Pacific Properties LP 4.65% 4/1/29  | 4167 | 3629 |
| Kite Realty Group Trust 4% 3/15/25  | 1572 | 1508 |
| LXP Industrial Trust (REIT) 4.4% 6/15/24  | 780 | 758 |
| Omega Healthcare Investors, Inc.: |  |  |
|  4.375% 8/1/23  | 412  | 407  |
|  4.5% 1/15/25  | 728  | 708  |
|  4.5% 4/1/27  | 8385  | 7816  |
|  4.95% 4/1/24  | 723  | 713  |
|  5.25% 1/15/26  | 5346  | 5219  |
| Piedmont Operating Partnership LP 2.75% 4/1/32  | 493 | 352 |
| SITE Centers Corp.: |  |  |
|  3.625% 2/1/25  | 890  | 840  |
|  4.25% 2/1/26  | 1471  | 1399  |
| Spirit Realty LP 2.1% 3/15/28  | 3099 | 2519 |
| Sun Communities Operating LP 2.3% 11/1/28  | 561 | 462 |
| Ventas Realty LP: |  |  |
|  2.65% 1/15/25  | 2611  | 2465  |
|  3% 1/15/30  | 1365  | 1160  |
|  3.5% 4/15/24  | 1559  | 1515  |
|  4% 3/1/28  | 765  | 713  |
| VICI Properties LP 5.125% 5/15/32  | 577 | 541 |
| Vornado Realty LP 2.15% 6/1/26  | 613 | 518 |
| Welltower, Inc. 3.625% 3/15/24  | 1673 | 1639 |
| WP Carey, Inc.: |  |  |
|  3.85% 7/15/29  | 415  | 373  |
|  4.6% 4/1/24  | 3389  | 3369  |
|  |  | 47927 |
| Real Estate Management & Development - 0.1% |  |  |
| Brandywine Operating Partnership LP: |  |  |
|  3.95% 2/15/23  | 2883  | 2867  |
|  4.1% 10/1/24  | 247  | 238  |
|  |  | 3105 |
| TOTAL REAL ESTATE |  | 51032 |
| UTILITIES - 2.5%  |  |  |
| Electric Utilities - 1.3% |  |  |
| Cleco Corporate Holdings LLC 3.743% 5/1/26  | 3931 | 3707 |
| Cleveland Electric Illuminating Co. 3.5% 4/1/28 (b) | 6190 | 5671 |
| Edison International 2.95% 3/15/23  | 790 | 786 |
| Eversource Energy 2.8% 5/1/23  | 3065 | 3038 |
| Exelon Corp.: |  |  |
|  2.75% 3/15/27 (b) | 510  | 470  |
|  3.35% 3/15/32 (b) | 5206  | 4574  |
| FirstEnergy Corp.: |  |  |
|  1.6% 1/15/26  | 379  | 335  |
|  2.05% 3/1/25  | 2124  | 1960  |
| IPALCO Enterprises, Inc. 3.7% 9/1/24  | 803 | 778 |
| Pacific Gas & Electric Co. 3.25% 2/16/24  | 1002 | 972 |
| Southern Co. 5.113% 8/1/27  | 3276 | 3265 |
| Virginia Electric & Power Co. 2.4% 3/30/32  | 3276 | 2676 |
| Vistra Operations Co. LLC 5% 7/31/27 (b) | 6060 | 5688 |
|  |  | 33920 |
| Independent Power and Renewable Electricity Producers - 0.6% |  |  |
| The AES Corp.: |  |  |
|  1.375% 1/15/26  | 7207  | 6402  |
|  3.3% 7/15/25 (b) | 3979  | 3724  |
|  3.95% 7/15/30 (b) | 4292  | 3758  |
|  |  | 13884 |
| Multi-Utilities - 0.6% |  |  |
| Berkshire Hathaway Energy Co.: |  |  |
|  3.25% 4/15/28  | 3931  | 3659  |
|  3.7% 7/15/30  | 306  | 284  |
| NiSource, Inc.: |  |  |
|  0.95% 8/15/25  | 1575  | 1420  |
|  2.95% 9/1/29  | 3931  | 3447  |
| Puget Energy, Inc.: |  |  |
|  3.65% 5/15/25  | 1965  | 1871  |
|  4.224% 3/15/32  | 3276  | 2923  |
| WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 6.7186% 5/15/67 (c)(d) | 2216 | 1817 |
|  |  | 15421 |
| TOTAL UTILITIES |  | 63225 |
| <br> **TOTAL NONCONVERTIBLE BONDS**<br> (Cost $1,098,571) |  | <br> **1008255** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 42.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 42.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 42.7%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| U.S. Treasury Notes: |  |  |
|  0.625% 7/31/26  | 27290 | 24176 |
|  0.75% 11/15/24  | 12577 | 11726 |
|  1.125% 8/31/28 (e) | 69709 | 60111 |
|  1.25% 9/30/28  | 17505 | 15177 |
|  1.375% 10/31/28  | 9435 | 8224 |
|  1.5% 1/31/27  | 26945 | 24452 |
|  1.625% 9/30/26  | 52120 | 47851 |
|  1.625% 8/15/29  | 88353 | 77588 |
|  1.75% 3/15/25  | 146201 | 138308 |
|  1.875% 2/28/27  | 28931 | 26643 |
|  2.125% 5/15/25  | 656 | 624 |
|  2.25% 8/15/27  | 9273 | 8637 |
|  2.375% 3/31/29  | 57612 | 53019 |
|  2.625% 7/31/29  | 92414 | 86220 |
|  2.75% 8/15/32  | 191064 | 176982 |
|  3.125% 11/15/28  | 153205 | 147502 |
|  3.25% 6/30/29  | 50454 | 48881 |
|  3.5% 9/15/25  | 42649 | 41962 |
|  4% 10/31/29  | 49898 | 50655 |
|  4.125% 9/30/27  | 32339 | 32733 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $1,150,946) |  | **1081471** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.8%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.8%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.8%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| Fannie Mae - 0.7%  |  |  |
| 2.5% 10/1/31 to 1/1/33  | 2899 | 2717 |
| 3% 11/1/32 to 12/1/32  | 9935 | 9501 |
| 3.5% 9/1/34 to 10/1/34  | 3469 | 3365 |
| 4.5% 3/1/39 to 8/1/39  | 826 | 822 |
| 5.5% 11/1/34 to 6/1/36  | 761 | 780 |
| 6.5% 7/1/32 to 8/1/36  | 468 | 491 |
| 7% 8/1/25 to 2/1/32  | 2 | 2 |
| 7.5% 8/1/23 to 8/1/29  | 12 | 12 |
| TOTAL FANNIE MAE |  | 17690 |
| Freddie Mac - 0.1%  |  |  |
| 5.5% 3/1/34 to 7/1/35  | 1299 | 1334 |
| 7.5% 7/1/27 to 9/1/31  | 2 | 2 |
| TOTAL FREDDIE MAC |  | 1336 |
| Ginnie Mae - 0.0%  |  |  |
| 7% to 7% 1/15/28 to 11/15/32  | 422 | 440 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $20,675) |  | <br> **19466** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 7.3%** | &nbsp;&nbsp;**Asset-Backed Securities - 7.3%** | &nbsp;&nbsp;**Asset-Backed Securities - 7.3%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| AASET Trust: |  |  |
|  Series 2019-1 Class A, 3.844% 5/15/39 (b) | 679 | 451 |
|  Series 2019-2 Class A, 3.376% 10/16/39 (b) | 1552 | 1103 |
|  Series 2021-1A Class A, 2.95% 11/16/41 (b) | 1932 | 1536 |
|  Series 2021-2A Class A, 2.798% 1/15/47 (b) | 3831 | 2987 |
| Aimco: |  |  |
|  Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 5.3846% 7/22/32 (b)(c)(d) | 7490 | 7306 |
|  Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 1/15/32 (b)(c)(d) | 5700 | 5588 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (b) | 455 | 365 |
| Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 5.3746% 4/22/31 (b)(c)(d) | 5438 | 5324 |
| Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1 month U.S. LIBOR + 1.120% 5.1686% 2/25/35 (c)(d) | 279 | 275 |
| Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b) | 2616 | 2141 |
| Castlelake Aircraft Securitization Trust: |  |  |
|  Series 2019-1A Class A, 3.967% 4/15/39 (b) | 1814 | 1530 |
|  Series 2021-1R Class A, 2.741% 8/15/41 (b) | 3847 | 3299 |
| Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/46 (b) | 6154 | 5200 |
| Cedar Funding Ltd. Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 5.1791% 7/15/33 (b)(c)(d) | 6373 | 6210 |
| Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 5.328% 7/27/30 (b)(c)(d) | 11043 | 10861 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/51 (b) | 7718 | 6611 |
| Dell Equipment Finance Trust Series 2020-2 Class A3, 0.57% 10/23/23 (b) | 1169 | 1154 |
| Dominos Pizza Master Issuer LLC Series 2018-1A Class A2I, 4.116% 7/25/48 (b) | 4913 | 4598 |
| Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 4/15/31 (b)(c)(d) | 5454 | 5336 |
| GMF Floorplan Owner Revolving Trust Series 2020-1 Class A, 0.68% 8/15/25 (b) | 1813 | 1754 |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 761 | 593 |
| John Deere Owner Trust Series 2019-B Class A4, 2.32% 5/15/26  | 2030 | 2028 |
| Madison Park Funding XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 0.970% 5.328% 7/27/31 (b)(c)(d) | 4686 | 4621 |
| Madison Park Funding XXVI Ltd. Series 2017-26A Class AR, 3 month U.S. LIBOR + 1.200% 5.6147% 7/29/30 (b)(c)(d) | 3512 | 3467 |
| Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 5.3246% 1/22/31 (b)(c)(d) | 7929 | 7782 |
| Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 278 | 269 |
| MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (b) | 1429 | 1400 |
| Morgan Stanley ABS Capital I Trust Series 2004-HE7 Class B3, 1 month U.S. LIBOR + 5.250% 9.2936% 8/25/34 (c)(d)(f) | 104 | 110 |
| Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 5.0791% 7/17/32 (b)(c)(d) | 6158 | 5999 |
| Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 5.4754% 5/20/29 (b)(c)(d) | 3988 | 3932 |
| Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 5.2886% 1/25/36 (c)(d) | 139 | 136 |
| Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c) | 3432 | 2996 |
| Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26  | 4854 | 4745 |
| Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (b) | 3061 | 2306 |
| SBA Tower Trust: |  |  |
|  Series 2019, 2.836% 1/15/50 (b) | 1874 | 1764 |
|  1.631% 5/15/51 (b) | 9827 | 8338 |
|  1.884% 7/15/50 (b) | 703 | 618 |
| Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 5.1391% 7/15/32 (b)(c)(d) | 4706 | 4596 |
| Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 5.0991% 1/15/34 (b)(c)(d) | 6583 | 6446 |
| TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 5.6097% 11/18/30 (b)(c)(d) | 5936 | 5836 |
| TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 5.0091% 7/15/30 (b)(c)(d) | 7194 | 7063 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 4.9036% 9/25/34 (c)(d) | 75 | 71 |
| Thunderbolt Aircraft Lease Ltd. Series 2017-A Class A, 4.212% 5/17/32 (b) | 1211 | 1017 |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 1822 | 1377 |
| Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 4.3007% 4/6/42 (b)(c)(d) | 1143 | 864 |
| Upstart Securitization Trust: |  |  |
|  Series 2021-1 Class A, 0.87% 3/20/31 (b) | 25 | 25 |
|  Series 2021-3 Class A, 0.83% 7/20/31 (b) | 1519 | 1475 |
|  Series 2021-4 Class A, 0.84% 9/20/31 (b) | 2532 | 2443 |
|  Series 2021-5 Class A, 1.31% 11/20/31 (b) | 3610 | 3444 |
|  3.12% 3/20/32 (b) | 5660 | 5440 |
| VCAT Asset Securitization, LLC: |  |  |
|  Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (b) | 697 | 665 |
|  Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b) | 3221 | 2909 |
|  Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(c) | 4418 | 4086 |
| Verizon Master Trust Series 2021-1 Class B, 0.69% 5/20/27  | 6025 | 5590 |
| Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 5.0291% 4/17/30 (b)(c)(d) | 6038 | 5935 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $196,706) |  | **184015** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.6%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| Private Sponsor - 2.6%  |  |  |
| Ajax Mortgage Loan Trust sequential payer: |  |  |
|  Series 2021-B Class A, 2.239% 6/25/66 (b)(c) | 1764 | 1614 |
|  Series 2021-C Class A, 2.115% 1/25/61 (b) | 1482 | 1388 |
| Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b) | 4218 | 3484 |
| Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) | 2206 | 1976 |
| BRAVO Residential Funding Trust sequential payer: |  |  |
|  Series 2020-RPL2 Class A1, 2% 5/25/59 (b) | 1963 | 1708 |
|  Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b) | 8321 | 6909 |
| Cascade Funding Mortgage Trust: |  |  |
|  Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c) | 1304 | 1223 |
|  Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 809 | 776 |
|  Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 1229 | 1157 |
|  Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 1662 | 1553 |
| CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b) | 6163 | 5932 |
| CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b) | 472 | 456 |
| Csmc 2021-Rpl9 Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b) | 6744 | 6215 |
| CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 548 | 463 |
| Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c) | 5255 | 5050 |
| GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b) | 2329 | 1979 |
| Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(c) | 4880 | 4116 |
| New Residential Mortgage Loan Trust: |  |  |
|  Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 882 | 797 |
|  Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 765 | 695 |
| New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 1611 | 1431 |
| Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b) | 120 | 106 |
| Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (b)(c) | 2046 | 1984 |
| Preston Ridge Partners Mortgage Trust: |  |  |
|  sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(c) | 4194 | 3662 |
|  Series 2021-2 Class A1, 2.115% 3/25/26 (b) | 3178 | 2882 |
|  Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | 670 | 595 |
|  Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) | 922 | 807 |
| PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b) | 3246 | 2959 |
| RMF Buyout Issuance Trust sequential payer: |  |  |
|  Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | 2095 | 1984 |
|  Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | 1143 | 1108 |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.6276% 7/20/34 (c)(d) | 1 | 1 |
| TOTAL PRIVATE SPONSOR |  | 65010 |
| U.S. Government Agency - 0.0%  |  |  |
| Fannie Mae Series 2013-16 Class GP, 3% 3/25/33  | 1226 | 1182 |
| Freddie Mac Series 3949 Class MK, 4.5% 10/15/34  | 209 | 208 |
| TOTAL U.S. GOVERNMENT AGENCY |  | 1390 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $73,843) |  | <br> **66400** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 5.9%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.9%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.9%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| BAMLL Commercial Mortgage Securities Trust: |  |  |
|  floater Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 4.945% 1/15/39 (b)(c)(d) | 1605 | 1546 |
|  sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | 1164 | 1076 |
| BANK: |  |  |
|  sequential payer:  |  |  |
| Series 2018-BN14 Class ASB, 4.185% 9/15/60 <br>| 4259 | 4112 |
| Series 2018-BN15 Class ASB, 4.285% 11/15/61 <br>| 2621 | 2540 |
|  Series 2021-BN33 Class XA, 1.1716% 5/15/64 (c)(g) | 12432 | 720 |
| Barclays Commercial Mortgage Securities LLC sequential payer Series 2019-C5 Class ASB, 2.99% 11/15/52  | 3603 | 3297 |
| BCP Trust floater Series 2021-330N Class A, 1 month U.S. LIBOR + 0.790% 4.674% 6/15/38 (b)(c)(d) | 7993 | 7500 |
| Benchmark Mortgage Trust: |  |  |
|  Series 2018-B7 Class A2, 4.377% 5/15/53  | 2126 | 2094 |
|  Series 2019-B12 Class XA, 1.1696% 8/15/52 (c)(g) | 16201 | 686 |
|  Series 2019-B14 Class XA, 0.9039% 12/15/62 (c)(g) | 16232 | 525 |
|  Series 2020-B17 Class XA, 1.5386% 3/15/53 (c)(g) | 32107 | 1986 |
|  Series 2020-B19 Class XA, 1.885% 9/15/53 (c)(g) | 21230 | 1651 |
| BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 5.925% 11/15/28 (b)(c)(d) | 504 | 497 |
| BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 4.625% 9/15/26 (b)(c)(d) | 3158 | 2972 |
| BX Commercial Mortgage Trust floater: |  |  |
|  Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 4.5651% 10/15/36 (b)(c)(d) | 2970 | 2835 |
|  Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 4.5273% 5/15/38 (b)(c)(d) | 2359 | 2258 |
| BX Trust: |  |  |
|  floater:  |  |  |
| Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 4.726% 11/15/38 (b)(c)(d) <br>| 2945 | 2824 |
| Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 4.5109% 10/15/26 (b)(c)(d) <br>| 2757 | 2616 |
| Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 5.9593% 10/15/39 (b)(c)(d) <br>| 1627 | 1620 |
|  floater sequential payer:  |  |  |
| Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 4.5753% 1/15/34 (b)(c)(d) <br>| 1043 | 1007 |
| Series 2021-SOAR Class A, 4.546% 6/15/38 (b)(c) <br>| 2648 | 2535 |
|  floater, sequential payer Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 4.8287% 10/15/36 (b)(c)(d) | 3563 | 3500 |
| CD Mortgage Trust sequential payer Series 2017-CD5 Class AAB, 3.22% 8/15/50  | 1533 | 1446 |
| CF Hippolyta Issuer LLC sequential payer: |  |  |
|  Series 2020-1 Class A1, 1.69% 7/15/60 (b) | 4202 | 3716 |
|  Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 3020 | 2601 |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, 1 month U.S. LIBOR + 0.950% 4.8253% 11/15/36 (b)(c)(d) | 870 | 845 |
| CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 4.995% 6/15/34 (b)(c)(d) | 2767 | 2713 |
| Citigroup Commercial Mortgage Trust sequential payer: |  |  |
|  Series 2014-GC23 Class A3, 3.356% 7/10/47  | 1912 | 1840 |
|  Series 2016-GC37 Class AAB, 3.098% 4/10/49  | 436 | 418 |
| COMM Mortgage Trust: |  |  |
|  sequential payer Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) | 1000 | 991 |
|  Series 2013-CR13 Class AM, 4.449% 11/10/46  | 5021 | 4887 |
| Credit Suisse Mortgage Trust: |  |  |
|  sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 955 | 852 |
|  Series 2018-SITE Class A, 4.284% 4/15/36 (b) | 1224 | 1161 |
| CSAIL Commercial Mortgage Trust sequential payer: |  |  |
|  Series 19-C15 Class A2, 3.4505% 3/15/52  | 2126 | 2055 |
|  Series 2020-C19 Class ASB, 2.5501% 3/15/53  | 12447 | 11054 |
| ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 4.577% 11/15/38 (b)(c)(d) | 4100 | 3911 |
| Extended Stay America Trust floater Series 2021-ESH Class A, 1 month U.S. LIBOR + 1.080% 4.956% 7/15/38 (b)(c)(d) | 1273 | 1224 |
| GS Mortgage Securities Trust: |  |  |
|  floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 4.825% 10/15/36 (b)(c)(d) | 1714 | 1595 |
|  sequential payer Series 2016-GC34 Class AAB, 3.278% 10/10/48  | 515 | 495 |
|  Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(c) | 3435 | 3365 |
|  Series 2013-GC13 Class A/S, 4.2141% 7/10/46 (b)(c) | 8756 | 8621 |
|  Series 2013-GC16 Class A/S, 4.649% 11/10/46  | 8768 | 8589 |
|  Series 2015-GC30 Class A/S, 3.777% 5/10/50  | 539 | 506 |
| JPMBB Commercial Mortgage Securities Trust sequential payer Series 2014-C22 Class A4, 3.8012% 9/15/47  | 1623 | 1565 |
| JPMorgan Chase Commercial Mortgage Securities Trust: |  |  |
|  floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.250% 5.125% 9/15/29 (b)(c)(d) | 1415 | 1373 |
|  sequential payer Series 2013-LC11 Class A5, 2.9599% 4/15/46  | 1349 | 1335 |
|  Series 2013-C10 Class A5, 3.1425% 12/15/47  | 540 | 538 |
|  Series 2013-C16 Class A/S, 4.5169% 12/15/46  | 2687 | 2629 |
|  Series 2013-LC11 Class A/S, 3.216% 4/15/46  | 669 | 655 |
|  Series 2018-AON Class D, 4.767% 7/5/31 (b)(c) | 3508 | 3038 |
|  Series 2018-WPT Class AFX, 4.2475% 7/5/33 (b) | 2058 | 1922 |
| LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 4.575% 3/15/38 (b)(c)(d) | 2260 | 2173 |
| Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 4.575% 7/15/38 (b)(c)(d) | 1380 | 1319 |
| Morgan Stanley BAML Trust: |  |  |
|  sequential payer Series 2013-C11 Class A4, 4.3447% 8/15/46 (c) | 1081 | 1065 |
|  Series 2014-C17 Class ASB, 3.477% 8/15/47  | 1206 | 1183 |
| Morgan Stanley Capital I Trust: |  |  |
|  sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 2542 | 2359 |
|  Series 2021-L6 Class XA, 1.3449% 6/15/54 (c)(g) | 4410 | 284 |
| OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 4.359% 10/15/36 (b)(c)(d) | 4441 | 4213 |
| SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 4.6061% 11/15/38 (b)(c)(d) | 2759 | 2636 |
| UBS Commercial Mortgage Trust: |  |  |
|  sequential payer Series 2018-C8 Class ASB, 3.903% 2/15/51  | 2811 | 2699 |
|  Series 2017-C7 Class XA, 1.1862% 12/15/50 (c)(g) | 54614 | 1942 |
| VLS Commercial Mortgage Trust: |  |  |
|  sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 1328 | 1032 |
|  Series 2020-LAB Class X, 0.5162% 10/10/42 (b)(c)(g) | 60125 | 1634 |
| Wells Fargo Commercial Mortgage Trust sequential payer: |  |  |
|  Series 2017-C41 Class ASB, 3.39% 11/15/50  | 328 | 313 |
|  Series 2017-RC1 Class ASB, 3.453% 1/15/60  | 1790 | 1721 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $163,991) |  | **150910** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.1%** | &nbsp;&nbsp;**Municipal Securities - 0.1%** | &nbsp;&nbsp;**Municipal Securities - 0.1%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| New York City Transitional Fin. Auth. Rev. Series 2017 E, 2.85% 2/1/24  | 995 | 975 |
| New York Urban Dev. Corp. Rev. Series 2017 B, 2.67% 3/15/23  | 2500 | 2485 |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $3,495) |  | **3460** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| United Mexican States: |  |  |
|  3.25% 4/16/30  | 2368 | 2113 |
|  3.5% 2/12/34  | 1965 | 1638 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $4,314) |  | **3751** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.3%** | &nbsp;&nbsp;**Bank Notes - 0.3%** | &nbsp;&nbsp;**Bank Notes - 0.3%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| First Citizens Bank & Trust Co. 2.969% 9/27/25 (c) | 4416 | 4162 |
| Truist Bank 2.75% 5/1/23  | 2817 | 2793 |
| <br> **TOTAL BANK NOTES**<br> (Cost $7,233) |  | **6955** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 0.5%** | &nbsp;&nbsp;**Money Market Funds - 0.5%** | &nbsp;&nbsp;**Money Market Funds - 0.5%** |
|  | Shares | Value ($)<br> (000s) <br>|
| Fidelity Cash Central Fund 3.86% (h) <br>(Cost $12,414) <br>| 12411961 | **12414** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.1%**<br> (Cost $2,732,188)<br>| <br>**2537097** |
| **NET OTHER ASSETS (LIABILITIES) - (0.1)%**  | **(3214)** |
| **NET ASSETS - 100.0%** | **2533883** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br> (000s) <br>| Value ($)<br> (000s) <br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br> (000s) <br>|
| Purchased |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 236 | Mar 2023 | 48465 | 123 | 123 |
| The notional amount of futures purchased as a percentage of Net Assets is 1.9% | The notional amount of futures purchased as a percentage of Net Assets is 1.9% | The notional amount of futures purchased as a percentage of Net Assets is 1.9% | The notional amount of futures purchased as a percentage of Net Assets is 1.9% | The notional amount of futures purchased as a percentage of Net Assets is 1.9% | The notional amount of futures purchased as a percentage of Net Assets is 1.9% |

