# EDGAR Filing Document

**Accession Number:** 0001401097
**File Stem:** 0001752724-23-034851
**Filing Date:** 2023-2
**Character Count:** 2379712
**Document Hash:** 04bf5c7a136aceefbda77b5e02d0c866
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-034851.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-034851

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Central Investment Portfolios II LLC
- **CENTRAL INDEX KEY:** 0001401097
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22083
- **FILM NUMBER:** 23656921

**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

## Series and Classes Contracts Data

### Fidelity Investment Grade Bond Central Fund (Series ID: S000018830)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000052072 | Fidelity Investment Grade Bond Central Fund |  |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **Investment Grade Bond Central Fund**

**December 31, 2022**

TP1-NPRT1-0323

1.811341.118 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Nonconvertible Bonds - 32.0%** | &nbsp;&nbsp;**Nonconvertible Bonds - 32.0%** | &nbsp;&nbsp;**Nonconvertible Bonds - 32.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 2.6%  |  |  |
| Diversified Telecommunication Services - 0.6% |  |  |
| AT&T, Inc.: |  |  |
|  2.55% 12/1/33  | 53719000  | 41283575  |
|  3.8% 12/1/57  | 106127000  | 73220551  |
|  4.3% 2/15/30  | 13106000  | 12340567  |
|  4.75% 5/15/46  | 10000000  | 8454141  |
| Verizon Communications, Inc.: |  |  |
|  2.987% 10/30/56  | 65611000  | 40029280  |
|  3% 3/22/27  | 5629000  | 5230411  |
|  3.15% 3/22/30  | 9123000  | 8045035  |
|  4.862% 8/21/46  | 27196000  | 24377317  |
|  5.012% 4/15/49  | 3772000  | 3426132  |
|  |  | 216407009 |
| Entertainment - 0.1% |  |  |
| NBCUniversal, Inc. 5.95% 4/1/41  | 6541000 | 6810691 |
| The Walt Disney Co.: |  |  |
|  3.6% 1/13/51  | 25350000  | 19302401  |
|  3.8% 5/13/60  | 25000000  | 19043230  |
|  |  | 45156322 |
| Media - 1.5% |  |  |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: |  |  |
|  4.4% 4/1/33  | 11421000  | 9772483  |
|  4.908% 7/23/25  | 18965000  | 18587615  |
|  5.25% 4/1/53  | 28921000  | 22322469  |
|  5.375% 5/1/47  | 71848000  | 56360628  |
|  5.5% 4/1/63  | 11421000  | 8708632  |
|  5.75% 4/1/48  | 11687000  | 9568032  |
|  6.484% 10/23/45  | 9303000  | 8389204  |
| Comcast Corp.: |  |  |
|  3.3% 4/1/27  | 6795000  | 6403444  |
|  3.4% 4/1/30  | 6970000  | 6355534  |
|  3.75% 4/1/40  | 2448000  | 2018926  |
|  3.9% 3/1/38  | 5001000  | 4309686  |
|  4.65% 7/15/42  | 11795000  | 10649226  |
| Discovery Communications LLC: |  |  |
|  3.625% 5/15/30  | 14753000  | 12157783  |
|  4.65% 5/15/50  | 39956000  | 27478394  |
| Fox Corp.: |  |  |
|  4.03% 1/25/24  | 6266000  | 6193335  |
|  4.709% 1/25/29  | 9069000  | 8763167  |
|  5.476% 1/25/39  | 8943000  | 8137467  |
|  5.576% 1/25/49  | 5934000  | 5294262  |
| Magallanes, Inc.: |  |  |
|  3.428% 3/15/24 (b) | 18446000  | 17906792  |
|  3.638% 3/15/25 (b) | 10102000  | 9606622  |
|  3.755% 3/15/27 (b) | 19757000  | 17791761  |
|  4.054% 3/15/29 (b) | 6847000  | 5923491  |
|  4.279% 3/15/32 (b) | 28666000  | 23614040  |
|  5.05% 3/15/42 (b) | 14442000  | 11049317  |
|  5.141% 3/15/52 (b) | 98717000  | 71763944  |
| Time Warner Cable LLC: |  |  |
|  4.5% 9/15/42  | 19701000  | 14423192  |
|  5.5% 9/1/41  | 8397000  | 6968458  |
|  5.875% 11/15/40  | 7566000  | 6591702  |
|  6.55% 5/1/37  | 73937000  | 70392530  |
|  6.75% 6/15/39  | 10675000  | 10109268  |
|  7.3% 7/1/38  | 16247000  | 16116571  |
|  |  | 513727975 |
| Wireless Telecommunication Services - 0.4% |  |  |
| Rogers Communications, Inc.: |  |  |
|  3.2% 3/15/27 (b) | 21204000  | 19619339  |
|  3.8% 3/15/32 (b) | 21179000  | 18276493  |
| T-Mobile U.S.A., Inc.: |  |  |
|  2.25% 11/15/31  | 40000000  | 31463966  |
|  3.75% 4/15/27  | 25540000  | 24055914  |
|  3.875% 4/15/30  | 36970000  | 33487971  |
|  4.375% 4/15/40  | 5513000  | 4704792  |
|  4.5% 4/15/50  | 10830000  | 8903750  |
|  |  | 140512225 |
| TOTAL COMMUNICATION SERVICES |  | 915803531 |
| CONSUMER DISCRETIONARY - 0.9%  |  |  |
| Automobiles - 0.2% |  |  |
| General Motors Financial Co., Inc.: |  |  |
|  2.35% 2/26/27  | 17500000  | 15283008  |
|  4% 1/15/25  | 14536000  | 14104177  |
|  4.25% 5/15/23  | 9840000  | 9799303  |
| Volkswagen Group of America Finance LLC 3.125% 5/12/23 (b) | 21172000 | 21002858 |
|  |  | 60189346 |
| Diversified Consumer Services - 0.0% |  |  |
| Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23  | 249000 | 248423 |
| Hotels, Restaurants & Leisure - 0.1% |  |  |
| McDonald's Corp.: |  |  |
|  3.3% 7/1/25  | 2498000  | 2416312  |
|  3.5% 7/1/27  | 7113000  | 6747170  |
|  3.6% 7/1/30  | 8445000  | 7745389  |
|  4.2% 4/1/50  | 4263000  | 3546773  |
|  |  | 20455644 |
| Household Durables - 0.1% |  |  |
| D.R. Horton, Inc. 2.6% 10/15/25  | 34514000 | 32133365 |
| Toll Brothers Finance Corp. 4.875% 3/15/27  | 16319000 | 15581942 |
|  |  | 47715307 |
| Leisure Products - 0.0% |  |  |
| Hasbro, Inc. 3% 11/19/24  | 19745000 | 18970354 |
| Specialty Retail - 0.5% |  |  |
| AutoNation, Inc.: |  |  |
|  3.85% 3/1/32  | 21966000  | 17532751  |
|  4.75% 6/1/30  | 3310000  | 2953165  |
| AutoZone, Inc.: |  |  |
|  3.625% 4/15/25  | 4758000  | 4603575  |
|  4% 4/15/30  | 22128000  | 20489367  |
| Lowe's Companies, Inc.: |  |  |
|  3.35% 4/1/27  | 3072000  | 2883883  |
|  3.75% 4/1/32  | 9454000  | 8409698  |
|  4.25% 4/1/52  | 59996000  | 47565014  |
|  4.45% 4/1/62  | 39650000  | 30823770  |
|  4.5% 4/15/30  | 16112000  | 15440944  |
| O'Reilly Automotive, Inc. 4.2% 4/1/30  | 4968000 | 4687343 |
| The Home Depot, Inc. 2.5% 4/15/27  | 3139000 | 2888441 |
|  |  | 158277951 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| NIKE, Inc. 2.75% 3/27/27  | 6632000 | 6194151 |
| TOTAL CONSUMER DISCRETIONARY |  | 312051176 |
| CONSUMER STAPLES - 1.7%  |  |  |
| Beverages - 1.2% |  |  |
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.9% 2/1/46  | 17500000 | 15908816 |
| Anheuser-Busch InBev Finance, Inc.: |  |  |
|  4.7% 2/1/36  | 46768000  | 44169701  |
|  4.9% 2/1/46  | 50530000  | 45935571  |
| Anheuser-Busch InBev Worldwide, Inc.: |  |  |
|  3.5% 6/1/30  | 10000000  | 9103264  |
|  4.35% 6/1/40  | 10000000  | 8787479  |
|  4.5% 6/1/50  | 30000000  | 26239143  |
|  4.6% 6/1/60  | 10000000  | 8673559  |
|  4.75% 4/15/58  | 26711000  | 23446744  |
|  5.45% 1/23/39  | 23200000  | 23149155  |
|  5.55% 1/23/49  | 54331000  | 53711510  |
|  5.8% 1/23/59 (Reg. S)  | 55947000  | 57226229  |
| Molson Coors Beverage Co.: |  |  |
|  3% 7/15/26  | 48345000  | 44866672  |
|  5% 5/1/42  | 3080000  | 2731889  |
| PepsiCo, Inc.: |  |  |
|  2.625% 3/19/27  | 2862000  | 2658229  |
|  2.75% 3/19/30  | 18600000  | 16469264  |
| The Coca-Cola Co.: |  |  |
|  3.375% 3/25/27  | 24531000  | 23525985  |
|  3.45% 3/25/30  | 14988000  | 13937997  |
|  |  | 420541207 |
| Food & Staples Retailing - 0.1% |  |  |
| Sysco Corp.: |  |  |
|  3.25% 7/15/27  | 11011000  | 10177159  |
|  6.6% 4/1/50  | 14655000  | 15972512  |
|  |  | 26149671 |
| Food Products - 0.4% |  |  |
| Archer Daniels Midland Co. 3.25% 3/27/30  | 6931000 | 6251023 |
| General Mills, Inc. 2.875% 4/15/30  | 3013000 | 2603010 |
| JBS U.S.A. Lux SA / JBS Food Co.: |  |  |
|  2.5% 1/15/27 (b) | 38495000  | 33672346  |
|  3% 5/15/32 (b) | 43240000  | 33158623  |
|  3.625% 1/15/32 (b) | 18075000  | 14640750  |
|  5.125% 2/1/28 (b) | 15645000  | 14821645  |
|  5.5% 1/15/30 (b) | 5250000  | 4995480  |
|  5.75% 4/1/33 (b) | 32215000  | 30726023  |
|  |  | 140868900 |
| Household Products - 0.0% |  |  |
| Kimberly-Clark Corp. 3.1% 3/26/30  | 1764000 | 1586824 |
| TOTAL CONSUMER STAPLES |  | 589146602 |
| ENERGY - 3.2%  |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Halliburton Co.: |  |  |
|  3.8% 11/15/25  | 207000  | 201340  |
|  4.85% 11/15/35  | 7402000  | 6847692  |
|  |  | 7049032 |
| Oil, Gas & Consumable Fuels - 3.2% |  |  |
| Canadian Natural Resources Ltd. 3.8% 4/15/24  | 619000 | 606590 |
| Columbia Pipeline Group, Inc. 4.5% 6/1/25  | 6628000 | 6526679 |
| DCP Midstream Operating LP: |  |  |
|  3.875% 3/15/23  | 14468000  | 14385822  |
|  5.6% 4/1/44  | 13506000  | 12592652  |
|  6.45% 11/3/36 (b) | 10621000  | 10407763  |
| Empresa Nacional de Petroleo 4.375% 10/30/24 (b) | 10510000 | 10193386 |
| Enbridge, Inc.: |  |  |
|  4% 10/1/23  | 13445000  | 13336701  |
|  4.25% 12/1/26  | 8321000  | 7999897  |
| Energy Transfer LP: |  |  |
|  3.75% 5/15/30  | 27891000  | 24591100  |
|  3.9% 5/15/24 (c) | 6444000  | 6275949  |
|  4.2% 9/15/23  | 5509000  | 5474421  |
|  4.25% 3/15/23  | 4861000  | 4849112  |
|  4.5% 4/15/24  | 6244000  | 6155112  |
|  4.95% 6/15/28  | 18799000  | 18178356  |
|  5% 5/15/50  | 29826000  | 23828911  |
|  5.25% 4/15/29  | 10158000  | 9822339  |
|  5.4% 10/1/47  | 6651000  | 5633779  |
|  5.8% 6/15/38  | 10481000  | 9595470  |
|  6% 6/15/48  | 26826000  | 24182239  |
|  6.25% 4/15/49  | 7637000  | 7101451  |
| Enterprise Products Operating LP: |  |  |
|  3.7% 2/15/26  | 8600000  | 8288552  |
|  3.75% 2/15/25  | 285000  | 277106  |
| Hess Corp.: |  |  |
|  4.3% 4/1/27  | 23059000  | 22022574  |
|  5.6% 2/15/41  | 5656000  | 5346442  |
|  7.125% 3/15/33  | 4791000  | 5160167  |
|  7.3% 8/15/31  | 6610000  | 7176476  |
|  7.875% 10/1/29  | 20178000  | 22363903  |
| Kinder Morgan Energy Partners LP 6.55% 9/15/40  | 1645000 | 1648691 |
| MPLX LP: |  |  |
|  2.65% 8/15/30  | 9000000  | 7293577  |
|  4.5% 7/15/23  | 9347000  | 9309197  |
|  4.8% 2/15/29  | 5370000  | 5138767  |
|  4.875% 12/1/24  | 12572000  | 12469204  |
|  4.95% 9/1/32  | 30925000  | 28997948  |
|  5.5% 2/15/49  | 16108000  | 14157181  |
| Occidental Petroleum Corp.: |  |  |
|  5.55% 3/15/26  | 26200000  | 26101750  |
|  6.2% 3/15/40  | 7169000  | 7015553  |
|  6.45% 9/15/36  | 15883000  | 16200660  |
|  6.6% 3/15/46  | 28439000  | 29263447  |
|  7.5% 5/1/31  | 29749000  | 31785914  |
| Ovintiv, Inc.: |  |  |
|  5.15% 11/15/41  | 5000000  | 4426235  |
|  8.125% 9/15/30  | 13383000  | 14685932  |
| Petroleos Mexicanos: |  |  |
|  4.5% 1/23/26  | 24688000  | 22392016  |
|  5.35% 2/12/28  | 3500000  | 2943500  |
|  5.95% 1/28/31  | 16274000  | 12303144  |
|  6.35% 2/12/48  | 14404000  | 8744128  |