---

*Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.*

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $538,501,000 or 21.3% of net assets.

(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $325,000.

(f) Level 3 security

(g) Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate (Amounts in thousands) | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund 3.86% | 30227 | 154884 | 172697 | 223 | - | - | 12414 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 3.86% | 267407 | 909831 | 1177238 | 59 | - | - | - | 0.0% |
| Fidelity Specialized High Income Central Fund | 38 | - | 38 | - | (7) | 7 | - | 0.0% |
| Total | 297672 | 1064715 | 1349973 | 282 | (7) | 7 | 12414 |  |

---

Amounts in the income column in the above table include any capital gain distributions from underlying funds.

Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

**Investment Valuation**

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - Unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Nonconvertible Bonds, U.S. Treasury Obligations, Municipal Securities, Foreign Government and Government Agency Obligations and Bank Notes are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

**Derivative Instruments**

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.

**Credit Risk**

The Fund invests a significant portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

*The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.*

*Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.*

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Salem Street Trust

- **b. Investment Company Act file number:** 811-02105

- **c. CIK number of Registrant:** 0000035315

- **d. LEI of Registrant:** S4W85DGKOEJ24DPRB829

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Fidelity Intermediate Bond Fund

- **b. EDGAR series identifier (if any):** S000017674

- **c. LEI of Series:** VW34W3RS5HO0SXCVMN92

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

- **a. Date of fiscal year-end:** 2023-08-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $2540626204.88

**Total Liabilities:** $6095025.49

**Net Assets:** $2534531179.39

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 36031.34532503 | **1-Year:** 215197.75234652 | **5-Year:** 519362.54094007 | **10-Year:** 233010.51054467 | **30-Year:** 2275.93039193

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

- **3-Month:** 2205.69197965 | **1-Year:** 14265.01903403 | **5-Year:** 15908.50460962 | **10-Year:** 2965.04130953 | **30-Year:** 0.00212890

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000048836 | -2.80%               | -0.63%               | 2.25%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1044583.43             | $-131613807.11                             |
| Month 2  | $-139354503.76           | $107727783.41                              |
| Month 3  | $-52114886.82            | $108258380.12                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| KITE REALTY GROUP TRUST                                                            | KITE RLTY GROUP TRUST 4% 03/15/2025                                                               | CUSIP: 76131VAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1572000 | PA      | $1507848.53   | 0.06%             | 2025-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENT CLO 21 LTD/CENT CLO 21 CORP                                                   | CENT CLO 21 LTD/CORP 3ML+97 07/27/2030 144A                                                       | CUSIP: 15137EBN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11043014 | PA      | $10860925.96  | 0.43%             | 2030-07-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7.5% 06/01/2027#250951                                                                  | CUSIP: 31371FWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       201 | PA      | $208.29       | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                         | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                                 | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2057853 | PA      | $1921878.72   | 0.08%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-2 TR                                                                    | AASET 2021-2 TR 2.798% 01/15/2047 144A                                                            | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3830651 | PA      | $2987012.26   | 0.12%             | 2047-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                   | DEUTSCHE BANK AG 4.5% 04/01/2025                                                                  | CUSIP: 251525AP6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4541000 | PA      | $4305676.39   | 0.17%             | 2025-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                        | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                                | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1164000 | PA      | $1076473.02   | 0.04%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV                                        | NYC TFA (PIT) 2.85% 2/1/2024                                                                      | CUSIP: 64971W5M8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    995000 | PA      | $975275.32    | 0.04%             | 2024-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                               | BARCLAYS PLC (UNGTD) 1.007%/VAR 12/10/2024                                                        | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2582000 | PA      | $2441638.92   | 0.10%             | 2024-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #545176                                                                           | CUSIP: 36212VT90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18538 | PA      | $19273.22     | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017-C41                                                   | WELLS FARGO COML MTG TR 2017-C41 3.39% 11/15/2050                                                 | CUSIP: 95001ABB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327572 | PA      | $313441.58    | 0.01%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES INC/OH                                                       | HUNTINGTON BANCSHARES INC/OH 4.443%/VAR 08/04/2028                                                | CUSIP: 446150BB9<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   3284000 | PA      | $3118635.30   | 0.12%             | 2028-08-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #566254                                                                          | CUSIP: 36213WBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       398 | PA      | $417.85       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                            | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 1.4% 08/27/2027 144A                                      | CUSIP: 29449WAB3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $2754557.57   | 0.11%             | 2027-08-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.5% 01/31/2027                                                                         | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26944500 | PA      | $24452133.75  | 0.96%             | 2027-01-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                            | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |   1257000 | PA      | $1231825.66   | 0.05%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.5% 04/15/2025                                                                  | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2752000 | PA      | $2664502.42   | 0.11%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 1.65% 02/01/2028                                                                     | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4281000 | PA      | $3675089.56   | 0.15%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #394494                                                                           | CUSIP: 31378CGB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1857 | PA      | $1929.29      | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                      | BX TRUST 2019-XL A 1ML+85 10/15/2036 144A                                                         | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3562955 | PA      | $3500179.55   | 0.14%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.375% 03/31/2029                                                                       | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57611900 | PA      | $53018701.40  | 2.09%             | 2029-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.2% 03/15/2028   | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3047313.91   | 0.12%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #781539                                                                           | CUSIP: 36225BV88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2646 | PA      | $2769.64      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 0.7% 02/15/2024                                                                    | CUSIP: 00914AAL6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1801000 | PA      | $1696072.57   | 0.07%             | 2024-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                         | HESS MIDSTREAM PARTNERS LP 5.625% 02/15/2026 144A                                                 | CUSIP: 428102AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5241000 | PA      | $5151850.59   | 0.20%             | 2026-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.947%/VAR 02/24/2028                                                       | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  11853000 | PA      | $10781553.52  | 0.43%             | 2028-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                  | PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032                                                | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    493000 | PA      | $352172.05    | 0.01%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                       | DNB BANK ASA 1.605/VAR 03/30/2028 144A                                                            | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   6094000 | PA      | $5181376.21   | 0.20%             | 2028-03-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.00% 11/32 #MA1237                                                                     | CUSIP: 31418ALT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4161989 | PA      | $3966473.77   | 0.16%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2033#AL2974                                                                  | CUSIP: 3138EKJU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484604 | PA      | $451485.14    | 0.02%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 3.85% 02/01/2025                                                 | CUSIP: 11120VAA1<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1919000 | PA      | $1840834.41   | 0.07%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.737%/VAR 04/24/2024                                                              | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3733000 | PA      | $3707221.92   | 0.15%             | 2024-04-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LT                                                                   | CEDAR FUNDING LT 3ML+110 07/15/2033 144A                                                          | CUSIP: 15034AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6372726 | PA      | $6210246.98   | 0.25%             | 2033-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                        | IMPERIAL BRANDS FINANCE PLC 3.125% 07/26/2024 144A                                                | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   5438000 | PA      | $5186325.93   | 0.20%             | 2024-07-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SPIRIT REALTY LP                                                                   | SPIRIT REALTY LP 2.1% 03/15/2028                                                                  | CUSIP: 84861TAH1<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |   3099000 | PA      | $2519201.09   | 0.10%             | 2028-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                                                    | BX TR 2021-ACNT 1ML+85 11/15/2026 144A                                                            | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2944937 | PA      | $2823925.71   | 0.11%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #460414                                                                           | CUSIP: 36208TN71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       119 | PA      | $120.72       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                             | ROPER TECHNOLOGIES INC 2% 06/30/2030                                                              | CUSIP: 776743AJ5<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |   3754000 | PA      | $3007659.41   | 0.12%             | 2030-06-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL US LLC                                             | GSK CONSUMER HEALTHCARE CAPITAL US LLC 3.375% 03/24/2027                                          | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6535274.34   | 0.26%             | 2027-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A                                | CUSIP: 14855MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1813748 | PA      | $1529914.90   | 0.06%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #420260                                                                           | CUSIP: 31379HZZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       497 | PA      | $517.46       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 1.95% 02/15/2028 144A                                                                | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $2768891.55   | 0.11%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #464955                                                                           | CUSIP: 36208YQG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4433 | PA      | $4570.91      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 2.493% 02/15/2027                                                             | CUSIP: 14448CAP9<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    983000 | PA      | $892651.74    | 0.04%             | 2027-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/25 #250410                                                                          | CUSIP: 31371FDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        87 | PA      | $88.32        | 0.00%             | 2025-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #462543                                                                           | CUSIP: 36208VZG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4604 | PA      | $4737.74      | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                               | WESTPAC BANKING CORP 4.11%/VAR 07/24/2034                                                         | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1178000 | PA      | $1005009.55   | 0.04%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                           | BX TRUST 0.8% 06/15/2023 144A                                                                     | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2647748 | PA      | $2534883.55   | 0.10%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #582178                                                                           | CUSIP: 36201FXF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21402 | PA      | $22547.96     | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-RPL2                                                                     | PRPM 2021-RPL2 VAR 10/25/2051 144A                                                                | CUSIP: 69357QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    922101 | PA      | $806962.42    | 0.03%             | 2051-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 2.359/VAR 07/29/2032                                                   | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   6552000 | PA      | $4774177.24   | 0.19%             | 2032-07-29      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BFLD TR 2020 -OBRK                                                                 | BFLD TR 2020 - OBRK A 1ML+225 11/15/2022 144A                                                     | CUSIP: 05553JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504000 | PA      | $497040.01    | 0.02%             | 2028-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 4.677% 06/15/2027 144A                                                    | CUSIP: 83368RBM3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   5569000 | PA      | $5432381.24   | 0.21%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                                  | BX COMMERCIAL MORTGAGE TRUST 2021-VINO A 1ML+69.82 05/15/2038 144A                                | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2359000 | PA      | $2258433.00   | 0.09%             | 2038-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.125% 12/15/2026                                                           | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3322000 | PA      | $3244915.81   | 0.13%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.95% 04/01/2024                                                   | CUSIP: 681936BB5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    723000 | PA      | $712932.15    | 0.03%             | 2024-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELTA AIRLINES INC                                                                 | DELTA AIRLINES INC 3.8% 04/19/2023                                                                | CUSIP: 247361ZP6<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |   1834000 | PA      | $1815224.41   | 0.07%             | 2023-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRAPEZA CDO XII LTD / TRAPEZA CDO XII INC                                          | TRAP 2007-12A B 3ML+56 4/42                                                                       | CUSIP: 89413GAG3<br>LEI: 5493000R4ICCD2N68609 | Long             | ABS-CBDO         | CORP              | KY        |   1143000 | PA      | $864345.74    | 0.03%             | 2042-04-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 3.05% 06/05/2023                                                                    | CUSIP: 02005NBK5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2817000 | PA      | $2779302.60   | 0.11%             | 2023-06-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-5                                                   | UPSTART SECURITIZATION TR 2021-5 1.31% 11/20/2031 144A                                            | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3610002 | PA      | $3444408.92   | 0.14%             | 2031-11-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #303780                                                                           | CUSIP: 31373UM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       134 | PA      | $136.30       | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2033#AL2976                                                                  | CUSIP: 3138EKJW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301788 | PA      | $281163.50    | 0.01%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST 2021                                                      | AJAX MORTGAGE LOAN TRUST 2021-B A VAR 06/25/2066 144A                                             | CUSIP: 00970LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1764206 | PA      | $1613605.26   | 0.06%             | 2066-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.85% 04/05/2029 144A                                                    | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1139000 | PA      | $1036851.31   | 0.04%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 4.625% 03/30/2025                                                                   | CUSIP: 02005NBA7<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1927947.10   | 0.08%             | 2025-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.125% 05/15/2032                                                              | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    577000 | PA      | $541231.77    | 0.02%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                       | ING GROEP NV SOFR 1.726%/VAR 04/01/2027                                                           | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   2376000 | PA      | $2097255.85   | 0.08%             | 2027-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                                 | TEACHERS INS and ANNUITY ASSN AMER 4.9% 09/15/2044 144A                                           | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |   2819000 | PA      | $2629811.55   | 0.10%             | 2044-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LYB INTERNATIONAL FINANCE III LLC                                                  | LYB INTERNATIONAL FINANCE III LLC 1.25% 10/01/2025                                                | CUSIP: 50249AAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3156000 | PA      | $2808541.19   | 0.11%             | 2025-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE LTD                                                       | HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A                                      | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    760744 | PA      | $593377.51    | 0.02%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                                 | VORNADO REALTY LP 2.15% 06/01/2026                                                                | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |    613000 | PA      | $518105.21    | 0.02%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 2.355% 03/15/2032                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1666000 | PA      | $1337347.90   | 0.05%             | 2032-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 09/01/2034#FM1577                                                                  | CUSIP: 3140X4XF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1974195 | PA      | $1915065.05   | 0.08%             | 2034-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DPABS 2018-1A A2I 4.116% 07/25/2048 144A                                                          | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4913280 | PA      | $4598279.79   | 0.18%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 3.5% 02/12/2034                                                      | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1965000 | PA      | $1637827.50   | 0.06%             | 2034-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 0.625% 07/31/2026                                                                       | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27290200 | PA      | $24176345.61  | 0.95%             | 2026-07-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021                                                    | BINOM SECURITIZATION TRUST 2022-RPL1 A1 2.9359% 02/25/2061 144A                                   | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2206328 | PA      | $1976078.98   | 0.08%             | 2061-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #436093                                                                           | CUSIP: 36207MNJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       422 | PA      | $433.46       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2020-RPL2                                                 | BRAVO RESIDENTIAL FDG TR 2020-RPL2 2% 05/25/2059 144A                                             | CUSIP: 10569BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1962851 | PA      | $1708219.85   | 0.07%             | 2059-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                          | SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A                                                  | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3061414 | PA      | $2305637.77   | 0.09%             | 2040-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL3                                                                     | VCAT 2021-NPL3 VAR 05/25/2051 144A                                                                | CUSIP: 91824MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4418166 | PA      | $4085929.62   | 0.16%             | 2051-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 1.319%/VAR 06/19/2026                                                 | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3734000 | PA      | $3369132.79   | 0.13%             | 2026-06-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                   | ALTRIA GROUP INC 4.8% 02/14/2029                                                                  | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1001000 | PA      | $960828.05    | 0.04%             | 2029-02-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2019-BROOK                                       | J P MORGAN CHASE COML MTG SECS TR 2019-BROOK 1ML+90 09/15/2029 144A                               | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1414871 | PA      | $1372687.79   | 0.05%             | 2029-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #443711                                                                           | CUSIP: 36207V3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2589 | PA      | $2663.61      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/24 #250143                                                                           | CUSIP: 31371EZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3 | PA      | $2.81         | 0.00%             | 2024-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 4.1% 10/01/2024                                                    | CUSIP: 105340AN3<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    247000 | PA      | $237705.39    | 0.01%             | 2024-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                        | MOODYS CORP 3.75% 03/24/2025                                                                      | CUSIP: 615369AS4<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   2605000 | PA      | $2538409.84   | 0.10%             | 2025-03-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 2.65% 01/15/2025                                                      | CUSIP: 92277GAT4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   2611000 | PA      | $2465021.50   | 0.10%             | 2025-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                                  | MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A                                           | CUSIP: 61771LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2542015 | PA      | $2359482.31   | 0.09%             | 2036-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 1.25% 01/08/2026                                                         | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   3715000 | PA      | $3255801.18   | 0.13%             | 2026-01-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY STEP 08/01/2027                                                                  | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3265257.60   | 0.13%             | 2027-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513703                                                                           | CUSIP: 36211HU41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        58 | PA      | $59.94        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                                 | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3% 02/02/2029 144A                             | CUSIP: 46590XAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3276000 | PA      | $2747987.29   | 0.11%             | 2029-02-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030                                                         | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1159584.33   | 0.05%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569904                                                                           | CUSIP: 36200RDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6008 | PA      | $6331.64      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                | INTESA SANPAOLO SPA 3.375% 01/12/2023 144A                                                        | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   3014000 | PA      | $3005200.90   | 0.12%             | 2023-01-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG 6.373%/VAR 07/15/2026 144A                                                   | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   4455000 | PA      | $4131422.12   | 0.16%             | 2026-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #466888                                                                           | CUSIP: 36209BUM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1444 | PA      | $1489.55      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 3.85% 10/15/2023                                                   | CUSIP: 72650RBD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1736000 | PA      | $1712767.25   | 0.07%             | 2023-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXI LTD                                                               | SYMPHONY CLO XXI LTD 21A AR 3ML+106 07/15/2032 144A                                               | CUSIP: 87166RDE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4706003 | PA      | $4596499.02   | 0.18%             | 2032-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 0.79/VAR 05/30/2025                                                                | CUSIP: 61747YEA9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1638000 | PA      | $1517745.00   | 0.06%             | 2025-05-30      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.25% 10/01/2027                                                            | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2621000 | PA      | $2555413.77   | 0.10%             | 2027-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569840                                                                           | CUSIP: 36200RBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2083 | PA      | $2181.29      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS SOFR 1.323%/VAR 01/13/2027 144A                                                       | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3654000 | PA      | $3173851.25   | 0.13%             | 2027-01-13      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/31 #530552                                                                           | CUSIP: 36212DL98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12105 | PA      | $12614.64     | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 2.625% 04/15/2026                                                                | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   5569000 | PA      | $5106781.35   | 0.20%             | 2026-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 21-3                                                  | UPSTART SECURITIZATION TRUST 21-3 0.83% 07/20/2031 144A                                           | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1519484 | PA      | $1474526.32   | 0.06%             | 2031-07-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 4.482%/VAR 08/23/2028                                               | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3462000 | PA      | $3323670.80   | 0.13%             | 2028-08-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1 3.474% 01/15/2046 144A                                   | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6153892 | PA      | $5200162.22   | 0.21%             | 2046-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #458872                                                                           | CUSIP: 36208RW91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1242 | PA      | $1278.40      | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #460857                                                                           | CUSIP: 36208T5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3629 | PA      | $3741.61      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-RPL1 LLC                                                                 | PRPM 2021-RPL1 LLC 1.484% 07/25/2051 144A                                                         | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    670151 | PA      | $594567.66    | 0.02%             | 2051-07-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                         | CIGNA CORP 3.4% 03/01/2027                                                                        | CUSIP: 125523CB4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   2948000 | PA      | $2784407.37   | 0.11%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                               | WEC ENERGY GROUP INC FRN 3ML+211.25 05/15/2067                                                    | CUSIP: 976657AH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   2216000 | PA      | $1817254.84   | 0.07%             | 2067-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                          | CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026                                                       | CUSIP: 18551PAC3<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |   3931000 | PA      | $3707045.86   | 0.15%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/24 #125351                                                                           | CUSIP: 31365EEY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        34 | PA      | $34.14        | 0.00%             | 2024-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MTG TR                                                            | COMM 2013-CCRE13 MTG TR 4.449% 11/10/2046                                                         | CUSIP: 12630BBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5021134 | PA      | $4887243.96   | 0.19%             | 2046-11-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                   | FIRSTENERGY CORP 1.6% 01/15/2026                                                                  | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    379000 | PA      | $335099.06    | 0.01%             | 2026-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 2.219%/VAR 06/09/2026 144A                                                            | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2279000 | PA      | $2092962.93   | 0.08%             | 2026-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 2.164%/VAR 02/11/2026                                                      | CUSIP: 95000U2K8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5575000 | PA      | $5197650.10   | 0.21%             | 2026-02-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2031#                                                                        | CUSIP: 31292HMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       281 | PA      | $300.04       | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                                         | VMWARE INC 1.4% 08/15/2026                                                                        | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   1758000 | PA      | $1546106.40   | 0.06%             | 2026-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/35 #745092                                                                           | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16388 | PA      | $17246.97     | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #888544                                                                           | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122162 | PA      | $128245.87    | 0.01%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 2.1% 03/22/2028                                                        | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   5134000 | PA      | $4491876.66   | 0.18%             | 2028-03-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR 1ML+70 03/15/2038 144A                                                       | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2260444 | PA      | $2172560.70   | 0.09%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #581934                                                                           | CUSIP: 36201FPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5756 | PA      | $6050.70      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD                                                     | MADISON PARK FUNDING XXIII LTD 3ML+97 07/27/2031 144A                                             | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4686348 | PA      | $4620523.56   | 0.18%             | 2031-07-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 2.636%/VAR 03/03/2026                                                  | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3055018.34   | 0.12%             | 2026-03-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #477009                                                                           | CUSIP: 36209N3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        92 | PA      | $95.30        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #446732                                                                           | CUSIP: 36208CHH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       713 | PA      | $731.26       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II                                                             | FIVE CORNERS FND TR II 2.85% 05/15/2030 144A                                                      | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2963000 | PA      | $2513892.40   | 0.10%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 1.167% 02/04/2023                                                                       | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3772000 | PA      | $3743538.00   | 0.15%             | 2023-02-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.292%/VAR 09/12/2026                                                           | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3276000 | PA      | $3120927.53   | 0.12%             | 2026-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL2 LLC                                                                 | VCAT 2021-NPL2 A1 LLC 2.115% 03/27/2051 144A                                                      | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3221260 | PA      | $2909261.01   | 0.11%             | 2051-03-27      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 1.447%/VAR 04/01/2025                                              | CUSIP: 251526CG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   3868000 | PA      | $3568380.43   | 0.14%             | 2025-04-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DELTA AIRLINES INC                                                                 | DELTA AIRLINES INC 2.9% 10/28/2024                                                                | CUSIP: 247361ZU5<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |   3603000 | PA      | $3415644.00   | 0.13%             | 2024-10-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 4.185% 02/15/2027                                                           | CUSIP: 595112BP7<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   5602000 | PA      | $5355803.70   | 0.21%             | 2027-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.25% 10/22/2026                                                      | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3873000 | PA      | $3792255.04   | 0.15%             | 2026-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2020-HB5                                            | CASCADE FUNDING MORTGAGE TRUST 2020-HB5 0.8335% 02/25/2031 144A                                   | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    808766 | PA      | $776484.73    | 0.03%             | 2031-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC                                | MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC 3ML+100 01/22/2031 144A                       | CUSIP: 55817AAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7928727 | PA      | $7781997.98   | 0.31%             | 2031-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2015-GC30                                                           | GS MTG SECS TR 2015-GC30 3.777% 05/10/2050                                                        | CUSIP: 36250GAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    539195 | PA      | $505991.59    | 0.02%             | 2050-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST                                              | PRESTON RIDGE PARTNERS MORTGAGE TRUST 2021-8 A1 VAR 12/31/2199 144A                               | CUSIP: 69360MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4194187 | PA      | $3662182.98   | 0.14%             | 2026-09-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 2.188%/VAR 04/28/2026                                                              | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3603000 | PA      | $3351476.91   | 0.13%             | 2026-04-28      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #436262                                                                           | CUSIP: 36207MTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       488 | PA      | $502.07       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.5% 01/15/2025                                                    | CUSIP: 681936BD1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    728000 | PA      | $708012.37    | 0.03%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                        | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |   1247000 | PA      | $1056579.02   | 0.04%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                               | SABRA HEALTH CARE LP 3.9% 10/15/2029                                                              | CUSIP: 78572XAG6<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    885000 | PA      | $730958.71    | 0.03%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-2                                                                        | PRPM 2021-2 2.115% 03/25/2026 144A                                                                | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3178214 | PA      | $2882128.49   | 0.11%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.65% 04/05/2027 144A                                                    | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1815000 | PA      | $1698941.31   | 0.07%             | 2027-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                         | TOLL BROS FIN CORP 4.875% 03/15/2027                                                              | CUSIP: 88947EAS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1404000 | PA      | $1315463.91   | 0.05%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #560401                                                                           | CUSIP: 36213PRW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4526 | PA      | $4750.65      | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                                        | MSC 2021-L6 XA 1.35631% 06/15/2054                                                                | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4409585 | PA      | $283733.01    | 0.01%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #481378                                                                          | CUSIP: 36209TXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1074 | PA      | $1109.96      | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                                           | DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 2% 12/14/2026 144A                                       | CUSIP: 233853AF7<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   4559000 | PA      | $3997920.09   | 0.16%             | 2026-12-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #590208                                                                           | CUSIP: 36201QU92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2112 | PA      | $2215.71      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 4% 04/15/2030                                                                        | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3063430.81   | 0.12%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #448427                                                                           | CUSIP: 36208ED83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2172 | PA      | $2207.22      | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST                                           | CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST 2.5501% 03/15/2053                                       | CUSIP: 12597NAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12446700 | PA      | $11054327.50  | 0.44%             | 2053-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #359551                                                                          | CUSIP: 31376ML83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       700 | PA      | $718.39       | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 1.045%/VAR 11/19/2026                                                       | CUSIP: 46647PBT2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3826000 | PA      | $3375050.73   | 0.13%             | 2026-11-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 4.75% 11/24/2025 144A                                                     | CUSIP: 83367TBR9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4777000 | PA      | $4550036.32   | 0.18%             | 2025-11-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 2.9% 05/15/2025                                                                | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3931000 | PA      | $3707710.94   | 0.15%             | 2025-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #593188                                                                           | CUSIP: 36201T6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19237 | PA      | $20237.95     | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-AON                                         | J P MORGAN CHASE COML MTG SECS TR 2018-AON-D 4.6132% 07/05/2031 144A                              | CUSIP: 46649XAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3508000 | PA      | $3038260.56   | 0.12%             | 2031-07-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 3.625% 04/15/2025                                                                    | CUSIP: 053332AY8<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    354000 | PA      | $344263.13    | 0.01%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 1.197/VAR 10/24/2026                                                  | CUSIP: 06051GJK6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11465000 | PA      | $10177690.88  | 0.40%             | 2026-10-24      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/25 #316682                                                                           | CUSIP: 31374KXK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       553 | PA      | $563.42       | 0.00%             | 2025-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.75% 08/15/2032                                                                        | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 191064300 | PA      | $176973307.88 | 6.98%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 5.67% 06/08/2032                                                            | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |   4927000 | PA      | $4680911.33   | 0.18%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 2.9% 08/15/2024                                                         | CUSIP: 674599CW3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   4024000 | PA      | $3863040.00   | 0.15%             | 2024-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #563613                                                                           | CUSIP: 36213TDS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       296 | PA      | $312.03       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRET 2022-RN1 LLC                                                                  | PRET 2022-RN1 LLC 3.4747% 07/25/2051 144A                                                         | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3246231 | PA      | $2959496.60   | 0.12%             | 2051-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.50% 6/36 #889526                                                                           | CUSIP: 31410KHB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1416 | PA      | $1454.32      | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/25 #312899                                                                           | CUSIP: 31374FRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        28 | PA      | $28.81        | 0.00%             | 2025-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #456862                                                                           | CUSIP: 36208PQP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       281 | PA      | $289.57       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                  | BERKSHIRE HATHAWAY ENERGY COMPANY 3.7% 07/15/2030                                                 | CUSIP: 084659AV3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    306000 | PA      | $283947.93    | 0.01%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE                                                       | BARCLAYS COMMERCIAL MORTGAGE 2.99% 11/15/2052                                                     | CUSIP: 05492JAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3603371 | PA      | $3297426.06   | 0.13%             | 2052-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.3% 07/22/2027                                                            | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   6407000 | PA      | $6187772.64   | 0.24%             | 2027-07-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L         | BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2638341 | PA      | $2159394.72   | 0.09%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                   | FIRSTENERGY CORP 2.05% 03/01/2025                                                                 | CUSIP: 337932AK3<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   2124000 | PA      | $1959847.51   | 0.08%             | 2025-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW MTG LN TR 2020-1                                                         | OCEANVIEW MTG LN TR 2020-1 1.73291% 05/28/2050 144A                                               | CUSIP: 676477AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    120127 | PA      | $105921.53    | 0.00%             | 2050-05-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 1.631% 05/15/2051 144A                                                               | CUSIP: 78403DAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9827000 | PA      | $8338332.34   | 0.33%             | 2051-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 2.129%/VAR 11/24/2026                                              | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   6434000 | PA      | $5631227.50   | 0.22%             | 2026-11-24      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C11                                   | MSBAM 2013-C11 A4 CSTR 8/46                                                                       | CUSIP: 61762TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1081011 | PA      | $1064563.09   | 0.04%             | 2046-08-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/32 #574355                                                                           | CUSIP: 36200WBY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       881 | PA      | $913.15       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #456362                                                                           | CUSIP: 36208N5X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9937 | PA      | $10241.34     | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG SOFR 1.305%/VAR 02/02/2027 144A                                              | CUSIP: 225401AT5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   5890000 | PA      | $4631778.20   | 0.18%             | 2027-02-02      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                      | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    561000 | PA      | $461520.87    | 0.02%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #557611                                                                           | CUSIP: 36213LN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1284 | PA      | $1342.50      | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 2.045% 11/20/2051 144A                                                          | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |   7718040 | PA      | $6611442.86   | 0.26%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL REALTY INVESTMENT TR                                                       | FEDERAL REALTY INVESTMENT TR 3.95% 01/15/2024                                                     | CUSIP: 313747AU1<br>LEI: 549300LI6XZ51GOCJ427 | Long             | DBT              | CORP              | US        |   4586000 | PA      | $4523205.69   | 0.18%             | 2024-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.875% 01/27/2026                                                                  | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3014000 | PA      | $2920348.60   | 0.12%             | 2026-01-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK15                                                                    | BANK 2018-BNK15 4.285% 11/15/2061                                                                 | CUSIP: 06036FBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2620634 | PA      | $2539716.68   | 0.10%             | 2061-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/29 #323688                                                                           | CUSIP: 31374TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       246 | PA      | $253.86       | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP                                                                  | SITE CENTERS CORP 4.25% 02/01/2026                                                                | CUSIP: 23317HAE2<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |   1471000 | PA      | $1398567.95   | 0.06%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHEAST SUPPLY HEADER LLC                                                        | SOUTHEAST SUPPLY HEADER LLC 4.25% 06/15/2024 144A                                                 | CUSIP: 841504AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2009000 | PA      | $1813186.51   | 0.07%             | 2024-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2030#                                                                        | CUSIP: 31298DQH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       132 | PA      | $137.11       | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #482878                                                                          | CUSIP: 36209VM35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13114 | PA      | $13522.62     | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PARK PL SECS INC                                                                   | PPSI 2005-WCH1 M4 1ML+83 1/36                                                                     | CUSIP: 70069FFL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    139271 | PA      | $135668.09    | 0.01%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                          | ROYAL BK SCOTLND GRP PLC(UNGTD) 2.359/VAR 05/22/2024                                              | CUSIP: 780097BN0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2714000 | PA      | $2662015.77   | 0.11%             | 2024-05-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/25 #324037                                                                           | CUSIP: 31374T4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       815 | PA      | $828.43       | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EASTERN GAS TRANSMISSION and STORAGE INC                                           | EASTERN GAS TRANSMISSION and STORAGE INC 3% 11/15/2029                                            | CUSIP: 276480AH3<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |   3603000 | PA      | $3144154.60   | 0.12%             | 2029-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 5.75% 11/20/2025                                                                    | CUSIP: 02005NBF6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1336000 | PA      | $1318186.38   | 0.05%             | 2025-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.5% 01/15/2026 144A                                                  | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1203000 | PA      | $1139486.97   | 0.04%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #781584                                                                           | CUSIP: 36225BXM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       742 | PA      | $776.07       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/32 #545759                                                                           | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40765 | PA      | $42701.84     | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                        | BOSTON PPTYS LTD PARTNERSHIP 3.2% 01/15/2025                                                      | CUSIP: 10112RAZ7<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1884623.05   | 0.07%             | 2025-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 0.8% 08/18/2024                                                                    | CUSIP: 00914AAP7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2701000 | PA      | $2484316.25   | 0.10%             | 2024-08-18      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#AS8010                                                                  | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1160334 | PA      | $1097458.88   | 0.04%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                  | ARES CAPITAL CORP 3.25% 07/15/2025                                                                | CUSIP: 04010LAY9<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $8232039.27   | 0.32%             | 2025-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 3.526%/VAR 03/24/2028                                                      | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3510000 | PA      | $3260425.14   | 0.13%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                       | HUDSON PAC PPTYS LP 4.65% 04/01/2029                                                              | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |   4167000 | PA      | $3628691.73   | 0.14%             | 2029-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 08/01/2039#FM1353                                                                  | CUSIP: 3140X4QF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381050 | PA      | $379325.78    | 0.01%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 3.875% 09/10/2024                                                           | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3386000 | PA      | $3327860.38   | 0.13%             | 2024-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #433571                                                                           | CUSIP: 36207JT45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       413 | PA      | $425.83       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/32 #781548                                                                          | CUSIP: 36225BWH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1634 | PA      | $1707.07      | 0.00%             | 2032-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AON PLC UK                                                                         | AON PLC UK 3.875% 12/15/2025                                                                      | CUSIP: 00185AAK0<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |   4072000 | PA      | $3957712.85   | 0.16%             | 2025-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.375% 10/31/2028                                                                       | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9434700 | PA      | $8224404.89   | 0.32%             | 2028-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2021                                                     | RMF BUYOUT ISSUANCE TRUST 2021 1.268% 11/25/2031 144A                                             | CUSIP: 74969TAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2095428 | PA      | $1984036.13   | 0.08%             | 2031-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 3.65% 05/15/2025                                                                 | CUSIP: 745310AH5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1871032.23   | 0.07%             | 2025-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/24 #297466                                                                          | CUSIP: 31373MMP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       259 | PA      | $262.03       | 0.00%             | 2024-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                 | MITSUBISHI UFJ FIN GRP INC 1.64%/VAR 10/13/2027                                                   | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   7999000 | PA      | $6913660.16   | 0.27%             | 2027-10-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                          | MYLAN INC 4.55% 04/15/2028                                                                        | CUSIP: 628530BK2<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |   1002000 | PA      | $943617.60    | 0.04%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                    | BAE SYSTEMS PLC 3.4% 04/15/2030 144A                                                              | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   1006000 | PA      | $895304.53    | 0.04%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES A GE CO LLC / BAKER HUGHES CO-OBLIGOR INC                             | BAKER HUGHES A GE CO LLC / CO-OBLIGOR INC 2.061% 12/15/2026                                       | CUSIP: 05724BAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1245000 | PA      | $1121192.85   | 0.04%             | 2026-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2032#BM5109                                                                    | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5772811 | PA      | $5534347.78   | 0.22%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                                            | UBSCM 2017-C7 XA CSTR 12/50                                                                       | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  54614060 | PA      | $1941928.52   | 0.08%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #471517                                                                           | CUSIP: 36209GYN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       532 | PA      | $546.54       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/28 #482668                                                                           | CUSIP: 36209VFH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3462 | PA      | $3561.73      | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                          | ROYAL BK SCOTLND GRP PLC(UNGTD 4.519%/VAR 06/25/2024                                              | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   4506000 | PA      | $4458907.07   | 0.18%             | 2024-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2020-2                                                | DELL EQUIPMENT FINANCE TRUST 2020-2 0.57% 10/23/2023 144A                                         | CUSIP: 24704GAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1169169 | PA      | $1153729.05   | 0.05%             | 2023-10-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #587033                                                                           | CUSIP: 36201MEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2541 | PA      | $2660.47      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #476306                                                                           | CUSIP: 36209NDK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       301 | PA      | $310.71       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 09/01/2034#FM1578                                                                  | CUSIP: 3140X4XG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    929591 | PA      | $901747.88    | 0.04%             | 2034-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JDE PEETS BV                                                                       | JDE PEETS BV 1.375% 01/15/2027 144A                                                               | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |   1001000 | PA      | $845383.68    | 0.03%             | 2027-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #486531                                                                           | CUSIP: 36210APQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3014 | PA      | $3101.54      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/25 #250384                                                                          | CUSIP: 31371FCV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23 | PA      | $23.70        | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                        | APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A                                | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    455332 | PA      | $365420.61    | 0.01%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-LC11                                        | JP MORGAN CH CMS 13-LC11 2.9599% 04/15/2046                                                       | CUSIP: 46639YAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1348971 | PA      | $1334911.48   | 0.05%             | 2046-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #AE0746                                                                           | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98111 | PA      | $102908.40    | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AJAXM 2021-C                                                                       | AJAXM 2021-C 2.115% 01/25/2061 144A                                                               | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1481857 | PA      | $1387988.19   | 0.05%             | 2061-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.50% 11/34 #310105                                                                          | CUSIP: 31374CNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    759422 | PA      | $778758.41    | 0.03%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 21-GS5                                                 | LEGACY MORTGAGE ASSET TRUST 21-GS5 VAR 07/25/2067 144A                                            | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4880441 | PA      | $4115694.33   | 0.16%             | 2067-07-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 2.646% 10/04/2031 144A                                                      | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   6486000 | PA      | $4990656.14   | 0.20%             | 2031-10-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                                          | CGDB COML MTG TR 2019-MOB A 1ML+100 11/15/2036 144A                                               | CUSIP: 125284AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870050 | PA      | $844883.02    | 0.03%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                     | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3019804 | PA      | $2601474.75   | 0.10%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.69% 07/15/2060 144A                                                     | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4201748 | PA      | $3715705.44   | 0.15%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #438075                                                                           | CUSIP: 36207PT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       965 | PA      | $993.84       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B MORTGAGE TRUST 2020                                               | BENCHMARK 2019-B MORTGAGE TRUST 2020 CSTR 03/15/2053                                              | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32107008 | PA      | $1985828.05   | 0.08%             | 2053-03-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 2.75% 02/15/2023                                                           | CUSIP: 91324PBZ4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    448000 | PA      | $446374.73    | 0.02%             | 2023-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                               | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                              | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $1949586.11   | 0.08%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #457923                                                                          | CUSIP: 36208QVQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1042 | PA      | $1070.01      | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT III AIRCRAFT LEASE LTD                                                 | THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A                                | CUSIP: 88607AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1821893 | PA      | $1376658.76   | 0.05%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 4.25% 02/01/2024                                                                   | CUSIP: 00914AAA0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1937000 | PA      | $1902679.46   | 0.08%             | 2024-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.956/VAR 05/13/2031                                                        | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4616000 | PA      | $3849225.62   | 0.15%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2033#AL2982                                                                  | CUSIP: 3138EKJ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383478 | PA      | $357270.51    | 0.01%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #397332                                                                           | CUSIP: 31378FLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1661 | PA      | $1714.66      | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                  | GENERAL MOTORS CO 6.125% 10/01/2025                                                               | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3318862.27   | 0.13%             | 2025-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 07/01/2027#                                                                        | CUSIP: 31292GST4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        32 | PA      | $33.58        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 1.65% 03/25/2026                                                                      | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2045000 | PA      | $1835567.85   | 0.07%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                                                     | SEMT 2004-6 A3B 6ML+44 7/34                                                                       | CUSIP: 81744FCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1378 | PA      | $1242.02      | 0.00%             | 2034-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A                                     | CUSIP: 92858TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  60124543 | PA      | $1634407.54   | 0.06%             | 2042-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                      | AIA GROUP LTD 3.375% 04/07/2030 144A                                                              | CUSIP: 00131LAJ4<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   2279000 | PA      | $2011912.30   | 0.08%             | 2030-04-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                 | MITSUBISHI UFJ FIN GRP INC 2.193% 02/25/2025                                                      | CUSIP: 606822BN3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   4678000 | PA      | $4393309.22   | 0.17%             | 2025-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2030#                                                                        | CUSIP: 31298AU27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       208 | PA      | $213.02       | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                             | EQUITABLE HOLDINGS INC 4.35% 04/20/2028                                                           | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |   7076000 | PA      | $6729819.65   | 0.27%             | 2028-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C22                                                    | JPMBB COML MTG SECS TR 2014-C22 3.8012% 09/15/2047                                                | CUSIP: 46642NBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1622827 | PA      | $1565205.44   | 0.06%             | 2047-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL4 TR                                                                  | CSMC 2020-RPL4 TR 2% 01/25/2060 144A                                                              | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    547925 | PA      | $462887.19    | 0.02%             | 2060-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/35 #AD0723                                                                          | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144578 | PA      | $151588.82    | 0.01%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                           | EQT CORP 5.7% 04/01/2028                                                                          | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    352000 | PA      | $351669.12    | 0.01%             | 2028-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                             | IPALCO ENTERPRISES INC 3.7% 09/01/2024                                                            | CUSIP: 462613AM2<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    803000 | PA      | $777664.25    | 0.03%             | 2024-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE NATL ASSN MCLEAN VA                                                    | CAPITAL ONE BK (USA) NA 2.28%/VAR 01/28/2026                                                      | CUSIP: 14042TCT2<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |   3728000 | PA      | $3468189.53   | 0.14%             | 2026-01-28      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BCP TR 2021-330N                                                                   | BCP TR 2021-330N 1ML+97.5 06/15/2038 144A                                                         | CUSIP: 05553BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7992933 | PA      | $7499879.34   | 0.30%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                             | OREILLY AUTOMOTIVE INC 4.2% 04/01/2030                                                            | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    367000 | PA      | $347763.07    | 0.01%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MTR CR CO LLC 2.3% 02/10/2025                                                                | CUSIP: 345397B85<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   2621000 | PA      | $2404767.50   | 0.09%             | 2025-02-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #460912                                                                           | CUSIP: 36208UAM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       914 | PA      | $938.58       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 5.125% 11/17/2027                                                          | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |  10400000 | PA      | $10421988.82  | 0.41%             | 2027-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 1.7% 09/15/2028                                                                     | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $2786906.70   | 0.11%             | 2028-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #486599                                                                          | CUSIP: 36210ARU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       978 | PA      | $1008.35      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2019-NQM4                                                | NEW RESIDENTIAL MTG LN TR 2019-NQM4 3.5% 08/25/2059 144A                                          | CUSIP: 64830MAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    881699 | PA      | $796615.31    | 0.03%             | 2059-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #572541                                                                           | CUSIP: 36200UBJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4030 | PA      | $4231.94      | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2017-1R                                          | CASTLELAKE AIRCRAFT SECURITIZATION TRUST 2.741% 08/15/2041 144A                                   | CUSIP: 14856JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3846780 | PA      | $3298613.52   | 0.13%             | 2041-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                     | MAGALLANES INC 4.054% 03/15/2029 144A                                                             | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    535000 | PA      | $468515.65    | 0.02%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 4.95% 06/15/2028                                                               | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3168994.90   | 0.13%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/32 #545762                                                                           | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7777 | PA      | $8143.46      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 4.25% 04/15/2027                                                               | CUSIP: 15135UAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   7207000 | PA      | $6904490.86   | 0.27%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 10/01/2034#FM1579                                                                  | CUSIP: 3140X4XH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565499 | PA      | $548561.66    | 0.02%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO 2017-1 LTD / TCI-SYMPHONY CLO 2017-1 LLC                          | TCI-SYMPHONY CLO 2017-1 LTD / TCI-SYMPHONY CLO 2017-1 LLC 3ML+92 07/15/2030 144A                  | CUSIP: 87232BAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7194007 | PA      | $7063097.61   | 0.28%             | 2030-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                     | BLACKSTONE PRIVATE CREDIT FUND 4.7% 03/24/2025                                                    | CUSIP: 09261HAT4<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |  10119000 | PA      | $9889570.60   | 0.39%             | 2025-03-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                              | TRUIST FINANCIAL CORP 4.26%/VAR 07/28/2026                                                        | CUSIP: 89788MAH5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   5759000 | PA      | $5654056.05   | 0.22%             | 2026-07-28      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.375% 08/01/2023                                                  | CUSIP: 681936BJ8<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    412000 | PA      | $406613.49    | 0.02%             | 2023-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 0.95% 08/15/2025                                                                     | CUSIP: 65473PAK1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1420206.62   | 0.06%             | 2025-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                           | WILLIS NORTH AMERICA INC 4.5% 09/15/2028                                                          | CUSIP: 970648AG6<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |   3603000 | PA      | $3404180.08   | 0.13%             | 2028-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                               | WESTPAC BANKING CORP 5.405%/VAR 08/10/2033                                                        | CUSIP: 961214FG3<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   4259000 | PA      | $3932796.93   | 0.16%             | 2033-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 3.95% 07/15/2030 144A                                                                    | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   4292000 | PA      | $3757646.00   | 0.15%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 5.125% 09/30/2024                                                                   | CUSIP: 02005NAV2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   6421000 | PA      | $6370285.66   | 0.25%             | 2024-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 2.2% 01/15/2027                                                                    | CUSIP: 00914AAR3<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2524000 | PA      | $2202165.67   | 0.09%             | 2027-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569898                                                                           | CUSIP: 36200RDB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1038 | PA      | $1090.70      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-HB7 LLC                                                                  | CFMT 2021-HB7 LLC 1.3034% 10/27/2031 144A                                                         | CUSIP: 12530BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1662211 | PA      | $1553125.95   | 0.06%             | 2031-10-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC                                                                    | DOLLAR TREE INC 4% 05/15/2025                                                                     | CUSIP: 256746AG3<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |   7993000 | PA      | $7831361.56   | 0.31%             | 2025-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                                              | TMTS 2003-4HE A 1ML+43 9/34                                                                       | CUSIP: 881561BU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75255 | PA      | $70980.16     | 0.00%             | 2034-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                                                   | NEW YORK MORTGAGE TRUST 2021-SP1 1.6696% 08/25/2061 144A                                          | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1611442 | PA      | $1431495.23   | 0.06%             | 2061-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                               | BARCLAYS PLC (UNGTD) 2.852%/VAR 05/07/2026                                                        | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   6455000 | PA      | $5951604.31   | 0.23%             | 2026-05-07      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MTG TR 2021-8                                                            | ANGEL OAK MTG TR 2021-8 1.82% 12/01/2025 144A                                                     | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4217955 | PA      | $3483590.65   | 0.14%             | 2066-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                    | DANSKE BANK AS (UNGTD) 3.875% 09/12/2023 144A                                                     | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1965000 | PA      | $1936132.05   | 0.08%             | 2023-09-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                          | NATWEST GRP PLC(UNGTD) 1.642/VAR 06/14/2027                                                       | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2293000 | PA      | $1963113.91   | 0.08%             | 2027-06-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 09/15/2025                                                                         | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42648500 | PA      | $41962125.70  | 1.66%             | 2025-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                  | BERKSHIRE HATHAWAY ENERGY COMPANY 3.25% 04/15/2028                                                | CUSIP: 084659AM3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |   3931000 | PA      | $3658670.70   | 0.14%             | 2028-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION LLC 2021                                                 | VCAT ASSET SECURITIZATION LLC 2021 2.2891% 12/26/2050 144A                                        | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    697139 | PA      | $665459.93    | 0.03%             | 2050-12-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 0.68% 08/15/2025 144A                                            | CUSIP: 361886CH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1813000 | PA      | $1754017.31   | 0.07%             | 2025-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                                | OTIS WORLDWIDE CORP 2.056% 04/05/2025                                                             | CUSIP: 68902VAH0<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3185183.41   | 0.13%             | 2025-04-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                         | MIZUHO FINL GROUP INC 1.234%/VAR 5/22/2027                                                        | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   6552000 | PA      | $5667767.96   | 0.22%             | 2027-05-22      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                        | GSMS 2021-IP A 1ML+105 10/15/2036 144A                                                            | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1713894 | PA      | $1595220.38   | 0.06%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 4.75% 06/09/2027                                                                    | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   7141000 | PA      | $6723493.37   | 0.27%             | 2027-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 2.7% 02/01/2027                                                                         | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $2959519.20   | 0.12%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 10/31/2029                                                                           | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12505400 | PA      | $12694934.97  | 0.50%             | 2029-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #457826                                                                          | CUSIP: 36208QSP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2557 | PA      | $2614.77      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.974%/VAR 02/07/2030                                                 | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4455000 | PA      | $4097076.84   | 0.16%             | 2030-02-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.625% 09/30/2026                                                                       | CUSIP: 912828YG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52120300 | PA      | $47850914.62  | 1.89%             | 2026-09-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #476576                                                                           | CUSIP: 36209NMZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       817 | PA      | $835.36       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 3.25% 02/15/2027 144A                                                 | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1829000 | PA      | $1554947.01   | 0.06%             | 2027-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.875% 02/01/2029                                                                         | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1806000 | PA      | $1818231.41   | 0.07%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.15% 05/01/2030                                                                        | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2752000 | PA      | $2684936.46   | 0.11%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #468122                                                                           | CUSIP: 36209DAX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       913 | PA      | $941.04       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 3.95% 07/01/2024 144A                                                 | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1996000 | PA      | $1900882.00   | 0.07%             | 2024-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.50% 5/34 #Z40042                                                                           | CUSIP: 3132FCBK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1060613 | PA      | $1088569.94   | 0.04%             | 2034-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                                            | GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A                                                    | CUSIP: 36191YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3434808 | PA      | $3364556.66   | 0.13%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-LGCY                                                                    | BX TR 2022-GPA A TSFR1M+221.5 10/15/2039 144A                                                     | CUSIP: 05608UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1627000 | PA      | $1619863.82   | 0.06%             | 2039-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.25% 08/15/2027                                                                        | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9273400 | PA      | $8636578.19   | 0.34%             | 2027-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TR 2022-HB1                                                    | RMF BUYOUT ISSUANCE TR 2022-HB1 A 0% 04/25/2032 144A                                              | CUSIP: 76970HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1143008 | PA      | $1108083.71   | 0.04%             | 2032-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026                                                | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    882000 | PA      | $828519.64    | 0.03%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-C16                                         | J P MORGAN CHASE COML MTG SECS TR 2013-C16 4.5169% 12/15/2046                                     | CUSIP: 46641BAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2687460 | PA      | $2629233.22   | 0.10%             | 2046-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #453018                                                                           | CUSIP: 36208KG37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        69 | PA      | $69.34        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 5.21%/VAR 08/11/2028                                                            | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4111000 | PA      | $3967028.01   | 0.16%             | 2028-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3% 10/29/2028                                  | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1456000 | PA      | $1230158.95   | 0.05%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 25YR 5.50% 7/35 #G05815                                                                      | CUSIP: 3128M7YL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95381 | PA      | $98056.28     | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #449499                                                                           | CUSIP: 36208FKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1352 | PA      | $1389.48      | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TCI-FLATIRON CLO 2016-1 LTD / TCI-FLATIRON CLO 2016-1 LLC                          | TCI-FLATIRON CLO 2017-1A AR LTD/LLC 3ML+96 11/18/2030 144A                                        | CUSIP: 87231BAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5936390 | PA      | $5836041.26   | 0.23%             | 2030-11-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #459933                                                                           | CUSIP: 36208S4S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1228 | PA      | $1265.32      | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                                        | TRUIST BANK 2.75% 05/01/2023                                                                      | CUSIP: 86787EAN7<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   2817000 | PA      | $2792534.97   | 0.11%             | 2023-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #460023                                                                           | CUSIP: 36208TAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6411 | PA      | $6607.88      | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                          | ROGERS COMMUNICATIONS INC 3.2% 03/15/2027 144A                                                    | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |   1663000 | PA      | $1551799.26   | 0.06%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #408159                                                                          | CUSIP: 31378TMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1208 | PA      | $1223.12      | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2013-16 GP 3% 1/1/33                                                                          | CUSIP: 3136ACSD4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |   1225868 | PA      | $1182258.55   | 0.05%             | 2033-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 1.162% 04/03/2026 144A                                                           | CUSIP: 62954WAC9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   4930000 | PA      | $4378976.96   | 0.17%             | 2026-04-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 2.35% 02/26/2027                                                         | CUSIP: 37045XDR4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2686000 | PA      | $2365308.17   | 0.09%             | 2027-02-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2019-AB1                                            | FINANCE OF AMERICA HECM BUYOUT 2019-AB1 VAR 02/25/2032 144A                                       | CUSIP: 31735JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5255053 | PA      | $5050093.71   | 0.20%             | 2032-02-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 1.35% 02/03/2027                                                                       | CUSIP: 444859BQ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   3931000 | PA      | $3391278.34   | 0.13%             | 2027-02-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #410455                                                                           | CUSIP: 36206F5Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       435 | PA      | $448.02       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MOSAIC CO                                                                          | MOSAIC CO NEW 4.25% 11/15/2023                                                                    | CUSIP: 61945CAC7<br>LEI: 2YD5STGSJNMUB7H76907 | Long             | DBT              | CORP              | US        |   3338000 | PA      | $3304896.52   | 0.13%             | 2023-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                       | DNB BANK ASA T5Y 1.535%/VAR 05/25/2027 144A                                                       | CUSIP: 23329PAG5<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   2813000 | PA      | $2453810.45   | 0.10%             | 2027-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW TRUST 2021-EB01                                                          | OCEANVIEW TRUST 2021-EB01 VAR 12/29/2051 144A                                                     | CUSIP: 67647NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |   2045618 | PA      | $1984247.15   | 0.08%             | 2051-12-29      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MTG TR                                                           | BENCHMARK MORTGAGE TRUST 2018-B7 A2 4.377% 05/15/2053                                             | CUSIP: 08162TAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2125989 | PA      | $2093601.05   | 0.08%             | 2053-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                 | MITSUBISHI UFJ FIN GRP INC 5.017%/VAR 07/20/2028                                                  | CUSIP: 606822CL6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   8910000 | PA      | $8734228.15   | 0.34%             | 2028-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 2YR NOTE (CBT) FUT MAR23 TUH3                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       236 | NC      | $123068.10    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                   | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+115 01/15/2039 144A                                       | CUSIP: 05530SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1605138 | PA      | $1546169.72   | 0.06%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #447983                                                                           | CUSIP: 36208DUG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        25 | PA      | $26.08        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.25% 09/30/2028                                                                        | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17504800 | PA      | $15177208.63  | 0.60%             | 2028-09-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.45% 07/15/2028                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   2742000 | PA      | $2305962.22   | 0.09%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                     | CSMC 2018-SITE 4.284% 04/15/2036 144A                                                             | CUSIP: 12690CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1224491 | PA      | $1161376.94   | 0.05%             | 2036-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GCJ16                                                          | GSMS 2013-GC16 AS 4.649% 11/46                                                                    | CUSIP: 36248GAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8767658 | PA      | $8588979.27   | 0.34%             | 2046-11-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 4.7% 04/02/2027                                                                  | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   4143000 | PA      | $3994560.33   | 0.16%             | 2027-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                             | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+70.1 11/15/2036 144A                                   | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4099981 | PA      | $3911170.31   | 0.15%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                                | SUMITOMO MITSUI FINL GRP INC 1.402% 09/17/2026                                                    | CUSIP: 86562MCH1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   5765000 | PA      | $5012886.86   | 0.20%             | 2026-09-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                      | VOLKSWAGEN GROUP AMER FIN LLC 4.35% 06/08/2027 144A                                               | CUSIP: 928668BS0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   2839000 | PA      | $2747463.66   | 0.11%             | 2027-06-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2015-GC34                                                           | GSMS 2015 GC34 AAB 3.278% 10/10/2048                                                              | CUSIP: 36250VAE2<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |    514952 | PA      | $495491.13    | 0.02%             | 2048-10-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                             | ROPER TECHNOLOGIES INC 1.4% 09/15/2027                                                            | CUSIP: 776743AN6<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $2799894.86   | 0.11%             | 2027-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/24 #250153                                                                          | CUSIP: 31371EZS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        47 | PA      | $47.41        | 0.00%             | 2024-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                                  | STATE STREET CORP 2.901%/VAR 03/30/2026                                                           | CUSIP: 857477BM4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    199000 | PA      | $189198.98    | 0.01%             | 2026-03-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 5% 07/31/2027 144A                                                       | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   6060000 | PA      | $5688364.99   | 0.22%             | 2027-07-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                                                       | WELLS FARGO COML MTG TR 2017-RC1 ASB 3.453% 01/15/2060                                            | CUSIP: 95001FAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1789861 | PA      | $1720640.50   | 0.07%             | 2060-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                       | WP CAREY INC 3.85% 07/15/2029                                                                     | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    415000 | PA      | $372527.59    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFMT 2022-HB8 LLC                                                                  | CFMT 2022-HB8 LLC 3.75% 04/24/2025 144A                                                           | CUSIP: 12526WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6163057 | PA      | $5931942.19   | 0.23%             | 2025-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C8                                              | UBS COMMERCIAL MORTGAGE TRUST 2018-C8 3.903% 02/15/2051                                           | CUSIP: 90276VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2810630 | PA      | $2699183.18   | 0.11%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-1 TR                                                                    | AASET 2021-1 TR 2.95% 11/16/2041 144A                                                             | CUSIP: 00038PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1931967 | PA      | $1535868.63   | 0.06%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.875% 02/28/2027                                                                       | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28930600 | PA      | $26643274.44  | 1.05%             | 2027-02-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG 2.593%/VAR 09/11/2025 144A                                                   | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   3276000 | PA      | $2902171.51   | 0.11%             | 2025-09-11      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP                                                                  | SITE CENTERS CORP 3.625% 02/01/2025                                                               | CUSIP: 23317HAD4<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    890000 | PA      | $839837.62    | 0.03%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.083/VAR 04/22/2026                                                        | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4652000 | PA      | $4321771.64   | 0.17%             | 2026-04-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.6% 03/09/2026                                                                     | CUSIP: 172967KJ9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2180000 | PA      | $2149260.60   | 0.08%             | 2026-03-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                               | EDISON INTERNATIONAL 2.95% 03/15/2023                                                             | CUSIP: 281020AJ6<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    790000 | PA      | $785559.02    | 0.03%             | 2023-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-C10                                         | JP MORGAN CHASE COML MTG SECS TR 2013-C10 A5 3.1425% 12/15/2047                                   | CUSIP: 46639JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540171 | PA      | $538366.61    | 0.02%             | 2047-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.125% 03/15/2027 144A                                                                    | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   8583000 | PA      | $7807214.90   | 0.31%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                            | BANK OF NOVA SCOTIA 4.5% 12/16/2025                                                               | CUSIP: 064159HB5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   4193000 | PA      | $4140647.67   | 0.16%             | 2025-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                          | ROYAL BK SCOTLND GRP PLC(UNGTD) 3.073/VAR 05/22/2028                                              | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2293000 | PA      | $2029958.92   | 0.08%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #549563                                                                           | CUSIP: 36213BQQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       749 | PA      | $775.30       | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.125% 08/31/2028                                                                       | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  69709200 | PA      | $60110570.10  | 2.37%             | 2028-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 0.976/VAR 05/24/2025                                                            | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1638000 | PA      | $1506789.21   | 0.06%             | 2025-05-24      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BX 2021-BXMF                                                                       | BX 2021-BXMF 1ML+64 10/15/2026 144A                                                               | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2756907 | PA      | $2615606.97   | 0.10%             | 2026-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2020-HB4 LLC                                                                  | CFMT 2020-HB4 A LLC 0% 12/26/2030 144A                                                            | CUSIP: 12529LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    472270 | PA      | $456264.19    | 0.02%             | 2030-12-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                        | MOODYS CORP 3.25% 01/15/2028                                                                      | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   4586000 | PA      | $4237447.81   | 0.17%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #481853                                                                           | CUSIP: 36209UH66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       605 | PA      | $625.34       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MTG TR                                                                 | CD MTG TR 2017-CD5 AAB 3.22% 08/15/2050                                                           | CUSIP: 12515HBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1533281 | PA      | $1446137.00   | 0.06%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAP I INC                                                       | MSAC 04-HE7 B3 1ML+350 8/34                                                                       | CUSIP: 61744CGL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    103559 | PA      | $110291.16    | 0.00%             | 2034-08-25      | Variable      | 0.09%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/23 #050775                                                                           | CUSIP: 313615MY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10 | PA      | $9.80         | 0.00%             | 2023-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                  | EVERSOURCE ENERGY 2.8% 05/01/2023                                                                 | CUSIP: 664397AK2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   3065000 | PA      | $3038065.27   | 0.12%             | 2023-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 4.2% 09/15/2023                                                                | CUSIP: 29278NAC7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1088000 | PA      | $1080053.65   | 0.04%             | 2023-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                             | DISCOVER FINANCIAL SVS 4.5% 01/30/2026                                                            | CUSIP: 254709AP3<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |   1591000 | PA      | $1531560.46   | 0.06%             | 2026-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 1.05% 03/08/2024                                                         | CUSIP: 37045XDG8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1318000 | PA      | $1246818.33   | 0.05%             | 2024-03-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.97/VAR 03/05/29                                                     | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3043057.53   | 0.12%             | 2029-03-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP SOFR 4.985%/VAR 07/24/2026                                             | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2495000 | PA      | $2473213.11   | 0.10%             | 2026-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 2.836% 01/15/2050 144A                                                               | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1874000 | PA      | $1763554.87   | 0.07%             | 2050-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #462703                                                                           | CUSIP: 36208WAC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2639 | PA      | $2706.12      | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIMCO 2019                                                                         | AIMCO 2019 3ML+106 07/22/2032 144A                                                                | CUSIP: 00901AAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7490426 | PA      | $7305614.72   | 0.29%             | 2032-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2019-B                                                      | JOHN DEERE OWNER TR 2019-B 2.32% 05/15/2026                                                       | CUSIP: 477870AD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2030000 | PA      | $2028378.23   | 0.08%             | 2026-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #484404                                                                           | CUSIP: 36209XDH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       375 | PA      | $386.06       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 1.645/VAR 04/18/2026                                                            | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   8191000 | PA      | $7360263.05   | 0.29%             | 2026-04-18      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 03/01/2039#FM1774                                                                  | CUSIP: 3140X46L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298163 | PA      | $296813.31    | 0.01%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/26 #250673                                                                           | CUSIP: 31371FMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       247 | PA      | $253.39       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                                                   | UPSTART SECURITIZATION TR 2021-1 0.87% 03/20/2031 144A                                            | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25267 | PA      | $25133.22     | 0.00%             | 2031-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.125% 05/15/2025                                                                       | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    655500 | PA      | $623698.01    | 0.02%             | 2025-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.271%/VAR 07/23/2029                                                 | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2293000 | PA      | $2158495.14   | 0.09%             | 2029-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 1.73% 10/02/2026 144A                                                       | CUSIP: 04685A3D1<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   4452000 | PA      | $3839307.92   | 0.15%             | 2026-10-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIP FIN LLC 2019-B                                                          | MMAF EQUIP FIN LLC 2019-B 2.01% 12/12/2024 144A                                                   | CUSIP: 55316EAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1428594 | PA      | $1399932.04   | 0.06%             | 2024-12-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.04% 05/01/2027                                                                        | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   6027000 | PA      | $5968523.70   | 0.24%             | 2027-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #433774                                                                           | CUSIP: 36207J2F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1272 | PA      | $1308.93      | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLTOWER INC                                                                      | WELLTOWER INC 3.625% 03/15/2024                                                                   | CUSIP: 95040QAG9<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |   1673000 | PA      | $1638984.97   | 0.06%             | 2024-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/32 #781569                                                                          | CUSIP: 36225BW61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5522 | PA      | $5774.62      | 0.00%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                                               | VERIZON MASTER TRUST 2021-1 A 0.69% 05/20/2027                                                    | CUSIP: 92348KAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6025000 | PA      | $5590420.37   | 0.22%             | 2027-05-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3949 MK 4.5% 10/34                                                                            | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    209411 | PA      | $207990.65    | 0.01%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                                           | INTERNATIONAL FLAVS and FRAG INC 1.832% 10/15/2027 144A                                           | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $2737832.09   | 0.11%             | 2027-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.948/VAR 07/22/2028                                                  | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5700000 | PA      | $5587603.70   | 0.22%             | 2028-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #467858                                                                           | CUSIP: 36209CWT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4725 | PA      | $4836.30      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.522/VAR 04/22/2031                                                        | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $2709414.62   | 0.11%             | 2031-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 3.222% 08/15/2024                                                                | CUSIP: 05526DAZ8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1895133.66   | 0.07%             | 2024-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.125% 07/03/2023                              | CUSIP: 00774MAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4646000 | PA      | $4604251.83   | 0.18%             | 2023-07-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                      | VOLKSWAGEN GROUP AMER FIN LLC 1.25% 11/24/2025 144A                                               | CUSIP: 928668BL5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   8052000 | PA      | $7209430.91   | 0.28%             | 2025-11-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NIAGARA PARK CLO LLC                                                               | NIAGARA PARK CLO LLC 3ML+100 07/17/2032 144A                                                      | CUSIP: 65357LAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6158489 | PA      | $5999273.58   | 0.24%             | 2032-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #167424                                                                          | CUSIP: 36216K4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8790 | PA      | $9068.75      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                                          | BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A                                               | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16200969 | PA      | $685607.18    | 0.03%             | 2052-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 4.5% 04/15/2030                                                                     | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   4586000 | PA      | $4461962.78   | 0.18%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 4.35% 04/09/2025                                                         | CUSIP: 37045XCK0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   3931000 | PA      | $3847350.40   | 0.15%             | 2025-04-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565092                                                                           | CUSIP: 36213UXV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34286 | PA      | $36082.78     | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST 2019-1                                                | METLIFE SECURITIZATION TRUST 2019-1A A1A 3.75% 04/25/2058 144A                                    | CUSIP: 59166EAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    277698 | PA      | $269433.05    | 0.01%             | 2058-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                | SYNCHRONY FINANCIAL 4.375% 03/19/2024                                                             | CUSIP: 87165BAN3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   4395000 | PA      | $4316426.94   | 0.17%             | 2024-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #590024                                                                           | CUSIP: 36201QPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14146 | PA      | $14898.40     | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                               | BARCLAYS PLC (UNGTD) 2.279%/VAR 11/24/2027                                                        | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   8576000 | PA      | $7376344.52   | 0.29%             | 2027-11-24      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565482                                                                           | CUSIP: 36213VFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       337 | PA      | $354.33       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2022-RPL1                                                 | BRAVO RESIDENTIAL FDG TR 2022-RPL1 2.75% 09/25/2061 144A                                          | CUSIP: 10569XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8320759 | PA      | $6908764.79   | 0.27%             | 2061-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                            | SANTANDER HLDGS USA INC 2.49%/VAR 01/06/2028                                                      | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   5891000 | PA      | $5112247.15   | 0.20%             | 2028-01-06      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                                                | SVB FINANCIAL GROUP 3.125% 06/05/2030                                                             | CUSIP: 78486QAE1<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   1934000 | PA      | $1582255.61   | 0.06%             | 2030-06-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 3.875% 03/15/2023                                                           | CUSIP: 23311VAD9<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   2313000 | PA      | $2300972.40   | 0.09%             | 2023-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #490107                                                                          | CUSIP: 36210ENY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1451 | PA      | $1502.11      | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NET                                                                      | CSMC 2020-NET 2.2569% 08/15/2037 144A                                                             | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    954685 | PA      | $852118.24    | 0.03%             | 2037-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #575010                                                                           | CUSIP: 36200WYF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4079 | PA      | $4289.89      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #550969                                                                          | CUSIP: 36213DCE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2516 | PA      | $2634.99      | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #553442                                                                           | CUSIP: 36213FZF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22215 | PA      | $23311.12     | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                       | Fidelity Cash Central Fund                                                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  12411961 | NS      | $12414443.78  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.625% 09/01/2028                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3265696.29   | 0.13%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #579560                                                                           | CUSIP: 36201CZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16676 | PA      | $17562.86     | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 1.792/VAR 06/09/2027 144A                                                 | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4104000 | PA      | $3491807.59   | 0.14%             | 2027-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+71.21 10/15/2036 144A                                   | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2970488 | PA      | $2834610.45   | 0.11%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 2.222%/VAR 09/18/2024                                              | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   4403000 | PA      | $4224246.39   | 0.17%             | 2024-09-18      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/32 #735415                                                                          | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14333 | PA      | $15007.86     | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 1.45% 10/02/2023                                                                    | CUSIP: 02005NBL3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    640000 | PA      | $618031.80    | 0.02%             | 2023-10-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                       | ALIMENTATION COUCHE-TARD INC 2.95% 01/25/2030 144A                                                | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   1785000 | PA      | $1521217.34   | 0.06%             | 2030-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM7 TR                                                                  | GCAT 2021-NQM7 TR 1.888% 08/25/2066 144A                                                          | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2328920 | PA      | $1979390.39   | 0.08%             | 2066-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BEAR STRNS ASSET BACKED SECS I TR                                                  | BSABS 2005-HE2 M2 1ML+75 2/35                                                                     | CUSIP: 073879RA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    278908 | PA      | $274894.02    | 0.01%             | 2035-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-EBO1 LLC                                                                 | CFMT 2021-EBO1 LLC 1.1581% 11/25/2050 144A                                                        | CUSIP: 12530AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1303838 | PA      | $1222500.02   | 0.05%             | 2050-11-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.625% 08/15/2029                                                                       | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  88353000 | PA      | $77588429.19  | 3.06%             | 2029-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4% 03/01/2028                                                         | CUSIP: 92277GAM9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    765000 | PA      | $713265.69    | 0.03%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPG TR 2021-PORT                                                                   | OPG TR 2021-PORT 1ML+49.8 10/15/2036 144A                                                         | CUSIP: 67118AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4440893 | PA      | $4212711.32   | 0.17%             | 2036-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP 1ML+73.08 11/15/2038 144A                                                       | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2758872 | PA      | $2636142.75   | 0.10%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 2.4% 03/15/2029                                                                  | CUSIP: 87264ACS2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2296000 | PA      | $1949894.32   | 0.08%             | 2029-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/30 #781196                                                                           | CUSIP: 36225BKH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2403 | PA      | $2483.95      | 0.00%             | 2030-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.25% 06/30/2029                                                                        | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50453700 | PA      | $48880963.32  | 1.93%             | 2029-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 1.375% 01/15/2026                                                                        | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   7207000 | PA      | $6402351.28   | 0.25%             | 2026-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.069/VAR 06/01/2029                                                        | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4914000 | PA      | $4132471.44   | 0.16%             | 2029-06-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 2.75% 03/15/2027 144A                                                                 | CUSIP: 30161NAZ4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    510000 | PA      | $470086.43    | 0.02%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                      | BAT INTL FINANCE PLC 1.668% 03/25/2026                                                            | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   8124000 | PA      | $7201347.73   | 0.28%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                    | AASET 2019-2 TR 3.376% 10/16/2039 144A                                                            | CUSIP: 00038RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1551635 | PA      | $1103340.54   | 0.04%             | 2039-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #465904                                                                           | CUSIP: 36209ARZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       158 | PA      | $162.55       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/25 #250307                                                                           | CUSIP: 31371FAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        54 | PA      | $55.13        | 0.00%             | 2025-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANK and TRUST COMPANY                                              | FIRST CITIZENS BANK and TRUST CO 2.969%/VAR 09/27/2025                                            | CUSIP: 12556LBJ4<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |   4416000 | PA      | $4161695.15   | 0.16%             | 2025-09-27      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.5% 07/15/2023                                                                           | CUSIP: 55336VAE0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    649000 | PA      | $645089.00    | 0.03%             | 2023-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 3.2% 02/05/2025                                                        | CUSIP: 14040HBG9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2293000 | PA      | $2202117.95   | 0.09%             | 2025-02-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 3.6% 02/01/2023                                                                | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2143179.36   | 0.08%             | 2023-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #563103                                                                          | CUSIP: 31386GRY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       615 | PA      | $640.02       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MTR CR CO LLC 3.375% 11/13/2025                                                              | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   8189000 | PA      | $7555417.07   | 0.30%             | 2025-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #474731                                                                           | CUSIP: 36209LLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1307 | PA      | $1354.27      | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #584449                                                                           | CUSIP: 36201JH28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33518 | PA      | $35311.65     | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #562722                                                                           | CUSIP: 36213SD36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       224 | PA      | $235.64       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/25 #303435                                                                           | CUSIP: 31373UBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       169 | PA      | $171.45       | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 06/01/2039#FM1045                                                                  | CUSIP: 3140X4ET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146376 | PA      | $145713.23    | 0.01%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                      | VOLKSWAGEN GROUP AMER FIN LLC 3.125% 05/12/2023 144A                                              | CUSIP: 928668BD3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   1548000 | PA      | $1533656.20   | 0.06%             | 2023-05-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                                                 | ALCON FINANCE CORP 2.75% 09/23/2026 144A                                                          | CUSIP: 01400EAA1<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   2685000 | PA      | $2460948.59   | 0.10%             | 2026-09-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C15 COML MTG TR                                                         | CSAIL 2019-C15 COML MTG TR 3.4505% 03/15/2052                                                     | CUSIP: 22945DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2125582 | PA      | $2054738.19   | 0.08%             | 2052-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC                                    | AIMCO CLO SER 2018-BA AR 3ML+110 01/15/2032 144A                                                  | CUSIP: 00900PAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5699878 | PA      | $5587675.90   | 0.22%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                      | AIA GROUP LTD 3.9% 04/06/2028 144A                                                                | CUSIP: 00131LAF2<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   5569000 | PA      | $5236499.35   | 0.21%             | 2028-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIII LTD                                                             | SYMPHONY CLO XXIII LTD 3ML+102 01/15/2034 144A                                                    | CUSIP: 87167NDC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6583032 | PA      | $6446269.51   | 0.25%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                   | KINDER MORGAN ENERGY PTNRS LP 3.5% 09/01/2023                                                     | CUSIP: 494550BQ8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   1980000 | PA      | $1953520.98   | 0.08%             | 2023-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 1.008%/VAR 07/30/2024 144A                                                           | CUSIP: 902613AB4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2724000 | PA      | $2640205.92   | 0.10%             | 2024-07-30      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.7% 02/16/2032                                                               | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3107000 | PA      | $2395030.95   | 0.09%             | 2032-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #323326                                                                           | CUSIP: 31374TD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        42 | PA      | $43.00        | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK OF AMER MERRILL LYNCH TR 2014-C17                                | MSBAM 2014-C17 ASB 3.477% 8/47                                                                    | CUSIP: 61763UAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1205590 | PA      | $1182780.24   | 0.05%             | 2047-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLS INC 2018-1B PASS THRU TR                                              | UNITED AIRLS INC 2018-1B PASS THRU TR 4.6% 09/01/2027                                             | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2207082 | PA      | $2005256.59   | 0.08%             | 2027-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                           | CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034                                                     | CUSIP: 162665AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2767457 | PA      | $2713466.29   | 0.11%             | 2034-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.5% 09/01/2030                                                                           | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1638000 | PA      | $1407811.86   | 0.06%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #367516                                                                           | CUSIP: 31376WGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       920 | PA      | $953.77       | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 3.797%/VAR 07/23/2024                                                       | CUSIP: 46647PAU0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3171000 | PA      | $3137507.20   | 0.12%             | 2024-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                         | MIZUHO FINL GROUP INC 4.254%/VAR 09/11/2029                                                       | CUSIP: 60687YAT6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1965000 | PA      | $1812181.79   | 0.07%             | 2029-09-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.50% 3/34 #G01665                                                                           | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143423 | PA      | $147566.87    | 0.01%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #433566                                                                           | CUSIP: 36207JTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       373 | PA      | $383.33       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH A 1ML+108 07/15/2038 144A                                          | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1272955 | PA      | $1224284.51   | 0.05%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 0.75% 11/15/2024                                                                        | CUSIP: 91282CDH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39676000 | PA      | $36990120.88  | 1.46%             | 2024-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/32 #634194                                                                           | CUSIP: 31389SRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       106 | PA      | $110.08       | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2019-1 TRUST                                                                 | AASET 2019-1 TRUST 3.844% 05/15/2039 144A                                                         | CUSIP: 00256DAA0<br>LEI: 549300TXM3PCKZJKD061 | Long             | ABS-CBDO         | CORP              | US        |    679158 | PA      | $451124.34    | 0.02%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 3.35% 03/15/2032 144A                                                                 | CUSIP: 30161NBC4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   5206000 | PA      | $4573935.79   | 0.18%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.75% 03/15/2025                                                                        | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 146201100 | PA      | $138307644.13 | 5.46%             | 2025-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #781027                                                                           | CUSIP: 36225BD88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       345 | PA      | $355.53       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.45% 10/29/2026                               | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1390000 | PA      | $1222220.61   | 0.05%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                        | VIATRIS INC 2.7% 06/22/2030                                                                       | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $801636.58    | 0.03%             | 2030-06-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                        | VIATRIS INC 1.65% 06/22/2025                                                                      | CUSIP: 92556VAB2<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    290000 | PA      | $262520.04    | 0.01%             | 2025-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 3.25% 01/05/2023                                                         | CUSIP: 37045XCF1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   3603000 | PA      | $3596761.98   | 0.14%             | 2023-01-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2014-GC23                                                    | CITIGROUP COML MTG TR 2014-GC23 A3 3.356% 07/10/2047                                              | CUSIP: 17322VAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1912196 | PA      | $1839728.35   | 0.07%             | 2047-07-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.3% 02/15/2030                                                                      | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   6552000 | PA      | $6225031.87   | 0.25%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #781605                                                                           | CUSIP: 36225BYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4266 | PA      | $4469.13      | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 2.999%/VAR 03/10/2026                                                           | CUSIP: 404280DA4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5241000 | PA      | $4891240.92   | 0.19%             | 2026-03-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                         | CORPORATE OFFICE PPTYS LP 2% 01/15/2029                                                           | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |   2376000 | PA      | $1838821.73   | 0.07%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                               | BARCLAYS PLC (UNGTD) 3ML+161/VAR 05/07/2025                                                       | CUSIP: 06738EBH7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   5916000 | PA      | $5706572.06   | 0.23%             | 2025-05-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.496/VAR 02/13/2031                                                  | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $2695172.73   | 0.11%             | 2031-02-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #190294                                                                           | CUSIP: 31368HKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       507 | PA      | $524.20       | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP FRN 3ML+210 01/13/2023                                                    | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   1358000 | PA      | $1355284.00   | 0.05%             | 2023-01-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                                         | EATON 2019-1A AR 3ML+108 04/15/2031 144A                                                          | CUSIP: 27830XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5454194 | PA      | $5335516.19   | 0.21%             | 2031-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                                          | BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061                                               | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16231687 | PA      | $525022.02    | 0.02%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LTD / US LLC                                            | THUNDERBOLT AIRCRAFT LEASE LTD / US LLC 4.212% 05/17/2032 144A                                    | CUSIP: 88606WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1211259 | PA      | $1017482.01   | 0.04%             | 2032-05-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 3.3% 07/15/2025 144A                                                                     | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   3979000 | PA      | $3724047.05   | 0.15%             | 2025-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 2.95% 09/01/2029                                                                     | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   3931000 | PA      | $3446540.81   | 0.14%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #594858                                                                           | CUSIP: 36201VZX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2042 | PA      | $2146.20      | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 1.591% 04/03/2028 144A                                                           | CUSIP: 62954WAD7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   6814000 | PA      | $5763914.56   | 0.23%             | 2028-04-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032 144A                                                     | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1356000 | PA      | $1195729.22   | 0.05%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 4.5% 04/15/2024                                                                | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   5330000 | PA      | $5263094.59   | 0.21%             | 2024-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #584463                                                                           | CUSIP: 36201JJG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8903 | PA      | $9379.58      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #567217                                                                          | CUSIP: 36213XDW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       471 | PA      | $495.18       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 06/01/2031#                                                                        | CUSIP: 31298QFC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       107 | PA      | $107.05       | 0.00%             | 2031-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #446726                                                                           | CUSIP: 36208CHB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1958 | PA      | $2014.43      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                             | OREILLY AUTOMOTIVE INC 3.9% 06/01/2029                                                            | CUSIP: 67103HAH0<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3064799.75   | 0.12%             | 2029-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 0.95% 01/08/2024 144A                                                       | CUSIP: 04685A2S9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   4427000 | PA      | $4197150.16   | 0.17%             | 2024-01-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 1.878%/VAR 11/02/2027                                                  | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  11269000 | PA      | $9778925.15   | 0.39%             | 2027-11-02      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 4.224% 03/15/2032                                                                | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $2922877.83   | 0.12%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B19 MTG TR                                                          | BENCHMARK 2020-B19 XA CSTR 09/15/2053                                                             | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21229719 | PA      | $1650546.98   | 0.07%             | 2053-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                                           | MOLSON COORS BEVERAGE CO 3% 07/15/2026                                                            | CUSIP: 60871RAG5<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   2948000 | PA      | $2765105.55   | 0.11%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                            | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 1.3% 07/12/2026 144A                                      | CUSIP: 29449W7M3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $2863943.08   | 0.11%             | 2026-07-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/30 #538051                                                                           | CUSIP: 36212MWL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3426 | PA      | $3583.20      | 0.00%             | 2030-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1B PTT                                                             | AMER AIRLINE 19-1B PTT 3.85% 08/15/2029                                                           | CUSIP: 02379DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2889989 | PA      | $2419185.68   | 0.10%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2033#AL2975                                                                  | CUSIP: 3138EKJV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568598 | PA      | $529738.52    | 0.02%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 3.7% 03/23/2029                                                                        | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1041000 | PA      | $958627.53    | 0.04%             | 2029-03-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #468045                                                                           | CUSIP: 36209C5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1459 | PA      | $1506.42      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                                                    | BANK 2021-BNK33 VAR 05/15/2064                                                                    | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12432258 | PA      | $719791.70    | 0.03%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 3.5% 06/01/2030                                                    | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1111000 | PA      | $1026021.59   | 0.04%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM CO                                                        | CLEVELAND ELECTRIC ILLUM CO 3.5% 04/01/2028 144A                                                  | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6190000 | PA      | $5671261.91   | 0.22%             | 2028-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #323868                                                                           | CUSIP: 31374TW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       491 | PA      | $509.92       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                                           | INTERNATIONAL FLAVS and FRAG INC 1.23% 10/01/2025 144A                                            | CUSIP: 459506AN1<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    655000 | PA      | $578939.89    | 0.02%             | 2025-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 3.5% 04/15/2024                                                       | CUSIP: 92277GAP2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   1559000 | PA      | $1515246.49   | 0.06%             | 2024-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.75% 01/30/2026                               | CUSIP: 00774MAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3495000 | PA      | $3083507.79   | 0.12%             | 2026-01-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 B PTT                                                            | UNITED AIR 2019-2 B PTT 3.5% 11/01/2029                                                           | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1976060 | PA      | $1699708.19   | 0.07%             | 2029-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 2.311%/VAR 