|  6.49% 1/23/27  | 37360000  | 34109680  |
|  6.5% 3/13/27  | 21300000  | 19356375  |
|  6.75% 9/21/47  | 102130000  | 65044554  |
|  6.84% 1/23/30  | 68521000  | 56666867  |
|  6.95% 1/28/60  | 18760000  | 11870390  |
|  7.69% 1/23/50  | 117141000  | 80973716  |
| Plains All American Pipeline LP/PAA Finance Corp.: |  |  |
|  3.55% 12/15/29  | 5964000  | 5171180  |
|  3.6% 11/1/24  | 6641000  | 6420634  |
|  3.8% 9/15/30  | 15976000  | 13884441  |
| Sabine Pass Liquefaction LLC 4.5% 5/15/30  | 33855000 | 31380765 |
| Shell International Finance BV 4.375% 5/11/45  | 6392000 | 5585305 |
| Southeast Supply Header LLC 4.25% 6/15/24 (b) | 10683000 | 9927498 |
| The Williams Companies, Inc.: |  |  |
|  2.6% 3/15/31  | 5542000  | 4484880  |
|  3.5% 11/15/30  | 45537000  | 39812037  |
|  3.9% 1/15/25  | 4336000  | 4222528  |
|  4.3% 3/4/24  | 20381000  | 20134477  |
|  4.5% 11/15/23  | 6265000  | 6218782  |
|  4.55% 6/24/24  | 70596000  | 69823441  |
|  4.65% 8/15/32  | 32200000  | 29975102  |
|  5.3% 8/15/52  | 7294000  | 6521905  |
| Western Gas Partners LP: |  |  |
|  3.95% 6/1/25  | 3918000  | 3708622  |
|  4.5% 3/1/28  | 3100000  | 2844250  |
|  4.65% 7/1/26  | 9376000  | 8898387  |
|  4.75% 8/15/28  | 5504000  | 5026748  |
|  |  | 1089312357 |
| TOTAL ENERGY |  | 1096361389 |
| FINANCIALS - 15.3%  |  |  |
| Banks - 6.1% |  |  |
| Bank of America Corp.: |  |  |
|  2.299% 7/21/32 (c) | 80000000  | 61608546  |
|  2.972% 2/4/33 (c) | 17500000  | 14098327  |
|  3.3% 1/11/23  | 32511000  | 32499878  |
|  3.419% 12/20/28 (c) | 23187000  | 20996510  |
|  3.5% 4/19/26  | 34343000  | 32774967  |
|  3.705% 4/24/28 (c) | 58915000  | 54519555  |
|  3.864% 7/23/24 (c) | 46066000  | 45648642  |
|  3.95% 4/21/25  | 19377000  | 18857852  |
|  4.183% 11/25/27  | 22749000  | 21577441  |
|  4.2% 8/26/24  | 24032000  | 23660204  |
|  4.25% 10/22/26  | 20189000  | 19501552  |
|  4.271% 7/23/29 (c) | 2000000  | 1865001  |
|  4.376% 4/27/28 (c) | 40000000  | 38252918  |
|  4.45% 3/3/26  | 3182000  | 3117934  |
|  5.015% 7/22/33 (c) | 50000000  | 47469597  |
| Barclays PLC: |  |  |
|  2.852% 5/7/26 (c) | 34514000  | 32071273  |
|  2.894% 11/24/32 (c) | 13572000  | 10336210  |
|  4.375% 1/12/26  | 28767000  | 27837564  |
|  5.088% 6/20/30 (c) | 35020000  | 32255538  |
|  5.2% 5/12/26  | 11811000  | 11486145  |
| BNP Paribas SA 2.219% 6/9/26 (b)(c) | 32804000 | 30118605 |
| Citigroup, Inc.: |  |  |
|  3.352% 4/24/25 (c) | 23697000  | 22978465  |
|  3.785% 3/17/33 (c) | 17500000  | 14967602  |
|  3.875% 3/26/25  | 35450000  | 34466858  |
|  4.3% 11/20/26  | 52072000  | 50371327  |
|  4.4% 6/10/25  | 11010000  | 10806363  |
|  4.412% 3/31/31 (c) | 45100000  | 41415177  |
|  4.45% 9/29/27  | 69500000  | 66261881  |
|  4.91% 5/24/33 (c) | 47460000  | 44443110  |
|  5.5% 9/13/25  | 42579000  | 42839614  |
| Citizens Financial Group, Inc. 2.638% 9/30/32  | 35537000 | 26377410 |
| Commonwealth Bank of Australia: |  |  |
|  3.61% 9/12/34 (b)(c) | 12091000  | 10007966  |
|  3.784% 3/14/32 (b) | 10165000  | 8378840  |
| Discover Bank 4.2% 8/8/23  | 259000 | 257314 |
| First Citizens Bank & Trust Co. 3.929% 6/19/24 (c) | 5620000 | 5571163 |
| HSBC Holdings PLC: |  |  |
|  2.099% 6/4/26 (c) | 25000000  | 22749913  |
|  3.973% 5/22/30 (c) | 9000000  | 7877557  |
|  4.25% 3/14/24  | 10444000  | 10258612  |
|  4.95% 3/31/30  | 6013000  | 5734611  |
|  5.25% 3/14/44  | 2847000  | 2398087  |
| Intesa Sanpaolo SpA: |  |  |
|  5.017% 6/26/24 (b) | 21002000  | 20197322  |
|  5.71% 1/15/26 (b) | 48607000  | 46711318  |
| JPMorgan Chase & Co.: |  |  |
|  2.95% 10/1/26  | 63807000  | 59508014  |
|  2.956% 5/13/31 (c) | 18323000  | 15097341  |
|  2.963% 1/25/33 (c) | 17500000  | 14243289  |
|  3.797% 7/23/24 (c) | 12224000  | 12102540  |
|  3.875% 9/10/24  | 90088000  | 88184394  |
|  4.125% 12/15/26  | 146208000  | 141271496  |
|  4.203% 7/23/29 (c) | 3000000  | 2795409  |
|  4.452% 12/5/29 (c) | 46000000  | 43210413  |
|  4.586% 4/26/33 (c) | 70000000  | 64803419  |
|  5.717% 9/14/33 (c) | 75200000  | 73399219  |
| NatWest Group PLC: |  |  |
|  3.073% 5/22/28 (c) | 20149000  | 18006143  |
|  5.125% 5/28/24  | 125085000  | 123904184  |
| NatWest Markets PLC 2.375% 5/21/23 (b) | 37687000 | 37206957 |
| Rabobank Nederland 4.375% 8/4/25  | 36518000 | 35643482 |
| Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c) | 25589000 | 21954916 |
| Societe Generale: |  |  |
|  1.038% 6/18/25 (b)(c) | 55000000  | 50915535  |
|  1.488% 12/14/26 (b)(c) | 40199000  | 34939494  |
|  3.337% 1/21/33 (b)(c) | 17500000  | 13780714  |
| Synchrony Bank: |  |  |
|  5.4% 8/22/25  | 29530000  | 28982251  |
|  5.625% 8/23/27  | 26739000  | 26055344  |
| Wells Fargo & Co.: |  |  |
|  2.406% 10/30/25 (c) | 19840000  | 18762213  |
|  3.526% 3/24/28 (c) | 42125000  | 39007791  |
|  4.478% 4/4/31 (c) | 60800000  | 56994262  |
| Westpac Banking Corp. 4.11% 7/24/34 (c) | 17722000 | 15194293 |
|  |  | 2111587882 |
| Capital Markets - 3.9% |  |  |
| Affiliated Managers Group, Inc.: |  |  |
|  3.5% 8/1/25  | 27065000  | 25946900  |
|  4.25% 2/15/24  | 10069000  | 9943113  |
| Ares Capital Corp.: |  |  |
|  3.875% 1/15/26  | 54729000  | 50156442  |
|  4.2% 6/10/24  | 42554000  | 41079961  |
| Credit Suisse Group AG: |  |  |
|  2.593% 9/11/25 (b)(c) | 48618000  | 42981250  |
|  3.091% 5/14/32 (b)(c) | 13398000  | 9257300  |
|  3.75% 3/26/25  | 24390000  | 21951966  |
|  3.8% 6/9/23  | 43060000  | 41929675  |
|  3.869% 1/12/29 (b)(c) | 9005000  | 7217943  |
|  4.194% 4/1/31 (b)(c) | 40079000  | 31113098  |
|  4.55% 4/17/26  | 5038000  | 4443380  |
|  6.537% 8/12/33 (b)(c) | 30000000  | 26321800  |
| Deutsche Bank AG 4.5% 4/1/25  | 67655000 | 64284364 |
| Deutsche Bank AG New York Branch 3.035% 5/28/32 (c) | 4469000 | 3387202 |
| Goldman Sachs Group, Inc.: |  |  |
|  2.383% 7/21/32 (c) | 39755000  | 30846250  |
|  3.102% 2/24/33 (c) | 47500000  | 38569075  |
|  3.2% 2/23/23  | 59200000  | 59051509  |
|  3.691% 6/5/28 (c) | 21000000  | 19511750  |
|  3.75% 2/25/26  | 15000000  | 14438354  |
|  3.8% 3/15/30  | 67720000  | 60878556  |
|  4.25% 10/21/25  | 22692000  | 22146181  |
|  4.411% 4/23/39 (c) | 3000000  | 2592088  |
|  5.15% 5/22/45  | 9000000  | 8083966  |
|  6.75% 10/1/37  | 30816000  | 32881388  |
| Intercontinental Exchange, Inc. 3.75% 12/1/25  | 4530000 | 4401681 |
| Moody's Corp.: |  |  |
|  3.25% 1/15/28  | 10681000  | 9845337  |
|  3.25% 5/20/50  | 9704000  | 6700354  |
|  3.75% 3/24/25  | 21924000  | 21315994  |
|  4.875% 2/15/24  | 10030000  | 9997692  |
| Morgan Stanley: |  |  |
|  2.943% 1/21/33 (c) | 17500000  | 14157120  |
|  3.125% 1/23/23  | 122810000  | 122697269  |
|  3.125% 7/27/26  | 24646000  | 22989095  |
|  3.622% 4/1/31 (c) | 41803000  | 36494166  |
|  3.7% 10/23/24  | 15967000  | 15584085  |
|  3.737% 4/24/24 (c) | 90600000  | 90110229  |
|  4.1% 5/22/23  | 4810000  | 4792415  |
|  4.21% 4/20/28 (c) | 40000000  | 38043754  |
|  4.431% 1/23/30 (c) | 54318000  | 50553961  |
|  5% 11/24/25  | 102478000  | 102169104  |
|  6.342% 10/18/33 (c) | 58000000  | 60772669  |
| Peachtree Corners Funding Trust 3.976% 2/15/25 (b) | 25500000 | 24614629 |
| State Street Corp. 2.901% 3/30/26 (c) | 2660000 | 2529778 |
| UBS Group AG: |  |  |
|  1.494% 8/10/27 (b)(c) | 24731000  | 21277557  |
|  4.125% 9/24/25 (b) | 17678000  | 17188756  |
|  |  | 1345249156 |
| Consumer Finance - 3.0% |  |  |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: |  |  |
|  1.65% 10/29/24  | 47436000  | 43754980  |
|  2.45% 10/29/26  | 17295000  | 15123469  |
|  2.875% 8/14/24  | 28486000  | 26970090  |
|  3% 10/29/28  | 18114000  | 15175462  |
|  3.3% 1/30/32  | 19378000  | 15148960  |
|  4.125% 7/3/23  | 19471000  | 19334914  |
|  4.45% 4/3/26  | 15328000  | 14629575  |
|  4.875% 1/16/24  | 28044000  | 27776454  |
|  6.5% 7/15/25  | 15770000  | 15979393  |
| Ally Financial, Inc.: |  |  |
|  1.45% 10/2/23  | 9655000  | 9359650  |
|  3.05% 6/5/23  | 41948000  | 41473262  |
|  4.75% 6/9/27  | 60000000  | 56238959  |
|  5.125% 9/30/24  | 9461000  | 9367382  |
|  5.75% 11/20/25  | 16947000  | 16417369  |
|  5.8% 5/1/25  | 68233000  | 67875257  |
|  7.1% 11/15/27  | 37620000  | 38273198  |
|  8% 11/1/31  | 11577000  | 11951473  |
| Capital One Financial Corp.: |  |  |
|  2.6% 5/11/23  | 31704000  | 31446885  |
|  2.636% 3/3/26 (c) | 21697000  | 20322418  |
|  3.273% 3/1/30 (c) | 32130000  | 27470177  |
|  3.65% 5/11/27  | 57194000  | 53808843  |
|  3.8% 1/31/28  | 29870000  | 27918693  |
|  4.985% 7/24/26 (c) | 31384000  | 30737782  |
|  5.247% 7/26/30 (c) | 40470000  | 38541471  |
| Discover Financial Services: |  |  |
|  3.95% 11/6/24  | 41289000  | 40188581  |
|  4.1% 2/9/27  | 5722000  | 5384372  |
|  4.5% 1/30/26  | 23106000  | 22334419  |
|  6.7% 11/29/32  | 7907000  | 8037280  |
| Ford Motor Credit Co. LLC: |  |  |
|  4.063% 11/1/24  | 79422000  | 76250830  |
|  5.584% 3/18/24  | 30750000  | 30345638  |
| Synchrony Financial: |  |  |
|  3.95% 12/1/27  | 37530000  | 33471103  |
|  4.25% 8/15/24  | 29533000  | 28854799  |
|  4.375% 3/19/24  | 24886000  | 24437962  |
|  5.15% 3/19/29  | 40161000  | 38003164  |
| Toyota Motor Credit Corp.: |  |  |
|  2.9% 3/30/23  | 32287000  | 32158856  |
|  3% 4/1/25  | 29531000  | 28357220  |
|  3.375% 4/1/30  | 9583000  | 8690699  |
|  |  | 1051611039 |
| Diversified Financial Services - 1.1% |  |  |
| Blackstone Private Credit Fund: |  |  |
|  4.7% 3/24/25  | 73143000  | 70114137  |
|  7.05% 9/29/25 (b) | 39080000  | 38770177  |
| Brixmor Operating Partnership LP: |  |  |
|  3.85% 2/1/25  | 450000  | 431784  |
|  4.05% 7/1/30  | 22047000  | 19286825  |
|  4.125% 6/15/26  | 26610000  | 25090785  |
|  4.125% 5/15/29  | 24028000  | 21482505  |
| Corebridge Financial, Inc.: |  |  |
|  3.5% 4/4/25 (b) | 9337000  | 8951147  |
|  3.65% 4/5/27 (b) | 33012000  | 30773479  |
|  3.85% 4/5/29 (b) | 13061000  | 11896059  |
|  3.9% 4/5/32 (b) | 15550000  | 13580863  |
|  4.35% 4/5/42 (b) | 3537000  | 2901575  |
|  4.4% 4/5/52 (b) | 10459000  | 8289600  |
| Equitable Holdings, Inc. 3.9% 4/20/23  | 3067000 | 3056875 |
| Jackson Financial, Inc.: |  |  |
|  5.17% 6/8/27  | 14655000  | 14438628  |
|  5.67% 6/8/32  | 31874000  | 29925812  |
| Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 29300000 | 28917914 |
| Pine Street Trust I 4.572% 2/15/29 (b) | 27943000 | 25840555 |
| Pine Street Trust II 5.568% 2/15/49 (b) | 29500000 | 25987979 |
|  |  | 379736699 |
| Insurance - 1.2% |  |  |
| AFLAC, Inc. 3.6% 4/1/30  | 9937000 | 8994131 |
| AIA Group Ltd.: |  |  |
|  3.2% 9/16/40 (b) | 15222000  | 10864466  |
|  3.375% 4/7/30 (b) | 30867000  | 27132127  |
| American International Group, Inc. 2.5% 6/30/25  | 33734000 | 31757188 |
| Aon PLC 4% 11/27/23  | 13880000 | 13742851 |
| Five Corners Funding Trust II 2.85% 5/15/30 (b) | 48444000 | 40608760 |
| Liberty Mutual Group, Inc.: |  |  |
|  3.951% 10/15/50 (b) | 4626000  | 3226997  |
|  4.25% 6/15/23 (b) | 2019000  | 2004645  |
|  4.569% 2/1/29 (b) | 27600000  | 25798237  |
| Lincoln National Corp. 3.4% 1/15/31  | 34132000 | 28231628 |
| Marsh & McLennan Companies, Inc.: |  |  |
|  4.375% 3/15/29  | 19688000  | 19016408  |
|  4.75% 3/15/39  | 9035000  | 8302126  |
| Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (b) | 20812000 | 13639240 |
| Metropolitan Life Global Funding I 3% 1/10/23 (b) | 223000 | 222924 |
| New York Life Insurance Co. 3.75% 5/15/50 (b) | 7429000 | 5680670 |
| Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (b) | 2000 | 2043 |
| Pacific LifeCorp 5.125% 1/30/43 (b) | 15610000 | 14063265 |
| Progressive Corp. 3.2% 3/26/30  | 3815000 | 3423112 |
| Prudential Financial, Inc. 6% 9/1/52 (c) | 55017000 | 53172609 |
| Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) | 11400000 | 10496436 |
| Teachers Insurance & Annuity Association of America: |  |  |
|  3.3% 5/15/50 (b) | 16941000  | 11712217  |
|  4.9% 9/15/44 (b) | 29277000  | 26762118  |
| TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) | 8401000 | 8177467 |
| Unum Group: |  |  |
|  3.875% 11/5/25  | 16863000  | 16102480  |
|  4% 6/15/29  | 21076000  | 19038680  |
|  5.75% 8/15/42  | 29395000  | 26421745  |
|  |  | 428594570 |
| TOTAL FINANCIALS |  | 5316779346 |
| HEALTH CARE - 1.8%  |  |  |
| Biotechnology - 0.2% |  |  |
| AbbVie, Inc. 3.2% 11/21/29  | 17500000 | 15775795 |
| Amgen, Inc. 1.65% 8/15/28  | 65000000 | 54197437 |
|  |  | 69973232 |
| Health Care Providers & Services - 1.1% |  |  |
| Centene Corp.: |  |  |
|  2.45% 7/15/28  | 32380000  | 27303539  |
|  2.625% 8/1/31  | 15205000  | 11922620  |
|  3.375% 2/15/30  | 17480000  | 14777068  |
|  4.25% 12/15/27  | 19645000  | 18424323  |
|  4.625% 12/15/29  | 30530000  | 27899408  |
| Cigna Corp.: |  |  |
|  3.05% 10/15/27  | 67800000  | 62034066  |
|  4.375% 10/15/28  | 29050000  | 28016806  |
|  4.8% 8/15/38  | 18087000  | 16785329  |
|  4.8% 7/15/46  | 9700000  | 8653603  |
|  4.9% 12/15/48  | 18071000  | 16282184  |
| CVS Health Corp.: |  |  |
|  3% 8/15/26  | 2965000  | 2769461  |
|  3.625% 4/1/27  | 7479000  | 7097195  |
|  3.875% 7/20/25  | 20803000  | 20300128  |
| HCA Holdings, Inc.: |  |  |
|  3.5% 9/1/30  | 18350000  | 15826439  |
|  3.625% 3/15/32 (b) | 4185000  | 3541153  |
|  5.625% 9/1/28  | 19094000  | 19010248  |
|  5.875% 2/1/29  | 21003000  | 20937378  |
| Humana, Inc. 3.7% 3/23/29  | 12046000 | 11028580 |
| Sabra Health Care LP: |  |  |
|  3.2% 12/1/31  | 39949000  | 29724731  |
|  3.9% 10/15/29  | 10094000  | 8444729  |
| Toledo Hospital 5.325% 11/15/28  | 9969000 | 7786786 |
|  |  | 378565774 |
| Pharmaceuticals - 0.5% |  |  |
| Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 63993000 | 62004459 |
| Elanco Animal Health, Inc.: |  |  |
|  5.772% 8/28/23  | 15106000  | 14954940  |
|  6.4% 8/28/28 (c) | 6362000  | 6053507  |
| Mylan NV 4.55% 4/15/28  | 6911000 | 6393221 |
| Utah Acquisition Sub, Inc. 3.95% 6/15/26  | 12375000 | 11568951 |
| Viatris, Inc.: |  |  |
|  1.65% 6/22/25  | 4370000  | 3957876  |
|  2.7% 6/22/30  | 39716000  | 31051329  |
|  3.85% 6/22/40  | 9677000  | 6488409  |
|  4% 6/22/50  | 16712000  | 10296896  |
| Zoetis, Inc. 3.25% 2/1/23  | 2327000 | 2323606 |
|  |  | 155093194 |
| TOTAL HEALTH CARE |  | 603632200 |
| INDUSTRIALS - 0.9%  |  |  |
| Aerospace & Defense - 0.1% |  |  |
| BAE Systems PLC 3.4% 4/15/30 (b) | 9575000 | 8449110 |
| The Boeing Co.: |  |  |
|  5.805% 5/1/50  | 29870000  | 27694743  |
|  5.93% 5/1/60  | 12640000  | 11514335  |
|  |  | 47658188 |
| Industrial Conglomerates - 0.0% |  |  |
| 3M Co.: |  |  |
|  2.65% 4/15/25  | 1885000  | 1800847  |
|  3.05% 4/15/30  | 1519000  | 1333575  |
|  3.7% 4/15/50  | 1875000  | 1435262  |
|  |  | 4569684 |
| Machinery - 0.3% |  |  |
| Daimler Trucks Finance North America LLC: |  |  |
|  1.125% 12/14/23 (b) | 30000000  | 28820711  |
|  1.625% 12/13/24 (b) | 28773000  | 26702460  |
|  2% 12/14/26 (b) | 30000000  | 26432790  |
| Deere & Co.: |  |  |
|  2.75% 4/15/25  | 3746000  | 3598102  |
|  3.1% 4/15/30  | 9897000  | 8863080  |
|  |  | 94417143 |
| Professional Services - 0.1% |  |  |
| Leidos, Inc.: |  |  |
|  2.95% 5/15/23  | 16357000  | 16226396  |
|  3.625% 5/15/25  | 12349000  | 11858335  |
| Thomson Reuters Corp. 3.85% 9/29/24  | 3021000 | 2925086 |
|  |  | 31009817 |
| Road & Rail - 0.0% |  |  |
| CSX Corp. 3.8% 4/15/50  | 5875000 | 4556026 |
| Trading Companies & Distributors - 0.2% |  |  |
| Air Lease Corp.: |  |  |
|  2.25% 1/15/23  | 6049000  | 6043246  |
|  3% 9/15/23  | 4193000  | 4121883  |
|  3.375% 7/1/25  | 28656000  | 27103441  |
|  3.875% 7/3/23  | 1190000  | 1179253  |
|  4.25% 2/1/24  | 28366000  | 27877284  |
|  4.25% 9/15/24  | 16843000  | 16479138  |
|  |  | 82804245 |
| Transportation Infrastructure - 0.2% |  |  |
| Avolon Holdings Funding Ltd.: |  |  |
|  3.95% 7/1/24 (b) | 10113000  | 9681183  |
|  4.375% 5/1/26 (b) | 21306000  | 19412867  |
|  5.25% 5/15/24 (b) | 21769000  | 21335363  |
|  |  | 50429413 |
| TOTAL INDUSTRIALS |  | 315444516 |
| INFORMATION TECHNOLOGY - 0.9%  |  |  |
| Electronic Equipment & Components - 0.2% |  |  |
| Dell International LLC/EMC Corp.: |  |  |
|  5.3% 10/1/29  | 11000000  | 10758023  |
|  5.45% 6/15/23  | 5972000  | 5975778  |
|  5.85% 7/15/25  | 5417000  | 5474584  |
|  6.02% 6/15/26  | 7709000  | 7864381  |
|  6.1% 7/15/27  | 9944000  | 10216009  |
|  6.2% 7/15/30  | 8607000  | 8750074  |
|  |  | 49038849 |
| IT Services - 0.0% |  |  |
| MasterCard, Inc.: |  |  |
|  3.3% 3/26/27  | 3028000  | 2883789  |
|  3.35% 3/26/30  | 4213000  | 3862779  |
|  |  | 6746568 |
| Semiconductors & Semiconductor Equipment - 0.4% |  |  |
| Broadcom, Inc.: |  |  |
|  1.95% 2/15/28 (b) | 7184000  | 6067749  |
|  2.45% 2/15/31 (b) | 61131000  | 48147925  |
|  2.6% 2/15/33 (b) | 61131000  | 45884757  |
|  3.5% 2/15/41 (b) | 49365000  | 35050818  |
|  3.75% 2/15/51 (b) | 23167000  | 15994006  |
|  |  | 151145255 |
| Software - 0.3% |  |  |
| Oracle Corp.: |  |  |
|  2.5% 4/1/25  | 24552000  | 23149507  |
|  2.8% 4/1/27  | 24552000  | 22342197  |
|  2.95% 4/1/30  | 24600000  | 20974017  |
|  3.6% 4/1/40  | 24550000  | 18010147  |
|  3.6% 4/1/50  | 24550000  | 16528697  |
|  3.85% 4/1/60  | 24600000  | 16345089  |
|  |  | 117349654 |
| TOTAL INFORMATION TECHNOLOGY |  | 324280326 |
| MATERIALS - 0.0%  |  |  |
| Chemicals - 0.0% |  |  |
| The Dow Chemical Co. 4.55% 11/30/25  | 13459000 | 13368342 |
| REAL ESTATE - 3.2%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 2.6% |  |  |
| Alexandria Real Estate Equities, Inc.: |  |  |
|  2% 5/18/32  | 19486000  | 14920654  |
|  4.9% 12/15/30  | 17745000  | 17287486  |
| American Homes 4 Rent LP: |  |  |
|  2.375% 7/15/31  | 3169000  | 2444339  |
|  3.625% 4/15/32  | 14296000  | 12025302  |
|  4.3% 4/15/52  | 9909000  | 7262537  |
| Boston Properties, Inc.: |  |  |
|  3.25% 1/30/31  | 16564000  | 13693106  |
|  4.5% 12/1/28  | 18628000  | 17268859  |
|  6.75% 12/1/27  | 24397000  | 25155901  |
| Corporate Office Properties LP: |  |  |
|  2% 1/15/29  | 2896000  | 2220943  |
|  2.25% 3/15/26  | 7272000  | 6375527  |
|  2.75% 4/15/31  | 7105000  | 5317393  |
| Healthcare Trust of America Holdings LP: |  |  |
|  3.1% 2/15/30  | 6066000  | 5064893  |
|  3.5% 8/1/26  | 6318000  | 5880527  |
| Healthpeak Properties, Inc.: |  |  |
|  3.25% 7/15/26  | 2733000  | 2579713  |
|  3.4% 2/1/25  | 912000  | 877439  |
|  3.5% 7/15/29  | 3125000  | 2781021  |
| Hudson Pacific Properties LP 4.65% 4/1/29  | 37205000 | 31786152 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/32  | 21143000 | 18497706 |
| Kite Realty Group Trust: |  |  |
|  4% 3/15/25  | 27373000  | 26037648  |
|  4.75% 9/15/30  | 42235000  | 37180992  |
| LXP Industrial Trust (REIT): |  |  |
|  2.7% 9/15/30  | 7890000  | 6284788  |
|  4.4% 6/15/24  | 8117000  | 7885750  |
| Omega Healthcare Investors, Inc.: |  |  |
|  3.25% 4/15/33  | 26948000  | 19482688  |
|  3.375% 2/1/31  | 14471000  | 11154678  |
|  3.625% 10/1/29  | 26970000  | 22125860  |
|  4.375% 8/1/23  | 7048000  | 7007920  |
|  4.5% 1/15/25  | 12446000  | 12093297  |
|  4.5% 4/1/27  | 86567000  | 81064467  |
|  4.75% 1/15/28  | 28933000  | 26659814  |
|  4.95% 4/1/24  | 6427000  | 6332580  |
|  5.25% 1/15/26  | 28200000  | 27613636  |
| Piedmont Operating Partnership LP 2.75% 4/1/32  | 6300000 | 4409512 |
| Prologis LP 3.25% 6/30/26  | 2124000 | 2015365 |
| Realty Income Corp.: |  |  |
|  2.2% 6/15/28  | 3445000  | 2950179  |
|  2.85% 12/15/32  | 4238000  | 3436855  |
|  3.25% 1/15/31  | 4502000  | 3903982  |
|  3.4% 1/15/28  | 7083000  | 6522169  |
| Regency Centers LP 3.7% 6/15/30  | 25000000 | 21808189 |
| Retail Opportunity Investments Partnership LP: |  |  |
|  4% 12/15/24  | 4615000  | 4411212  |
|  5% 12/15/23  | 3475000  | 3435874  |
| Simon Property Group LP 2.65% 2/1/32  | 30000000 | 24014033 |
| SITE Centers Corp.: |  |  |
|  3.625% 2/1/25  | 10990000  | 10372277  |
|  4.25% 2/1/26  | 15247000  | 14360341  |
| Store Capital Corp.: |  |  |
|  2.75% 11/18/30  | 8515000  | 6535148  |
|  4.625% 3/15/29  | 8847000  | 7925651  |
| Sun Communities Operating LP: |  |  |
|  2.3% 11/1/28  | 7110000  | 5918899  |
|  2.7% 7/15/31  | 18176000  | 14346685  |
| Ventas Realty LP: |  |  |
|  2.5% 9/1/31  | 53031000  | 41614337  |
|  3% 1/15/30  | 35454000  | 29743368  |
|  3.5% 2/1/25  | 7488000  | 7191484  |
|  3.75% 5/1/24  | 7900000  | 7721877  |
|  4% 3/1/28  | 10351000  | 9570715  |
|  4.125% 1/15/26  | 7649000  | 7419104  |
|  4.375% 2/1/45  | 3802000  | 2946946  |
|  4.75% 11/15/30  | 41973000  | 39190323  |
| VICI Properties LP: |  |  |
|  4.375% 5/15/25  | 3704000  | 3592243  |
|  4.75% 2/15/28  | 29291000  | 27787425  |
|  4.95% 2/15/30  | 38231000  | 36392752  |
|  5.125% 5/15/32  | 10549000  | 9767847  |
| Vornado Realty LP 2.15% 6/1/26  | 7918000 | 6690643 |
| Welltower, Inc. 4% 6/1/25  | 4568000 | 4449415 |
| WP Carey, Inc.: |  |  |
|  3.85% 7/15/29  | 6097000  | 5476754  |
|  4% 2/1/25  | 26847000  | 26160347  |
|  4.6% 4/1/24  | 14578000  | 14439356  |
|  |  | 898884923 |
| Real Estate Management & Development - 0.6% |  |  |
| Brandywine Operating Partnership LP: |  |  |
|  3.95% 11/15/27  | 20195000  | 16950758  |
|  4.1% 10/1/24  | 23803000  | 22648888  |
|  4.55% 10/1/29  | 27295000  | 22818766  |
|  7.55% 3/15/28  | 33242000  | 32599740  |
| CBRE Group, Inc.: |  |  |
|  2.5% 4/1/31  | 23518000  | 18536762  |
|  4.875% 3/1/26  | 19900000  | 19646293  |
| Essex Portfolio LP 3.875% 5/1/24  | 5285000 | 5174565 |
| Mid-America Apartments LP 4% 11/15/25  | 3541000 | 3441131 |
| Tanger Properties LP: |  |  |
|  2.75% 9/1/31  | 18732000  | 13563848  |
|  3.125% 9/1/26  | 16602000  | 15076064  |
|  3.875% 7/15/27  | 28881000  | 26345402  |
|  |  | 196802217 |
| TOTAL REAL ESTATE |  | 1095687140 |
| UTILITIES - 1.5%  |  |  |
| Electric Utilities - 0.6% |  |  |
| Alabama Power Co. 3.05% 3/15/32  | 29471000 | 25392181 |
| Cleco Corporate Holdings LLC: |  |  |
|  3.375% 9/15/29  | 15724000  | 13374894  |
|  3.743% 5/1/26  | 60730000  | 57335566  |
| Cleveland Electric Illuminating Co. 5.95% 12/15/36  | 1128000 | 1119015 |
| Duquesne Light Holdings, Inc.: |  |  |
|  2.532% 10/1/30 (b) | 10574000  | 8377139  |
|  2.775% 1/7/32 (b) | 19219000  | 15032525  |
| Eversource Energy 2.8% 5/1/23  | 435000 | 432786 |
| Exelon Corp.: |  |  |
|  2.75% 3/15/27  | 6523000  | 5982142  |
|  3.35% 3/15/32  | 7920000  | 6878467  |
|  4.05% 4/15/30  | 7291000  | 6768947  |
|  4.1% 3/15/52  | 5867000  | 4688107  |
|  4.7% 4/15/50  | 3246000  | 2827485  |
| FirstEnergy Corp. 7.375% 11/15/31  | 36261000 | 40838951 |
| IPALCO Enterprises, Inc. 3.7% 9/1/24  | 9552000 | 9256065 |
|  |  | 198304270 |
| Gas Utilities - 0.0% |  |  |
| Nakilat, Inc. 6.067% 12/31/33 (b) | 6475473 | 6654763 |
| Independent Power and Renewable Electricity Producers - 0.4% |  |  |
| Emera U.S. Finance LP 3.55% 6/15/26  | 6732000 | 6305865 |
| The AES Corp.: |  |  |
|  1.375% 1/15/26  | 30500000  | 27083654  |
|  2.45% 1/15/31  | 28885000  | 22978632  |
|  3.3% 7/15/25 (b) | 37234000  | 35107962  |
|  3.95% 7/15/30 (b) | 42717000  | 37676394  |
|  |  | 129152507 |
| Multi-Utilities - 0.5% |  |  |
| Berkshire Hathaway Energy Co.: |  |  |
|  3.7% 7/15/30  | 4149000  | 3780057  |
|  4.05% 4/15/25  | 53700000  | 52873420  |
| Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30  | 3290000 | 2958905 |
| NiSource, Inc.: |  |  |
|  2.95% 9/1/29  | 40740000  | 35333510  |
|  3.6% 5/1/30  | 22835000  | 20332742  |
| Puget Energy, Inc.: |  |  |
|  4.1% 6/15/30  | 25767000  | 23008930  |
|  4.224% 3/15/32  | 27319000  | 24244204  |
| Sempra Energy 6% 10/15/39  | 5386000 | 5442755 |
| WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 6.7186% 5/15/67 (c)(d) | 12629000 | 10564664 |
|  |  | 178539187 |
| TOTAL UTILITIES |  | 512650727 |
| <br> **TOTAL NONCONVERTIBLE BONDS**<br> (Cost $12,422,870,313) |  | <br> **11095205295** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 36.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 36.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 36.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| U.S. Treasury Bonds: |  |  |
|  1.75% 8/15/41  | 896321000 | 613384674 |
|  1.875% 11/15/51  | 120053000 | 76036694 |
|  2% 11/15/41 (e)(f) | 2400000 | 1713656 |
|  2% 8/15/51  | 1412404000 | 924793581 |
|  2.375% 2/15/42  | 95700000 | 73101603 |
|  2.875% 5/15/52  | 556400000 | 447814868 |
|  3% 2/15/49  | 794760000 | 657792174 |
|  3.25% 5/15/42 (e)(f)(g) | 22470000 | 19699870 |
|  3.375% 8/15/42  | 485600000 | 434005000 |
|  4% 11/15/52  | 185000000 | 185958596 |
| U.S. Treasury Notes: |  |  |
|  1.25% 12/31/26  | 1000000000 | 895507810 |
|  1.25% 4/30/28  | 2172413000 | 1884992562 |
|  1.5% 11/30/28  | 800000000 | 694718752 |
|  1.625% 5/15/26  | 708147900 | 651745024 |
|  1.875% 2/28/27  | 570000000 | 522039847 |
|  2% 5/31/24  | 191790000 | 184785169 |
|  2.125% 7/31/24  | 245203000 | 235845058 |
|  2.125% 11/30/24  | 264890000 | 253559743 |
|  2.375% 3/31/29  | 504000000 | 458285628 |
|  2.625% 7/31/29  | 273317000 | 251675845 |
|  2.75% 8/15/32 (g) | 982467000 | 894659012 |
|  2.875% 5/15/32  | 912142000 | 840595862 |
|  3.875% 11/30/29  | 255000000 | 253286719 |
|  4% 10/31/29  | 1962000 | 1962613 |
|  4.125% 11/15/32  | 1083000000 | 1105167656 |
|  4.375% 10/31/24  | 41600000 | 41481375 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $14,606,880,715) |  | **12604609391** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 23.7%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 23.7%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 23.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Fannie Mae - 5.5%  |  |  |
| 12 month U.S. LIBOR + 1.390% 2.451% 5/1/33 (c)(d) | 1887 | 1874 |
| 12 month U.S. LIBOR + 1.440% 1.945% 4/1/37 (c)(d) | 17368 | 17291 |
| 12 month U.S. LIBOR + 1.460% 3.148% 1/1/35 (c)(d) | 18126 | 18062 |
| 12 month U.S. LIBOR + 1.480% 3.787% 7/1/34 (c)(d) | 4811 | 4823 |
| 12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (c)(d) | 33868 | 34161 |
| 12 month U.S. LIBOR + 1.560% 2.065% 3/1/37 (c)(d) | 18188 | 18182 |
| 12 month U.S. LIBOR + 1.620% 3.2% 3/1/33 (c)(d) | 18264 | 18243 |
| 12 month U.S. LIBOR + 1.620% 3.87% 5/1/35 (c)(d) | 35487 | 35609 |
| 12 month U.S. LIBOR + 1.630% 3.28% 11/1/36 (c)(d) | 122682 | 123227 |
| 12 month U.S. LIBOR + 1.630% 3.467% 7/1/35 (c)(d) | 77194 | 77753 |
| 12 month U.S. LIBOR + 1.630% 3.815% 9/1/36 (c)(d) | 12059 | 12094 |
| 12 month U.S. LIBOR + 1.640% 3.274% 5/1/36 (c)(d) | 30637 | 30837 |
| 12 month U.S. LIBOR + 1.640% 3.895% 6/1/47 (c)(d) | 26383 | 26643 |
| 12 month U.S. LIBOR + 1.680% 2.996% 7/1/43 (c)(d) | 327963 | 330872 |
| 12 month U.S. LIBOR + 1.700% 3.186% 6/1/42 (c)(d) | 37663 | 38105 |
| 12 month U.S. LIBOR + 1.710% 2.746% 3/1/36 (c)(d) | 60230 | 60700 |
| 12 month U.S. LIBOR + 1.730% 2.354% 3/1/40 (c)(d) | 37306 | 37547 |
| 12 month U.S. LIBOR + 1.730% 3.105% 5/1/36 (c)(d) | 75293 | 75985 |
| 12 month U.S. LIBOR + 1.730% 3.442% 5/1/36 (c)(d) | 29329 | 29651 |
| 12 month U.S. LIBOR + 1.750% 2.617% 7/1/35 (c)(d) | 23326 | 23371 |
| 12 month U.S. LIBOR + 1.750% 4% 8/1/41 (c)(d) | 53020 | 53550 |
| 12 month U.S. LIBOR + 1.800% 2.353% 1/1/42 (c)(d) | 78656 | 79172 |
| 12 month U.S. LIBOR + 1.800% 4.048% 12/1/40 (c)(d) | 1081776 | 1094549 |
| 12 month U.S. LIBOR + 1.800% 4.05% 7/1/41 (c)(d) | 17225 | 17427 |
| 12 month U.S. LIBOR + 1.810% 2.06% 12/1/39 (c)(d) | 29766 | 29948 |
| 12 month U.S. LIBOR + 1.810% 2.304% 2/1/42 (c)(d) | 46542 | 46870 |
| 12 month U.S. LIBOR + 1.810% 3.999% 7/1/41 (c)(d) | 23962 | 24324 |
| 12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (c)(d) | 12434 | 12559 |
| 12 month U.S. LIBOR + 1.820% 2.294% 2/1/35 (c)(d) | 48845 | 48978 |
| 12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (c)(d) | 11921 | 11855 |
| 12 month U.S. LIBOR + 1.950% 3.771% 7/1/37 (c)(d) | 81279 | 82607 |
| 6 month U.S. LIBOR + 1.310% 3.438% 5/1/34 (c)(d) | 45828 | 45459 |
| 6 month U.S. LIBOR + 1.420% 2.572% 9/1/33 (c)(d) | 79606 | 78631 |
| 6 month U.S. LIBOR + 1.500% 2.898% 1/1/35 (c)(d) | 39170 | 39085 |
| 6 month U.S. LIBOR + 1.510% 3.523% 2/1/33 (c)(d) | 199 | 201 |
| 6 month U.S. LIBOR + 1.530% 2.785% 12/1/34 (c)(d) | 19726 | 19639 |
| 6 month U.S. LIBOR + 1.530% 2.835% 3/1/35 (c)(d) | 29642 | 29526 |
| 6 month U.S. LIBOR + 1.550% 4.011% 10/1/33 (c)(d) | 3131 | 3165 |
| 6 month U.S. LIBOR + 1.560% 3.64% 7/1/35 (c)(d) | 5412 | 5501 |
| 6 month U.S. LIBOR + 1.740% 3.865% 12/1/34 (c)(d) | 987 | 992 |
| 6 month U.S. LIBOR + 1.960% 3.434% 9/1/35 (c)(d) | 7723 | 7767 |
| 6 month U.S. LIBOR + 2.500% 3.75% 3/1/36 (c)(d) | 47532 | 48308 |
| U.S. TREASURY 1 YEAR INDEX + 2.200% 2.583% 3/1/35 (c)(d) | 17690 | 17929 |
| U.S. TREASURY 1 YEAR INDEX + 2.220% 2.443% 8/1/36 (c)(d) | 94766 | 96525 |
| U.S. TREASURY 1 YEAR INDEX + 2.270% 4.395% 6/1/36 (c)(d) | 42501 | 43224 |
| U.S. TREASURY 1 YEAR INDEX + 2.280% 4.407% 10/1/33 (c)(d) | 34099 | 34792 |
| U.S. TREASURY 1 YEAR INDEX + 2.420% 3.598% 5/1/35 (c)(d) | 20781 | 21186 |
| U.S. TREASURY 1 YEAR INDEX + 2.460% 3.987% 7/1/34 (c)(d) | 39301 | 40087 |
| 1.5% 1/1/36 to 6/1/51  | 57206251 | 47840146 |
| 2% 10/1/35 to 3/1/52  | 436300298 | 360604818 |
| 2.5% 9/1/29 to 2/1/52  | 447173324 | 386010773 |
| 3% 12/1/28 to 3/1/52 (f) | 309024204 | 277069740 |
| 3.25% 12/1/41  | 18646 | 17206 |
| 3.4% 7/1/42 to 9/1/42  | 356755 | 330154 |
| 3.5% 10/1/33 to 5/1/52 (e) | 414609106 | 379881373 |
| 3.65% 5/1/42 to 8/1/42  | 107037 | 100777 |
| 3.9% 4/1/42  | 29301 | 27960 |
| 4% 3/1/36 to 9/1/52  | 159732518 | 153339139 |
| 4.25% 11/1/41  | 58469 | 56990 |
| 4.5% to 4.5% 6/1/24 to 12/1/52  | 115324974 | 113396784 |
| 5% 3/1/23 to 1/1/53  | 124302848 | 124248832 |
| 5.264% 8/1/41 (c) | 791416 | 793797 |
| 5.5% 12/1/23 to 11/1/52  | 30040696 | 30391387 |
| 6% to 6% 9/1/29 to 11/1/52  | 30252472 | 31033755 |
| 6.5% 7/1/23 to 4/1/37  | 467169 | 482339 |
| 6.668% 2/1/39 (c) | 436503 | 446570 |
| 7% to 7% 4/1/23 to 7/1/37  | 453677 | 471225 |
| 7.5% to 7.5% 6/1/25 to 11/1/31  | 339792 | 353994 |
| 8% 3/1/37  | 9058 | 9934 |
| TOTAL FANNIE MAE |  | 1909956579 |
| Freddie Mac - 4.8%  |  |  |
| 12 month U.S. LIBOR + 1.320% 2.364% 1/1/36 (c)(d) | 15805 | 15570 |
| 12 month U.S. LIBOR + 1.370% 3.141% 3/1/36 (c)(d) | 68862 | 68180 |
| 12 month U.S. LIBOR + 1.500% 2.637% 3/1/36 (c)(d) | 40080 | 39793 |
| 12 month U.S. LIBOR + 1.750% 3.89% 12/1/40 (c)(d) | 462971 | 463381 |
| 12 month U.S. LIBOR + 1.750% 4% 7/1/41 (c)(d) | 105169 | 105923 |
| 12 month U.S. LIBOR + 1.750% 4% 9/1/41 (c)(d) | 183892 | 184368 |
| 12 month U.S. LIBOR + 1.800% 3.622% 5/1/35 (c)(d) | 81811 | 82283 |
| 12 month U.S. LIBOR + 1.860% 3.239% 4/1/36 (c)(d) | 27054 | 27250 |
| 12 month U.S. LIBOR + 1.880% 3.255% 4/1/41 (c)(d) | 4723 | 4759 |
| 12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (c)(d) | 18718 | 18781 |
| 12 month U.S. LIBOR + 1.900% 3.714% 10/1/42 (c)(d) | 65364 | 65785 |
| 12 month U.S. LIBOR + 1.910% 3.22% 5/1/41 (c)(d) | 37262 | 37563 |
| 12 month U.S. LIBOR + 1.910% 3.568% 5/1/41 (c)(d) | 38936 | 39323 |
| 12 month U.S. LIBOR + 1.910% 3.774% 6/1/41 (c)(d) | 48611 | 49126 |
| 12 month U.S. LIBOR + 1.910% 4.16% 6/1/41 (c)(d) | 12374 | 12530 |
| 12 month U.S. LIBOR + 2.020% 2.93% 4/1/38 (c)(d) | 23345 | 23422 |
| 12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (c)(d) | 503 | 501 |
| 12 month U.S. LIBOR + 2.040% 4.265% 7/1/36 (c)(d) | 35702 | 36103 |
| 12 month U.S. LIBOR + 2.200% 4.45% 12/1/36 (c)(d) | 46031 | 46596 |
| 6 month U.S. LIBOR + 1.120% 2.424% 8/1/37 (c)(d) | 24365 | 23877 |
| 6 month U.S. LIBOR + 1.580% 5.08% 12/1/35 (c)(d) | 235 | 238 |
| 6 month U.S. LIBOR + 1.650% 4.177% 4/1/35 (c)(d) | 60085 | 60628 |
| 6 month U.S. LIBOR + 1.880% 3.488% 10/1/36 (c)(d) | 67070 | 66942 |
| 6 month U.S. LIBOR + 1.990% 3.665% 10/1/35 (c)(d) | 32541 | 32549 |
| 6 month U.S. LIBOR + 2.020% 5.51% 6/1/37 (c)(d) | 14490 | 14832 |
| 6 month U.S. LIBOR + 2.680% 4.983% 10/1/35 (c)(d) | 31397 | 32204 |
| U.S. TREASURY 1 YEAR INDEX + 2.030% 2.948% 6/1/33 (c)(d) | 48634 | 48880 |
| U.S. TREASURY 1 YEAR INDEX + 2.240% 2.372% 1/1/35 (c)(d) | 3727 | 3771 |
| U.S. TREASURY 1 YEAR INDEX + 2.260% 3.228% 6/1/33 (c)(d) | 99480 | 100275 |
| U.S. TREASURY 1 YEAR INDEX + 2.430% 3.94% 3/1/35 (c)(d) | 184173 | 186990 |
| 1.5% 7/1/35 to 6/1/51  | 37624148 | 30900317 |
| 2% 4/1/41 to 4/1/52  | 427583710 | 352510738 |
| 2.5% 10/1/29 to 3/1/52  | 405970249 | 351373324 |
| 3% 6/1/31 to 4/1/52  | 351993461 | 316295442 |
| 3.5% 12/1/29 to 4/1/52 (e) | 284751220 | 265170691 |
| 4% 1/1/36 to 8/1/52 (f) | 151962438 | 146002793 |
| 4% 4/1/48  | 28372 | 27201 |
| 4.5% 6/1/25 to 9/1/52  | 101450744 | 98750139 |
| 5% 8/1/33 to 12/1/52  | 98442228 | 98344741 |
| 5.5% 10/1/52  | 9937576 | 9993768 |
| 6% 1/1/23 to 12/1/37  | 897478 | 931550 |
| 6.5% 5/1/26 to 9/1/39  | 1352829 | 1429840 |
| 7% 3/1/26 to 9/1/36  | 334223 | 351482 |
| 7.5% 7/1/26 to 6/1/32  | 75402 | 79054 |
| 8% 7/1/24 to 4/1/32  | 12498 | 13109 |
| 8.5% 1/1/25 to 1/1/28  | 5161 | 5364 |
| TOTAL FREDDIE MAC |  | 1674071976 |
| Ginnie Mae - 5.7%  |  |  |
| 3% 5/15/42 to 11/20/50  | 60142124 | 54037221 |
| 3.5% 9/20/40 to 2/20/50  | 51286910 | 48018117 |
| 4% 7/15/39 to 6/20/49 (f) | 99001895 | 95006581 |
| 4.5% 6/20/33 to 8/15/41  | 27582191 | 27213508 |
| 5.5% 7/15/33 to 9/15/39  | 1006360 | 1033724 |
| 6% to 6% 10/15/30 to 5/15/40  | 955891 | 997481 |
| 7% to 7% 3/15/23 to 11/15/32  | 944142 | 981781 |
| 7.5% to 7.5% 2/15/23 to 9/15/31  | 126505 | 130108 |
| 8% 12/15/23 to 11/15/29  | 17119 | 17589 |
| 8.5% 11/15/27 to 11/15/31  | 25367 | 26894 |
| 2% 10/20/50 to 4/20/51  | 38497967 | 32494736 |
| 2% 1/1/53 (h) | 33450000 | 28063547 |
| 2% 1/1/53 (h) | 47075000 | 39494513 |
| 2% 1/1/53 (h) | 12300000 | 10319331 |
| 2% 1/1/53 (h) | 41175000 | 34544590 |
| 2% 1/1/53 (h) | 148150000 | 124293406 |
| 2% 1/1/53 (h) | 90350000 | 75800940 |
| 2% 1/1/53 (h) | 30100000 | 25252997 |
| 2% 1/1/53 (h) | 29825000 | 25022280 |
| 2% 1/1/53 (h) | 30250000 | 25378843 |
| 2% 1/1/53 (h) | 60200000 | 50505994 |
| 2% 1/1/53 (h) | 39400000 | 33055418 |
| 2% 2/1/53 (h) | 118500000 | 99524405 |
| 2% 2/1/53 (h) | 148150000 | 124426503 |
| 2% 3/1/53 (h) | 29650000 | 24921786 |
| 2.5% 7/20/51  | 32424451 | 28198672 |
| 2.5% 1/1/53 (h) | 34450000 | 29842078 |
| 2.5% 1/1/53 (h) | 8550000 | 7406379 |
| 2.5% 1/1/53 (h) | 91650000 | 79391189 |
| 2.5% 1/1/53 (h) | 62600000 | 54226824 |
| 2.5% 1/1/53 (h) | 30550000 | 26463730 |
| 2.5% 1/1/53 (h) | 31000000 | 26853539 |
| 2.5% 1/1/53 (h) | 62350000 | 54010264 |
| 2.5% 1/1/53 (h) | 34050000 | 29495581 |
| 2.5% 2/1/53 (h) | 122200000 | 105940838 |
| 3% 1/1/53 (h) | 30900000 | 27521904 |
| 3% 1/1/53 (h) | 6600000 | 5878465 |
| 3% 1/1/53 (h) | 27800000 | 24760807 |
| 3% 1/1/53 (h) | 104500000 | 93075694 |
| 3% 1/1/53 (h) | 73450000 | 65420189 |
| 3% 1/1/53 (h) | 44050000 | 39234300 |
| 3% 2/1/53 (h) | 111100000 | 99010576 |
| 3% 2/1/53 (h) | 27800000 | 24774924 |
| 3.5% 1/1/53 (h) | 23350000 | 21453513 |
| 3.5% 1/1/53 (h) | 17800000 | 16354284 |
| 3.5% 1/1/53 (h) | 76750000 | 70516365 |
| 3.5% 2/1/53 (h) | 62700000 | 57634448 |
| 5% 12/15/32 to 4/20/48  | 11931149 | 12014500 |
| 6.5% 3/20/31 to 6/15/37  | 129839 | 136141 |
| TOTAL GINNIE MAE |  | 1980177497 |
| Uniform Mortgage Backed Securities - 7.7%  |  |  |
| 1.5% 1/1/38 (h) | 15850000 | 13758667 |
| 1.5% 1/1/38 (h) | 14700000 | 12760404 |
| 1.5% 1/1/38 (h) | 30550000 | 26519071 |
| 1.5% 1/1/38 (h) | 15900000 | 13802070 |
| 1.5% 1/1/38 (h) | 63550000 | 55164876 |
| 1.5% 2/1/38 (h) | 47650000 | 41424232 |
| 1.5% 2/1/38 (h) | 31750000 | 27601666 |
| 1.5% 1/1/53 (h) | 126100000 | 97325859 |
| 1.5% 1/1/53 (h) | 29450000 | 22729949 |
| 1.5% 1/1/53 (h) | 45975000 | 35484190 |
| 2% 1/1/38 (h) | 23550000 | 20977165 |
| 2% 1/1/38 (h) | 47850000 | 42622392 |
| 2% 1/1/38 (h) | 2350000 | 2093263 |
| 2% 1/1/38 (h) | 11350000 | 10110014 |
| 2% 1/1/38 (h) | 12400000 | 11045301 |
| 2% 1/1/38 (h) | 47100000 | 41954330 |
| 2% 1/1/38 (h) | 78500000 | 69923883 |
| 2% 1/1/38 (h) | 23550000 | 20977165 |
| 2% 2/1/38 (h) | 65750000 | 58643865 |
| 2% 2/1/38 (h) | 57500000 | 51285509 |
| 2% 2/1/38 (h) | 39850000 | 35543088 |
| 2% 1/1/53 (h) | 71475000 | 58339239 |
| 2% 1/1/53 (h) | 108950000 | 88927038 |
| 2% 1/1/53 (h) | 55050000 | 44932845 |
| 2% 1/1/53 (h) | 110100000 | 89865690 |
| 2% 1/1/53 (h) | 27550000 | 22486828 |
| 2% 1/1/53 (h) | 27500000 | 22446017 |
| 2% 1/1/53 (h) | 5500000 | 4489203 |
| 2% 1/1/53 (h) | 27550000 | 22486828 |
| 2% 1/1/53 (h) | 110800000 | 90437043 |
| 2% 1/1/53 (h) | 54800000 | 44728790 |
| 2% 2/1/53 (h) | 54800000 | 44780165 |
| 2% 2/1/53 (h) | 108950000 | 89029179 |
| 2% 2/1/53 (h) | 5450000 | 4453502 |
| 2% 2/1/53 (h) | 54450000 | 44494161 |
| 2% 2/1/53 (h) | 54450000 | 44494161 |
| 2.5% 1/1/38 (h) | 17800000 | 16306470 |
| 2.5% 1/1/53 (h) | 106600000 | 90376813 |
| 2.5% 1/1/53 (h) | 15350000 | 13013922 |
| 2.5% 1/1/53 (h) | 76900000 | 65196781 |
| 2.5% 1/1/53 (h) | 16300000 | 13819344 |
| 2.5% 1/1/53 (h) | 78900000 | 66892406 |
| 2.5% 1/1/53 (h) | 103600000 | 87833375 |
| 2.5% 1/1/53 (h) | 7900000 | 6697719 |
| 2.5% 1/1/53 (h) | 86800000 | 73590125 |
| 2.5% 1/1/53 (h) | 28950000 | 24544172 |
| 2.5% 2/1/53 (h) | 111500000 | 94618209 |
| 2.5% 2/1/53 (h) | 78900000 | 66954051 |
| 2.5% 2/1/53 (h) | 76300000 | 64747707 |
| 3% 1/1/38 (h) | 13000000 | 12181400 |
| 3% 1/1/53 (h) | 10100000 | 8873008 |
| 3% 1/1/53 (h) | 20200000 | 17746015 |
| 3% 1/1/53 (h) | 157650000 | 138497984 |
| 3% 1/1/53 (h) | 3200000 | 2811250 |
| 3.5% 1/1/53 (h) | 8425000 | 7662138 |
| 3.5% 1/1/53 (h) | 8425000 | 7662138 |
| 3.5% 1/1/53 (h) | 19400000 | 17643380 |
| 4% 1/1/53 (h) | 36550000 | 34311294 |
| 4% 1/1/53 (h) | 19700000 | 18493365 |
| 4.5% 1/1/53 (h) | 40000000 | 38556248 |
| 4.5% 1/1/53 (h) | 73300000 | 70654324 |
| 5% 1/1/53 (h) | 42300000 | 41711785 |
| 5% 1/1/53 (h) | 5700000 | 5620737 |
| 5.5% 1/1/53 (h) | 36800000 | 36909267 |
| 5.5% 1/1/53 (h) | 12400000 | 12436818 |
| 5.5% 1/1/53 (h) | 13600000 | 13640381 |
| 5.5% 1/1/53 (h) | 13250000 | 13289342 |
| 5.5% 1/1/53 (h) | 13300000 | 13339490 |
| 5.5% 1/1/53 (h) | 13250000 | 13289342 |
| 5.5% 1/1/53 (h) | 12300000 | 12336521 |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES |  | 2650394969 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $8,737,779,131) |  | <br> **8214601021** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 6.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 6.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 6.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AASET Trust: |  |  |
|  Series 2018-1A Class A, 3.844% 1/16/38 (b) | 11558277 | 7003343 |
|  Series 2019-1 Class A, 3.844% 5/15/39 (b) | 9936738 | 6483904 |
|  Series 2019-2:  |  |  |
| Class A, 3.376% 10/16/39 (b) <br>| 23154563 | 17135016 |
| Class B, 4.458% 10/16/39 (b) <br>| 4664187 | 1492680 |
|  Series 2021-1A Class A, 2.95% 11/16/41 (b) | 24200358 | 19350105 |
|  Series 2021-2A Class A, 2.798% 1/15/47 (b) | 48825976 | 39359191 |
| AASET, Ltd. Series 2022-1A Class A, 6% 5/16/47 (b) | 31063893 | 28778901 |
| Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 1/15/32 (b)(c)(d) | 7556000 | 7424458 |
| AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 5.2091% 10/17/34 (b)(c)(d) | 17910000 | 17433755 |
| AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, 3 month U.S. LIBOR + 0.990% 5.2326% 4/20/34 (b)(c)(d) | 43014000 | 41693900 |
| Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.500% 3.1807% 7/20/35 (b)(c)(d) | 25047000 | 24365596 |
| Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 5.3826% 7/20/34 (b)(c)(d) | 21007000 | 20416409 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A: |  |  |
|  Class A, 3.351% 1/16/40 (b) | 6731838 | 5392416 |
|  Class B, 4.335% 1/16/40 (b) | 1196541 | 515598 |
| Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 5.3991% 10/15/32 (b)(c)(d) | 24769000 | 24294327 |
| Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 5.2091% 7/15/34 (b)(c)(d) | 26517000 | 25914216 |
| Ares LVIII CLO LLC Series 2022-58A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.330% 5.1936% 1/15/35 (b)(c)(d) | 37068000 | 35576384 |
| Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 5.1491% 4/15/34 (b)(c)(d) | 29947000 | 29063414 |
| Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 5.3291% 4/17/33 (b)(c)(d) | 69645000 | 68227306 |
| Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 10/15/36 (b)(c)(d) | 17946000 | 17461691 |
| Barings CLO Ltd. Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 5.4626% 1/20/32 (b)(c)(d) | 28600000 | 28145003 |
| Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME TERM SOFR 3 MONTH INDEX + 1.300% 5.1636% 1/17/35 (b)(c)(d) | 38048000 | 37441058 |
| BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 5.2091% 1/15/35 (b)(c)(d) | 27114000 | 26313025 |
| Blackbird Capital Aircraft: |  |  |
|  Series 2016-1A:  |  |  |
| Class A, 4.213% 12/16/41 (b) <br>| 30384999 | 24861966 |
| Class AA, 2.487% 12/16/41 (b)(c) <br>| 2861655 | 2607245 |
|  Series 2021-1A Class A, 2.443% 7/15/46 (b) | 32905113 | 27028474 |
| Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 5.0691% 4/15/29 (b)(c)(d) | 27743668 | 27357809 |
| Castlelake Aircraft Securitization Trust Series 2019-1A: |  |  |
|  Class A, 3.967% 4/15/39 (b) | 22090521 | 18669437 |
|  Class B, 5.095% 4/15/39 (b) | 10307675 | 7639801 |
| Castlelake Aircraft Structured Trust: |  |  |
|  Series 2018-1 Class A, 4.125% 6/15/43 (b) | 12004197 | 10521524 |
|  Series 2021-1A Class A, 3.474% 1/15/46 (b) | 6823063 | 5731646 |
| Cedar Funding Ltd.: |  |  |
|  Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 5.3426% 10/20/32 (b)(c)(d) | 21787000 | 21259755 |
|  Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.2833% 4/20/35 (b)(c)(d) | 35314000 | 34010843 |
| Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 5.4884% 10/25/34 (b)(c)(d) | 16882000 | 16387205 |
| CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR + 1.050% 5.2926% 4/20/34 (b)(c)(d) | 26059000 | 25205125 |
| Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 5.4126% 10/20/34 (b)(c)(d) | 27352000 | 26532288 |
| Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 5.4426% 4/20/34 (b)(c)(d) | 28400000 | 27581398 |
| Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.700% 4.197% 7/24/34 (b)(c)(d) | 37609000 | 36123369 |
| Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 5.5526% 1/20/34 (b)(c)(d) | 37850000 | 37056323 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 25144095 | 22842405 |
| Dominos Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/49 (b) | 21083800 | 18201982 |
| Dryden 98 CLO Ltd. Series 2022-98A Class A, CME TERM SOFR 3 MONTH INDEX + 1.300% 5.2633% 4/20/35 (b)(c)(d) | 19817000 | 19135771 |
| Dryden CLO, Ltd.: |  |  |
|  Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (b)(c)(d) | 18048000 | 17548197 |
|  Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 5.4137% 1/18/32 (b)(c)(d) | 22160000 | 21799036 |
| Dryden Senior Loan Fund: |  |  |
|  Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 5.2591% 4/17/33 (b)(c)(d) | 20000000 | 19574060 |
|  Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 10/15/35 (b)(c)(d) | 23913000 | 23227056 |
|  Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 5.8054% 2/20/35 (b)(c)(d) | 14569000 | 14129774 |
| Eaton Vance CLO, Ltd.: |  |  |
|  Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 4/15/31 (b)(c)(d) | 12634000 | 12391377 |
|  Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 1/15/35 (b)(c)(d) | 32919000 | 32122525 |
| Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 5.3291% 1/15/34 (b)(c)(d) | 6000000 | 5851938 |
| Flatiron CLO Ltd. Series 2021-1A: |  |  |
|  Class A1, 3 month U.S. LIBOR + 1.110% 5.3366% 7/19/34 (b)(c)(d) | 19090000 | 18623192 |
|  Class AR, 3 month U.S. LIBOR + 1.080% 5.7239% 11/16/34 (b)(c)(d) | 27750000 | 27076119 |
| Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 5.9754% 11/20/33 (b)(c)(d) | 36187000 | 35365627 |
| Ford Credit Auto Owner Trust Series 2018-2 Class B, 3.61% 1/15/30 (b) | 6400000 | 6312124 |
| Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 11503624 | 9421464 |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 13006217 | 10231067 |
| Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 5.4546% 10/22/34 (b)(c)(d) | 19246000 | 18671160 |
| KKR CLO Ltd. Series 2022-41A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.330% 5.1936% 4/15/35 (b)(c)(d) | 46050000 | 44354025 |
| Long Beach Mortgage Loan Trust Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.120% 5.5137% 7/25/33 (c)(d) | 716628 | 688021 |
| Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 5.2891% 1/15/33 (b)(c)(d) | 13900000 | 13710668 |
| Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, 3 month U.S. LIBOR + 1.140% 5.3666% 4/19/34 (b)(c)(d) | 30470000 | 29804992 |
| Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 5.4246% 1/22/35 (b)(c)(d) | 32026000 | 31000527 |
| Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 5.1991% 7/15/34 (b)(c)(d) | 19039000 | 18560874 |
| Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, 3 month U.S. LIBOR + 1.200% 5.5246% 1/22/31 (b)(c)(d) | 7913000 | 7669667 |
| Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 5.3826% 10/20/34 (b)(c)(d) | 6442000 | 6270392 |
| Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, 3 month U.S. LIBOR + 1.130% 5.4884% 10/25/34 (b)(c)(d) | 32900000 | 32034072 |
| Magnetite XXI Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.020% 5.2626% 4/20/34 (b)(c)(d) | 25147000 | 24506984 |
| Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 5.4884% 1/25/35 (b)(c)(d) | 23616000 | 22946345 |
| Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 5.0691% 1/15/34 (b)(c)(d) | 26100000 | 25599037 |
| Marlette Funding Trust: |  |  |
|  Series 2021-3A Class A, 0.65% 12/15/31 (b) | 4319315 | 4263015 |
|  Series 2022-1A Class A, 1.36% 4/15/32 (b) | 6404321 | 6277451 |
| Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 5.3126% 10/20/30 (b)(c)(d) | 34207000 | 33717908 |
| Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 5.6337% 1/25/36 (c)(d) | 865995 | 846368 |
| Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 5.3726% 10/20/34 (b)(c)(d) | 26956000 | 26246437 |
| Planet Fitness Master Issuer LLC: |  |  |
|  Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 22315820 | 18320195 |
|  Series 2022-1A:  |  |  |
| Class A2I, 3.251% 12/5/51 (b) <br>| 22730235 | 19755393 |
| Class A2II, 4.008% 12/5/51 (b) <br>| 20311513 | 15864794 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | 20709669 | 16315375 |
| Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 5.3626% 4/20/34 (b)(c)(d) | 35857000 | 34991484 |
| RR 7 Ltd. Series 2022-7A Class A1AB, CME TERM SOFR 3 MONTH INDEX + 1.340% 5.2036% 1/15/37 (b)(c)(d) | 38243000 | 37295071 |
| Sapphire Aviation Finance Series 2020-1A: |  |  |
|  Class A, 3.228% 3/15/40 (b) | 20222491 | 15304897 |
|  Class B, 4.335% 3/15/40 (b) | 2308845 | 1351870 |
| SBA Tower Trust: |  |  |
|  Series 2019, 2.836% 1/15/50 (b) | 28285000 | 26674132 |
|  1.884% 7/15/50 (b) | 10516000 | 9257690 |
|  2.328% 7/15/52 (b) | 8041000 | 6742764 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b) | 9627250 | 8001305 |
| Stratus CLO, Ltd. Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.750% 5.7133% 7/20/30 (b)(c)(d) | 5967981 | 5886781 |
| SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.3575% 4/23/35 (b)(c)(d) | 39612000 | 38702865 |
| Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, 3 month U.S. LIBOR + 0.960% 5.0391% 4/16/31 (b)(c)(d) | 16170000 | 15903146 |
| Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 5.1391% 7/15/32 (b)(c)(d) | 3663000 | 3586139 |
| Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, 3 month U.S. LIBOR + 0.980% 5.2066% 4/19/34 (b)(c)(d) | 15000000 | 14553165 |
| Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 5.3226% 4/20/33 (b)(c)(d) | 30228000 | 29360426 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 5.2487% 9/25/34 (c)(d) | 50373 | 47503 |
| Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | 29185091 | 22108582 |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 31096767 | 24411895 |
| Towd Point Mortgage Trust Series 2019-1 Class A1, 3.7217% 3/25/58 (b)(c) | 797768 | 751503 |
| 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) | 3641000 | 2759776 |
| Upstart Securitization Trust: |  |  |
|  Series 2021-2 Class A, 0.91% 6/20/31 (b) | 6567707 | 6455915 |
|  Series 2021-4 Class A, 0.84% 9/20/31 (b) | 13344157 | 12917432 |
|  3.12% 3/20/32 (b) | 10671967 | 10283646 |
| Valley Stream Park Clo Ltd. / Vy Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 2.400% 6.4714% 10/20/34 (b)(c)(d) | 34250000 | 34129372 |
| Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 5.5126% 7/20/32 (b)(c)(d) | 31233000 | 30683330 |
| Voya CLO Ltd./Voya CLO LLC: |  |  |
|  Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 5.3866% 7/19/34 (b)(c)(d) | 17782000 | 17400736 |
|  Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (b)(c)(d) | 36484000 | 35495904 |
| Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 7/16/34 (b)(c)(d) | 17721000 | 17272287 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $2,216,291,403) |  | **2071462934** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Private Sponsor - 0.7%  |  |  |
| Ajax Mortgage Loan Trust sequential payer: |  |  |
|  Series 2021-C Class A, 2.115% 1/25/61 (b) | 4171688 | 3910703 |
|  Series 2021-E Class A1, 1.74% 12/25/60 (b) | 10892538 | 9055814 |
| Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) | 15033508 | 13427370 |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 10336990 | 9858759 |
| BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b) | 15685559 | 12953284 |
| Cascade Funding Mortgage Trust: |  |  |
|  sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | 15095562 | 14574902 |
|  Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c) | 13124928 | 12329363 |
|  Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 11166858 | 10766415 |
|  Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 14626998 | 13838037 |
|  Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 19532036 | 18322214 |
| COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (b) | 17619805 | 15419178 |
| Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c) | 23836305 | 22971714 |
| New Residential Mortgage Loan Trust: |  |  |
|  Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 13138631 | 12002386 |
|  Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 9743672 | 8845373 |
| New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 9485861 | 8356068 |
| NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | 8851417 | 7799338 |
| Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) | 6463816 | 5668385 |
| RMF Buyout Issuance Trust: |  |  |
|  sequential payer Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | 11306467 | 10901030 |
|  Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) | 8098957 | 7378815 |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 6.0669% 7/20/34 (c)(d) | 11239 | 9919 |
| Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 5.0287% 9/25/43 (c)(d) | 753455 | 700561 |
| Towd Point Mortgage Trust sequential payer Series 2022-K147 Class A2, 3.75% 7/25/62 (b) | 20698511 | 18695703 |
| TOTAL PRIVATE SPONSOR |  | 237785331 |
| U.S. Government Agency - 0.4%  |  |  |
| Fannie Mae: |  |  |
|  floater:  |  |  |
| Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 5.1887% 2/25/32 (c)(d) <br>| 7041 | 7069 |
| Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 5.3391% 3/18/32 (c)(d) <br>| 13204 | 13354 |
| Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 5.3887% 4/25/32 (c)(d) <br>| 15313 | 15465 |
| Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 5.3887% 10/25/32 (c)(d) <br>| 18486 | 18670 |
| Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 5.1387% 1/25/32 (c)(d) <br>| 6748 | 6765 |
| Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 3.7113% 12/25/33 (c)(i)(j) <br>| 253693 | 37576 |
| Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 2.2913% 11/25/36 (c)(i)(j) <br>| 182347 | 16834 |
| Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 4.6887% 1/25/43 (c)(d) <br>| 714044 | 698748 |
| Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 4.7387% 5/25/47 (c)(d) <br>| 1420731 | 1383364 |
| Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 4.6887% 5/25/48 (c)(d) <br>| 823841 | 799797 |
| Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 4.6887% 6/25/48 (c)(d) <br>| 1918936 | 1860003 |
|  planned amortization class:  |  |  |
| Series 1993-207 Class H, 6.5% 11/25/23 <br>| 13629 | 13595 |
| Series 1996-28 Class PK, 6.5% 7/25/25 <br>| 6238 | 6219 |
| Series 1999-17 Class PG, 6% 4/25/29 <br>| 75252 | 76225 |
| Series 1999-32 Class PL, 6% 7/25/29 <br>| 88215 | 89491 |
| Series 1999-33 Class PK, 6% 7/25/29 <br>| 65490 | 66411 |
| Series 1999-54 Class PH, 6.5% 11/18/29 <br>| 76392 | 76658 |
| Series 1999-57 Class PH, 6.5% 12/25/29 <br>| 220562 | 223411 |
| Series 2001-52 Class YZ, 6.5% 10/25/31 <br>| 9730 | 10013 |
| Series 2003-28 Class KG, 5.5% 4/25/23 <br>| 1380 | 1377 |
| Series 2005-102 Class CO 11/25/35 (k) <br>| 42765 | 36138 |
| Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 6.1394% 8/25/35 (c)(j) <br>| 10411 | 10629 |
| Series 2005-81 Class PC, 5.5% 9/25/35 <br>| 123741 | 126630 |
| Series 2006-12 Class BO 10/25/35 (k) <br>| 206986 | 176751 |
| Series 2006-15 Class OP 3/25/36 (k) <br>| 251747 | 210239 |
| Series 2006-37 Class OW 5/25/36 (k) <br>| 23900 | 18621 |
| Series 2006-45 Class OP 6/25/36 (k) <br>| 78261 | 61555 |
| Series 2006-62 Class KP 4/25/36 (k) <br>| 123109 | 99818 |
| Series 2012-149: <br>|  |  |
| Class DA, 1.75% 1/25/43 <br>| 337628 | 306742 |
| Class GA, 1.75% 6/25/42 <br>| 363322 | 327820 |
|  sequential payer:  |  |  |
| Series 1997-41 Class J, 7.5% 6/18/27 <br>| 14774 | 15092 |
| Series 1999-25 Class Z, 6% 6/25/29 <br>| 72504 | 72708 |
| Series 2001-20 Class Z, 6% 5/25/31 <br>| 83964 | 85376 |
| Series 2001-31 Class ZC, 6.5% 7/25/31 <br>| 44670 | 45252 |
| Series 2002-16 Class ZD, 6.5% 4/25/32 <br>| 32735 | 33745 |
| Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 3.1613% 11/25/32 (c)(i)(j) <br>| 83733 | 2845 |
| Series 2012-67 Class AI, 4.5% 7/25/27 (i) <br>| 105026 | 3568 |
|  Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 2.2513% 12/25/36 (c)(i)(j) | 122906 | 11858 |
|  Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 2.0513% 5/25/37 (c)(i)(j) | 66140 | 7449 |
|  Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 7.3861% 9/25/23 (c)(j) | 591 | 589 |
|  Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 3.7113% 3/25/33 (c)(i)(j) | 16298 | 1914 |
|  Series 2005-72 Class ZC, 5.5% 8/25/35  | 1008712 | 1017432 |
|  Series 2005-79 Class ZC, 5.9% 9/25/35  | 586322 | 591297 |
|  Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 14.2877% 6/25/37 (c)(j) | 55747 | 72257 |
|  Series 2007-66:  |  |  |
| Class SA, 39.600% - 1 month U.S. LIBOR 13.2677% 7/25/37 (c)(j) <br>| 84455 | 112886 |
| Class SB, 39.600% - 1 month U.S. LIBOR 13.2677% 7/25/37 (c)(j) <br>| 24326 | 28233 |
|  Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 1.9613% 3/25/38 (c)(i)(j) | 426889 | 41738 |
|  Series 2010-135:  |  |  |
| Class LS, 6.050% - 1 month U.S. LIBOR 1.6613% 12/25/40 (c)(i)(j) <br>| 437709 | 33773 |
| Class ZA, 4.5% 12/25/40 <br>| 191499 | 188880 |
|  Series 2010-139 Class NI, 4.5% 2/25/40 (i) | 111677 | 2918 |
|  Series 2010-150 Class ZC, 4.75% 1/25/41  | 1870831 | 1836949 |
|  Series 2010-95 Class ZC, 5% 9/25/40  | 4373780 | 4399049 |
|  Series 2011-39 Class ZA, 6% 11/25/32  | 296870 | 304589 |
|  Series 2011-4 Class PZ, 5% 2/25/41  | 578357 | 550536 |
|  Series 2011-67 Class AI, 4% 7/25/26 (i) | 37004 | 1036 |
|  Series 2011-83 Class DI, 6% 9/25/26 (i) | 310 | 3 |
|  Series 2012-100 Class WI, 3% 9/25/27 (i) | 910130 | 41184 |
|  Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 2.2613% 12/25/30 (c)(i)(j) | 110367 | 769 |
|  Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 2.1613% 6/25/41 (c)(i)(j) | 93243 | 1013 |
|  Series 2013-133 Class IB, 3% 4/25/32 (i) | 331904 | 10559 |
|  Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 1.6613% 1/25/44 (c)(i)(j) | 271563 | 27353 |
|  Series 2013-51 Class GI, 3% 10/25/32 (i) | 277435 | 17416 |
|  Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 2.3313% 6/25/35 (c)(i)(j) | 358053 | 28655 |
|  Series 2015-42 Class IL, 6% 6/25/45 (i) | 1820774 | 319410 |
|  Series 2015-70 Class JC, 3% 10/25/45  | 2008112 | 1895106 |
|  Series 2017-30 Class AI, 5.5% 5/25/47 (i) | 1006837 | 180488 |
|  Series 2017-74 Class SH, 6.200% - 1 month U.S. LIBOR 1.8113% 10/25/47 (c)(i)(j) | 11012835 | 1241392 |
|  Series 2018-3 Class SB, 6.150% - 1 month U.S. LIBOR 1.7613% 2/25/48 (c)(i)(j) | 26449548 | 2958929 |
|  Series 2018-44 Class SA, 6.200% - 1 month U.S. LIBOR 1.8113% 6/25/48 (c)(i)(j) | 6169552 | 660844 |
|  Series 2019-67 Class SA, 6.050% - 1 month U.S. LIBOR 1.6613% 11/25/49 (c)(i)(j) | 23103320 | 2474451 |
|  Series 2019-82 Class PI, 4% 6/25/49 (i) | 7271338 | 1191966 |
|  Series 2020-13 Class A/S, 6.200% - 1 month U.S. LIBOR 1.8113% 8/25/48 (c)(i)(j) | 8581069 | 894079 |
| Fannie Mae Stripped Mortgage-Backed Securities: |  |  |
|  Series 339 Class 5, 5.5% 7/25/33 (i) | 63984 | 10610 |
|  Series 343 Class 16, 5.5% 5/25/34 (i) | 60231 | 10067 |
|  Series 348 Class 14, 6.5% 8/25/34 (c)(i) | 41193 | 8243 |
|  Series 351:  |  |  |
| Class 12, 5.5% 4/25/34 (c)(i) <br>| 24378 | 4197 |
| Class 13, 6% 3/25/34 (i) <br>| 37492 | 7005 |
|  Series 359 Class 19, 6% 7/25/35 (c)(i) | 20430 | 3913 |
|  Series 384 Class 6, 5% 7/25/37 (i) | 252873 | 43642 |
| Freddie Mac: |  |  |
|  floater:  |  |  |
| Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 5.1179% 1/15/32 (c)(d) <br>| 5221 | 5242 |
| Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 5.2179% 3/15/32 (c)(d) <br>| 8037 | 8094 |
| Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 5.3179% 3/15/32 (c)(d) <br>| 6779 | 6846 |
| Series 2432: <br>|  |  |
| Class FE, 1 month U.S. LIBOR + 0.900% 5.2179% 6/15/31 (c)(d) <br>| 13385 | 13469 |
| Class FG, 1 month U.S. LIBOR + 0.900% 5.2179% 3/15/32 (c)(d) <br>| 4413 | 4443 |
| Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 4.6679% 8/15/47 (c)(d) <br>| 775652 | 755683 |
|  floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 4.5679% 5/15/37 (c)(d) | 321445 | 316560 |
|  planned amortization class:  |  |  |
| Series 2095 Class PE, 6% 11/15/28 <br>| 95384 | 96887 |
| Series 2101 Class PD, 6% 11/15/28 <br>| 7747 | 7868 |
| Series 2121 Class MG, 6% 2/15/29 <br>| 38389 | 38993 |
| Series 2131 Class BG, 6% 3/15/29 <br>| 273475 | 277962 |
| Series 2137 Class PG, 6% 3/15/29 <br>| 42880 | 43577 |
| Series 2154 Class PT, 6% 5/15/29 <br>| 74378 | 75595 |
| Series 2162 Class PH, 6% 6/15/29 <br>| 14762 | 14974 |
| Series 2520 Class BE, 6% 11/15/32 <br>| 128719 | 132550 |
| Series 2693 Class MD, 5.5% 10/15/33 <br>| 283883 | 285469 |
| Series 2802 Class OB, 6% 5/15/34 <br>| 104508 | 106449 |
| Series 3002 Class NE, 5% 7/15/35 <br>| 300779 | 301884 |
| Series 3110 Class OP 9/15/35 (k) <br>| 78389 | 71468 |
| Series 3119 Class PO 2/15/36 (k) <br>| 297917 | 236715 |
| Series 3121 Class KO 3/15/36 (k) <br>| 43876 | 35671 |
| Series 3123 Class LO 3/15/36 (k) <br>| 166531 | 133468 |
| Series 3145 Class GO 4/15/36 (k) <br>| 175938 | 141694 |
| Series 3189 Class PD, 6% 7/15/36 <br>| 253762 | 262664 |
| Series 3225 Class EO 10/15/36 (k) <br>| 89425 | 70209 |
| Series 3258 Class PM, 5.5% 12/15/36 <br>| 111059 | 113484 |
| Series 3415 Class PC, 5% 12/15/37 <br>| 122210 | 121490 |
| Series 3806 Class UP, 4.5% 2/15/41 <br>| 573888 | 565869 |
| Series 3832 Class PE, 5% 3/15/41 <br>| 1156063 | 1159722 |
| Series 4135 Class AB, 1.75% 6/15/42 <br>| 266701 | 242111 |
|  sequential payer:  |  |  |
| Series 2135 Class JE, 6% 3/15/29 <br>| 19011 | 19328 |
| Series 2274 Class ZM, 6.5% 1/15/31 <br>| 27432 | 27783 |
| Series 2281 Class ZB, 6% 3/15/30 <br>| 53166 | 53990 |
| Series 2303 Class ZV, 6% 4/15/31 <br>| 28304 | 28808 |
| Series 2357 Class ZB, 6.5% 9/15/31 <br>| 216774 | 222050 |
| Series 2502 Class ZC, 6% 9/15/32 <br>| 51532 | 53049 |
| Series 2519 Class ZD, 5.5% 11/15/32 <br>| 79278 | 80877 |
| Series 2546 Class MJ, 5.5% 3/15/23 <br>| 1163 | 1162 |
| Series 2601 Class TB, 5.5% 4/15/23 <br>| 527 | 527 |
| Series 2998 Class LY, 5.5% 7/15/25 <br>| 25238 | 25270 |
| Series 3871 Class KB, 5.5% 6/15/41 <br>| 1508973 | 1560600 |
|  Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 2.2821% 2/15/36 (c)(i)(j) | 87879 | 7519 |
|  Series 2013-4281 Class AI, 4% 12/15/28 (i) | 264119 | 5599 |
|  Series 2017-4683 Class LM, 3% 5/15/47  | 2608027 | 2464606 |
|  Series 2017-4720 Class IO, 4% 9/15/47 (i) | 8913800 | 1718519 |
|  Series 2018-4763 Class SC, 6.200% - 1 month U.S. LIBOR 1.8821% 8/15/47 (c)(i)(j) | 5493779 | 605470 |
|  Series 2018-4765 Class IB, 4% 3/15/48 (i) | 8128180 | 1573814 |
|  Series 2933 Class ZM, 5.75% 2/15/35  | 1285385 | 1315863 |
|  Series 2935 Class ZK, 5.5% 2/15/35  | 1060166 | 1089663 |
|  Series 2947 Class XZ, 6% 3/15/35  | 512392 | 528871 |
|  Series 2996 Class ZD, 5.5% 6/15/35  | 872080 | 894008 |
|  Series 3237 Class C, 5.5% 11/15/36  | 1224765 | 1235627 |
|  Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 2.3421% 11/15/36 (c)(i)(j) | 382713 | 35731 |
|  Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 2.4321% 3/15/37 (c)(i)(j) | 573643 | 56799 |
|  Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 2.4421% 4/15/37 (c)(i)(j) | 810312 | 94120 |
|  Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 2.2621% 6/15/37 (c)(i)(j) | 250473 | 27344 |
|  Series 3949 Class MK, 4.5% 10/15/34  | 212925 | 211202 |
|  Series 4055 Class BI, 3.5% 5/15/31 (i) | 340068 | 10038 |
|  Series 4149 Class IO, 3% 1/15/33 (i) | 150177 | 12361 |
|  Series 4314 Class AI, 5% 3/15/34 (i) | 109884 | 3743 |
|  Series 4427 Class LI, 3.5% 2/15/34 (i) | 980589 | 61982 |
|  Series 4471 Class PA 4% 12/15/40  | 1059187 | 1034870 |
|  target amortization class Series 2156 Class TC, 6.25% 5/15/29  | 35403 | 35688 |
| Freddie Mac Manufactured Housing participation certificates guaranteed: |  |  |
|  floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 4.7731% 2/15/24 (c)(d) | 3539 | 3541 |
|  sequential payer:  |  |  |
| Series 2043 Class ZH, 6% 4/15/28 <br>| 31466 | 31897 |
| Series 2056 Class Z, 6% 5/15/28 <br>| 75892 | 77030 |
| Freddie Mac Multi-family Structured pass-thru certificates: |  |  |
|  floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 4.6179% 5/15/48 (c)(d) | 1281532 | 1240629 |
|  Series 4386 Class AZ, 4.5% 11/15/40  | 2586726 | 2513964 |
| Ginnie Mae guaranteed REMIC pass-thru certificates: |  |  |
|  floater:  |  |  |
| Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 2.3637% 6/16/37 (c)(i)(j) <br>| 160072 | 16584 |
| Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 4.6047% 3/20/60 (c)(d)(l) <br>| 1870642 | 1859442 |
| Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 4.3847% 7/20/60 (c)(d)(l) <br>| 286158 | 282929 |
| Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 4.1416% 9/20/60 (c)(d)(l) <br>| 357804 | 353951 |
| Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 4.1416% 8/20/60 (c)(d)(l) <br>| 269462 | 266391 |
| Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 4.2216% 12/20/60 (c)(d)(l) <br>| 793555 | 785819 |
| Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 4.3416% 12/20/60 (c)(d)(l) <br>| 739474 | 734424 |
| Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 4.3416% 2/20/61 (c)(d)(l) <br>| 648296 | 643311 |
| Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 4.3316% 2/20/61 (c)(d)(l) <br>| 964693 | 957478 |
| Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 4.3416% 4/20/61 (c)(d)(l) <br>| 667510 | 662357 |
| Series 2011-H14: <br>|  |  |
| Class FB, 1 month U.S. LIBOR + 0.500% 4.3416% 5/20/61 (c)(d)(l) <br>| 1125972 | 1118100 |
| Class FC, 1 month U.S. LIBOR + 0.500% 4.3416% 5/20/61 (c)(d)(l) <br>| 790893 | 785116 |
| Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 4.3716% 6/20/61 (c)(d)(l) <br>| 927636 | 921698 |
| Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 4.3916% 9/20/61 (c)(d)(l) <br>| 2575197 | 2558493 |
| Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 4.4416% 10/20/61 (c)(d)(l) <br>| 1061529 | 1055662 |
| Series 2012-98 Class FA, 1 month U.S. LIBOR + 0.400% 4.7529% 8/20/42 (c)(d) <br>| 701657 | 686111 |
| Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 4.5416% 11/20/61 (c)(d)(l) <br>| 996914 | 992386 |
| Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 4.5416% 1/20/62 (c)(d)(l) <br>| 577425 | 575003 |
| Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 4.4716% 1/20/62 (c)(d)(l) <br>| 869489 | 864325 |
| Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 4.4716% 3/20/62 (c)(d)(l) <br>| 440095 | 436494 |
| Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 4.4916% 5/20/61 (c)(d)(l) <br>| 17468 | 17305 |
| Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 4.3616% 10/20/62 (c)(d)(l) <br>| 21468 | 21307 |
| Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 4.2016% 3/20/63 (c)(d)(l) <br>| 31779 | 31468 |
| Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 4.4416% 1/20/64 (c)(d)(l) <br>| 571252 | 568089 |
| Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 4.4416% 12/20/63 (c)(d)(l) <br>| 2766805 | 2755377 |
| Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 4.3416% 6/20/64 (c)(d)(l) <br>| 734166 | 729047 |
| Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 4.1416% 3/20/65 (c)(d)(l) <br>| 10745 | 10644 |
| Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 4.1216% 5/20/63 (c)(d)(l) <br>| 10435 | 10236 |
| Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 4.0416% 4/20/63 (c)(d)(l) <br>| 20533 | 20202 |
| Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 4.2416% 12/20/62 (c)(d)(l) <br>| 41560 | 40656 |
| Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 4.8529% 10/20/49 (c)(d) <br>| 1800094 | 1756363 |
| Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 4.8029% 2/20/49 (c)(d) <br>| 3761831 | 3706844 |
|  planned amortization class:  |  |  |
| Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 1.2943% 12/20/40 (c)(j) <br>| 1593106 | 1350824 |
| Series 2011-136 Class WI, 4.5% 5/20/40 (i) <br>| 58455 | 4224 |
| Series 2016-69 Class WA, 3% 2/20/46 <br>| 754522 | 701518 |
| Series 2017-134 Class BA, 2.5% 11/20/46 <br>| 405403 | 363227 |
| Series 2017-153 Class GA, 3% 9/20/47 <br>| 3512372 | 3209181 |
| Series 2017-182 Class KA, 3% 10/20/47 <br>| 2681741 | 2456663 |
| Series 2018-13 Class Q, 3% 4/20/47 <br>| 3456231 | 3219814 |
|  sequential payer:  |  |  |
| Series 2004-24 Class ZM, 5% 4/20/34 <br>| 448870 | 441957 |
| Series 2010-160 Class DY, 4% 12/20/40 <br>| 3272240 | 3166259 |
| Series 2010-170 Class B, 4% 12/20/40 <br>| 726191 | 702662 |
| Series 2017-139 Class BA, 3% 9/20/47 <br>| 7819398 | 7018196 |
|  Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 2.1737% 5/16/34 (c)(i)(j) | 94262 | 7013 |
|  Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 2.8737% 8/17/34 (c)(i)(j) | 92195 | 10288 |
|  Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 14.2423% 6/16/37 (c)(j) | 3929 | 4587 |
|  Series 2010-116 Class QB, 4% 9/16/40  | 251015 | 244651 |
|  Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 1.6237% 2/16/40 (c)(i)(j) | 615031 | 36765 |
|  Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 4.3847% 5/20/60 (c)(d)(l) | 953311 | 943429 |
|  Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 1.7471% 7/20/41 (c)(i)(j) | 303483 | 28048 |
|  Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 2.3737% 6/16/42 (c)(i)(j) | 351490 | 33326 |
|  Series 2013-149 Class MA, 2.5% 5/20/40  | 2633982 | 2515894 |
|  Series 2014-2 Class BA, 3% 1/20/44  | 6541773 | 5984065 |
|  Series 2014-21 Class HA, 3% 2/20/44  | 2416509 | 2216037 |
|  Series 2014-25 Class HC, 3% 2/20/44  | 4128361 | 3779562 |
|  Series 2014-5 Class A, 3% 1/20/44  | 3596736 | 3292461 |
|  Series 2015-H13 Class HA, 2.5% 8/20/64 (l) | 31614 | 29588 |
|  Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 5.057% 5/20/66 (c)(d)(l) | 5112335 | 5097896 |
|  Series 2017-186 Class HK, 3% 11/16/45  | 3540904 | 3250884 |
|  Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 4.91% 8/20/66 (c)(d)(l) | 6298153 | 6268854 |
| Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.2244% 5/20/65 (c)(l) | 87747 | 86019 |
| TOTAL U.S. GOVERNMENT AGENCY |  | 135587807 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $418,564,649) |  | <br> **373373138** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 5.6%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.6%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAMLL Commercial Mortgage Securities Trust: |  |  |
|  floater Series 2022-DKLX:  |  |  |
| Class A, CME Term SOFR 1 Month Index + 1.150% 5.486% 1/15/39 (b)(c)(d) <br>| 20613000 | 19945128 |
| Class B, CME Term SOFR 1 Month Index + 1.550% 5.886% 1/15/39 (b)(c)(d) <br>| 3893000 | 3727147 |
| Class C, CME Term SOFR 1 Month Index + 2.150% 6.486% 1/15/39 (b)(c)(d) <br>| 2780000 | 2637388 |
|  sequential payer Series 2019-BPR:  |  |  |
| Class AMP, 3.287% 11/5/32 (b) <br>| 38000000 | 35179636 |
| Class ANM, 3.112% 11/5/32 (b) <br>| 17278000 | 15971597 |
|  Series 2019-BPR:  |  |  |
| Class BNM, 3.465% 11/5/32 (b) <br>| 3878000 | 3427609 |
| Class CNM, 3.7186% 11/5/32 (b)(c) <br>| 1604000 | 1343627 |
| BANK: |  |  |
|  sequential payer:  |  |  |
| Series 2019-BN21 Class A5, 2.851% 10/17/52 <br>| 2858000 | 2475421 |
| Series 2022-BNK42, Class A5, 4.493% 6/15/55 (c) <br>| 20100000 | 19269010 |
|  Series 2020-BN25 Class XB, 0.4398% 1/15/63 (c)(i) | 31293000 | 770656 |
|  Series 2021-BN33 Class XA, 1.0579% 5/15/64 (c)(i) | 14151255 | 826688 |
| Bayview Commercial Asset Trust Series 2004-1, Class IO, 1.25% 4/25/34 (b)(i) | 400176 | 15537 |
| Benchmark Mortgage Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2018-B4 Class A5, 4.121% 7/15/51 <br>| 3240000 | 3088685 |
| Series 2021-B24 Class A5, 2.5843% 3/15/54 <br>| 6200000 | 5162165 |
| Series 2021-B28 Class A5, 2.2237% 8/15/54 <br>| 3280000 | 2627181 |
|  Series 2019-B14 Class XA, 0.7776% 12/15/62 (c)(i) | 108603164 | 3451897 |
|  Series 2020-B17 Class XA, 1.4163% 3/15/53 (c)(i) | 109642055 | 6663200 |
|  Series 2020-B18 Class XA, 1.7891% 7/15/53 (c)(i) | 51074792 | 4011481 |
| BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 6.368% 11/15/28 (b)(c)(d) | 15266000 | 15087463 |
| BPR Trust floater Series 2022-OANA: |  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.890% 6.2336% 4/15/37 (b)(c)(d) | 72926000 | 71175572 |
|  Class B, CME Term SOFR 1 Month Index + 2.440% 6.7826% 4/15/37 (b)(c)(d) | 19373000 | 18201356 |
| BX Commercial Mortgage Trust: |  |  |
|  floater:  |  |  |
| Series 2021-PAC: <br>|  |  |
|  Class A, 1 month U.S. LIBOR + 0.680% 5.0071% 10/15/36 (b)(c)(d) | 37043000 | 35556442 |
|  Class B, 1 month U.S. LIBOR + 0.890% 5.2168% 10/15/36 (b)(c)(d) | 5541000 | 5242212 |
|  Class C, 1 month U.S. LIBOR + 1.090% 5.4166% 10/15/36 (b)(c)(d) | 7417000 | 6970557 |
|  Class D, 1 month U.S. LIBOR + 1.290% 5.6163% 10/15/36 (b)(c)(d) | 7201000 | 6699850 |
|  Class E, 1 month U.S. LIBOR + 1.940% 6.2655% 10/15/36 (b)(c)(d) | 25035000 | 23386933 |
| Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 4.9703% 5/15/38 (b)(c)(d) <br>| 31100000 | 29939199 |
| Series 2022-LP2: <br>|  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.010% 5.3485% 2/15/39 (b)(c)(d) | 48518589 | 46749698 |
|  Class B, CME Term SOFR 1 Month Index + 1.310% 5.6479% 2/15/39 (b)(c)(d) | 14618429 | 13863986 |
|  Class C, CME Term SOFR 1 Month Index + 1.560% 5.8973% 2/15/39 (b)(c)(d) | 14618429 | 13765761 |
|  Class D, CME Term SOFR 1 Month Index + 1.960% 6.2964% 2/15/39 (b)(c)(d) | 14618429 | 13612374 |
|  floater sequential payer Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 5.194% 11/