11/16/2027                                              | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   4775000 | PA      | $3988569.29   | 0.16%             | 2027-11-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST URBAN DEV CORP REV                                                     | NYS UDC 2.67% 3/15/2023                                                                           | CUSIP: 6500354T2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2500000 | PA      | $2485344.25   | 0.10%             | 2023-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1                                                                       | BX 2021-MFM1 A 1ML+0 01/15/2034 144A                                                              | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1043012 | PA      | $1007173.90   | 0.04%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 3.106%/VAR 04/08/2026                                                               | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3669000 | PA      | $3480150.88   | 0.14%             | 2026-04-08      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #433805                                                                           | CUSIP: 36207J3N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3104 | PA      | $3195.70      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                                                     | CASCADE FUNDING MORTGAGE TRUST 0.8983% 06/25/2036 144A                                            | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1228627 | PA      | $1157198.34   | 0.05%             | 2036-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/25 #411885                                                                          | CUSIP: 31378XRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        18 | PA      | $18.55        | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                           | ELANCO ANIMAL HEALTH INC STEP 08/28/2023                                                          | CUSIP: 28414HAE3<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    420000 | PA      | $418289.84    | 0.02%             | 2023-08-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #490919                                                                          | CUSIP: 36210FK88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1806 | PA      | $1859.53      | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #471672                                                                           | CUSIP: 36209G6H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       304 | PA      | $309.85       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 1.75% 03/01/2026                                                                          | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   3210000 | PA      | $2865300.25   | 0.11%             | 2026-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #448998                                                                           | CUSIP: 36208EX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1936 | PA      | $1986.13      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                | SYNCHRONY FINANCIAL 4.25% 08/15/2024                                                              | CUSIP: 87165BAD5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3195395.66   | 0.13%             | 2024-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #433849                                                                           | CUSIP: 36207J5J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1389 | PA      | $1428.07      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 3.9% 02/01/2025                                                       | CUSIP: 136385AV3<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   2228000 | PA      | $2180431.33   | 0.09%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.45% 03/03/2026                                                      | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2283000 | PA      | $2245457.66   | 0.09%             | 2026-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                         | MARSH and MCLENNAN COS INC 3.875% 03/15/2024                                                      | CUSIP: 571748BF8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1563491.87   | 0.06%             | 2024-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                     | VIRGINIA ELECTRIC AND POWER CO 2.4% 03/30/2032                                                    | CUSIP: 927804GG3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $2676298.62   | 0.11%             | 2032-03-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| 7 ELEVEN INC                                                                       | 7 ELEVEN INC 0.95% 02/10/2026 144A                                                                | CUSIP: 817826AC4<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1329484.10   | 0.05%             | 2026-02-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GC13                                                           | GS MTG SECS TR 2013-GC13 AS CSTR 07/10/2046 144A                                                  | CUSIP: 36198EAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8756192 | PA      | $8621244.20   | 0.34%             | 2046-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                               | BARCLAYS PLC (UNGTD) 5.304%/VAR 08/09/2026                                                        | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2635000 | PA      | $2591260.55   | 0.10%             | 2026-08-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                 | MITSUBISHI UFJ FIN GRP INC 4.05% 09/11/2028                                                       | CUSIP: 606822BC7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   3276000 | PA      | $3085507.91   | 0.12%             | 2028-09-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD 2021                                                | PALMER SQUARE LOAN FUNDING LTD CLO 2021-2A A1 3ML+80 05/20/2029 144A                              | CUSIP: 69702DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3987912 | PA      | $3931797.77   | 0.16%             | 2029-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #584465                                                                           | CUSIP: 36201JJJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3656 | PA      | $3841.66      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #476294                                                                           | CUSIP: 36209NC75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3104 | PA      | $3196.35      | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2030#                                                                        | CUSIP: 31298AER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1491 | PA      | $1591.41      | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE7 MTG TR                                                             | COMM MTG TR 2013-CC7 AM 3.314% 03/10/2046                                                         | CUSIP: 12625FAS5<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $990700.20    | 0.04%             | 2046-03-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 5.375% 07/15/2025                                                           | CUSIP: 23311VAG2<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   3931000 | PA      | $3882167.86   | 0.15%             | 2025-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | RABOBANK NEDERLAND COOP CENTL 1.98%/VAR 12/15/2027 144A                                           | CUSIP: 74977RDL5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   2686000 | PA      | $2326489.81   | 0.09%             | 2027-12-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                           | EQT CORP 3.9% 10/01/2027                                                                          | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1819023.41   | 0.07%             | 2027-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                   | ALTRIA GROUP INC 2.35% 05/06/2025                                                                 | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    658000 | PA      | $617271.11    | 0.02%             | 2025-05-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 4.15% 06/19/2023                                                         | CUSIP: 37045XCL8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   3946000 | PA      | $3919569.81   | 0.15%             | 2023-06-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANK and TRUST COMPANY                                              | FIRST CITIZENS BANK and TRUST CO 3.929/VAR 06/19/2024                                             | CUSIP: 125581HA9<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    495000 | PA      | $488541.24    | 0.02%             | 2024-06-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.908% 07/23/2025 | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3158000 | PA      | $3108392.81   | 0.12%             | 2025-07-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                                                     | BLOX 2021-BLOX A 1ML+80 09/15/2026 144A                                                           | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3157864 | PA      | $2972243.49   | 0.12%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 4.25% 04/14/2025 144A                                                     | CUSIP: 83367TBJ7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1994000 | PA      | $1905046.24   | 0.08%             | 2025-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                | INTESA SANPAOLO SPA 5.71% 01/15/2026 144A                                                         | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   3236000 | PA      | $3126452.76   | 0.12%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                               | LXP INDUSTRIAL TRUST 4.4% 06/15/2024                                                              | CUSIP: 529043AD3<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    780000 | PA      | $758169.76    | 0.03%             | 2024-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG 4.207%/VAR 06/12/2024 144A                                                   | CUSIP: 225401AG3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   8845000 | PA      | $8582655.97   | 0.34%             | 2024-06-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK14                                                                    | BANK 2018-BNK14 4.185% 09/15/2060                                                                 | CUSIP: 06035RAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4258530 | PA      | $4111508.51   | 0.16%             | 2060-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                        | EQUINOR ASA 1.75% 01/22/2026                                                                      | CUSIP: 29446MAJ1<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    723000 | PA      | $663131.43    | 0.03%             | 2026-01-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS HOLDINGS INC                                                           | BAE SYSTEMS HOLDINGS INC 3.8% 10/07/2024 144A                                                     | CUSIP: 05523UAK6<br>LEI: MF62XBVMNYTYMC18DL76 | Long             | DBT              | CORP              | US        |   1416000 | PA      | $1380374.74   | 0.05%             | 2024-10-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERIT 2021                                                                         | MERIT 2021-STOR A 1ML+75 07/15/2038 144A                                                          | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1379764 | PA      | $1319226.16   | 0.05%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4% 03/15/2028                                                                             | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3066735.84   | 0.12%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #587081                                                                           | CUSIP: 36201MFW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2025 | PA      | $2127.69      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 2.251%/VAR 11/22/2027                                                           | CUSIP: 404280CX5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   9709000 | PA      | $8368672.74   | 0.33%             | 2027-11-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-LC11                                        | JP MORGAN CH CMS 13-LC11 3.216% 04/15/2046                                                        | CUSIP: 46639YAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    668917 | PA      | $655415.45    | 0.03%             | 2046-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                       | WP CAREY INC 4.6% 04/01/2024                                                                      | CUSIP: 92936UAA7<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   3389000 | PA      | $3368536.64   | 0.13%             | 2024-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/30 #521123                                                                          | CUSIP: 36211R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1267 | PA      | $1324.76      | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 09/30/2027                                                                       | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32339300 | PA      | $32733435.22  | 1.29%             | 2027-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #534007                                                                           | CUSIP: 36212HGQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12892 | PA      | $13581.77     | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2020-1                                                   | NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A                                             | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    765148 | PA      | $694677.51    | 0.03%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL9 TR                                                                  | CSMC 2021-RPL9 TR 2.43639% 02/25/2061 144A                                                        | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6743719 | PA      | $6215011.16   | 0.25%             | 2061-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.55% 06/24/2024                                                                 | CUSIP: 969457BW9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1669000 | PA      | $1651739.24   | 0.07%             | 2024-06-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 3.95% 02/15/2023                                                   | CUSIP: 105340AM5<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   2883000 | PA      | $2866881.12   | 0.11%             | 2023-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #433606                                                                           | CUSIP: 36207JU76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1489 | PA      | $1529.18      | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.625% 07/31/2029                                                                       | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  92414300 | PA      | $86219653.95  | 3.40%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2022-1                                                   | UPSTART SECURITIZATION TR 2022-1 3.12% 03/20/2032 144A                                            | CUSIP: 91679WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5660157 | PA      | $5439966.40   | 0.21%             | 2032-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                     | MAGALLANES INC 3.755% 03/15/2027 144A                                                             | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   3181000 | PA      | $2898790.65   | 0.11%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 2.875% 02/15/2025 144A                                                | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   4665000 | PA      | $4282581.21   | 0.17%             | 2025-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.3% 01/23/2023                                | CUSIP: 00774MAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3800000 | PA      | $3788545.01   | 0.15%             | 2023-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                         | TOLL BROS FIN CORP 4.875% 11/15/2025                                                              | CUSIP: 88947EAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2883000 | PA      | $2768435.61   | 0.11%             | 2025-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5                                      | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5 4.11% 08/17/2026                                    | CUSIP: 80287HAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4854000 | PA      | $4745414.08   | 0.19%             | 2026-08-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5% 07/15/2025                                | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1093000 | PA      | $1104214.26   | 0.04%             | 2025-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                                   | AMERICAN INTERNATIONAL GRP INC 2.5% 06/30/2025                                                    | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |   2446000 | PA      | $2309565.72   | 0.09%             | 2025-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                        | PACIFIC GAS and ELECTRIC CO 3.25% 02/16/2024                                                      | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1002000 | PA      | $971639.03    | 0.04%             | 2024-02-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                       | DISCOVERY COMMUNICATIONS LLC 3.625% 05/15/2030                                                    | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   1082000 | PA      | $911539.37    | 0.04%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                     | HOME DEPOT INC 2.5% 04/15/2027                                                                    | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    234000 | PA      | $217024.35    | 0.01%             | 2027-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG 4.55% 04/17/2026                                                             | CUSIP: 225433AR2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   3276000 | PA      | $2847150.37   | 0.11%             | 2026-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO SOFR 1.47%/VAR 09/22/2027                                                   | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6480000 | PA      | $5624712.06   | 0.22%             | 2027-09-22      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                                 | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.125% 02/01/2028 144A                         | CUSIP: 46590XAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7862000 | PA      | $7497067.97   | 0.30%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                                                | SVB FINANCIAL GROUP 2.1% 05/15/2028                                                               | CUSIP: 78486QAH4<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   1007000 | PA      | $826471.93    | 0.03%             | 2028-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #553440                                                                           | CUSIP: 36213FZD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5640 | PA      | $5861.38      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565960                                                                           | CUSIP: 36213VWV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7493 | PA      | $7853.78      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.875% 01/15/2024                                                              | CUSIP: 29278NAM5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3953000 | PA      | $3968129.00   | 0.16%             | 2024-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4% 02/15/2025                                                                             | CUSIP: 55336VAA8<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    328000 | PA      | $318437.31    | 0.01%             | 2025-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXVI LTD                                                      | MADISON PARK FUNDING XXVI LTD 3ML+120 07/29/2030 144A                                             | CUSIP: 55819YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3511649 | PA      | $3466545.38   | 0.14%             | 2030-07-29      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A                                                | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    670000 | PA      | $609037.01    | 0.02%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2021-4                                                | UPSTART SECURITIZATION TRUST 2021-4 0.84% 09/20/2031 144A                                         | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2531754 | PA      | $2443200.21   | 0.10%             | 2031-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 2.2% 11/02/2028                                                                     | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   4939000 | PA      | $3944360.77   | 0.16%             | 2028-11-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 5.25% 01/15/2026                                                   | CUSIP: 681936BH2<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   5346000 | PA      | $5218563.66   | 0.21%             | 2026-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #545159                                                                           | CUSIP: 36212VTQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3620 | PA      | $3794.47      | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #888034                                                                           | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24294 | PA      | $25414.81     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                                         | VMWARE INC 1% 08/15/2024                                                                          | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   4004000 | PA      | $3728236.55   | 0.15%             | 2024-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.5% 04/01/2027 REGS                                               | CUSIP: 681936BF6<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   8385000 | PA      | $7815742.52   | 0.31%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                                 | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 2.5% 01/15/2027 144A                           | CUSIP: 46590XAR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3770000 | PA      | $3286007.40   | 0.13%             | 2027-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/28 #449544                                                                          | CUSIP: 31380TLZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1767 | PA      | $1841.18      | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.25% 12/15/2027                                                                     | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3074460.48   | 0.12%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #475449                                                                           | CUSIP: 36209MEW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       494 | PA      | $503.45       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.125% 11/15/2028                                                                       | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 153205400 | PA      | $147502089.98 | 5.82%             | 2028-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                            | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 1.7% 11/12/2026 144A                                      | CUSIP: 29449WAL1<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   4175000 | PA      | $3674066.63   | 0.14%             | 2026-11-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AFLAC INC                                                                          | AFLAC INC 3.6% 04/01/2030                                                                         | CUSIP: 001055BJ0<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |    735000 | PA      | $678179.36    | 0.03%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #541812                                                                           | CUSIP: 36212R3V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       172 | PA      | $177.60       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #492354                                                                          | CUSIP: 36210G5P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4359 | PA      | $4464.56      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1328006 | PA      | $1032195.98   | 0.04%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROSS STORES INC                                                                    | ROSS STORES INC 0.875% 04/15/2026                                                                 | CUSIP: 778296AF0<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |   5302000 | PA      | $4663530.62   | 0.18%             | 2026-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #552668                                                                           | CUSIP: 36213E6D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4361 | PA      | $4594.29      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                          | TORONTO DOMINION BANK 2.8% 03/10/2027                                                             | CUSIP: 89114TZT2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   4990000 | PA      | $4581280.83   | 0.18%             | 2027-03-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #471179                                                                           | CUSIP: 36209GM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       415 | PA      | $416.93       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 1.884% 07/15/2050 144A                                                               | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    703000 | PA      | $618257.36    | 0.02%             | 2050-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 3.25% 04/16/2030                                                     | CUSIP: 91087BAH3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2368000 | PA      | $2113440.00   | 0.08%             | 2030-04-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.3% 03/04/2024                                                                  | CUSIP: 96950FAM6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1631000 | PA      | $1611786.25   | 0.06%             | 2024-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.384%/VAR 04/02/2026                                                 | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5798000 | PA      | $5520997.54   | 0.22%             | 2026-04-02      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/29 #323645                                                                           | CUSIP: 31374TP60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        92 | PA      | $95.31        | 0.00%             | 2029-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-1 LTD                                                                | VOYA CLO 2017-1 LTD 3ML+95 04/17/2030 144A                                                        | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6037680 | PA      | $5935202.23   | 0.23%             | 2030-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| S and P GLOBAL INC                                                                 | S and P GLOBAL INC 2.45% 03/01/2027 144A                                                          | CUSIP: 78409VBA1<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |   4586000 | PA      | $4217211.12   | 0.17%             | 2027-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-5 LLC                                                                    | PRPM 2021-5 LLC VAR 06/25/2026 144A                                                               | CUSIP: 69358DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3432168 | PA      | $2996421.21   | 0.12%             | 2026-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES LII CLO LTD                                                                   | ARES LII CLO LTD 3ML+105 04/22/2031 144A                                                          | CUSIP: 04009AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5438470 | PA      | $5324153.36   | 0.21%             | 2031-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37                                      | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37 AAB 3.098% 04/10/2049                               | CUSIP: 17290XAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    436309 | PA      | $417745.67    | 0.02%             | 2049-04-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 4.3% 04/01/2027                                                                         | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |  12776000 | PA      | $12280478.11  | 0.48%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #463983                                                                           | CUSIP: 36208XM81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1863 | PA      | $1920.99      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer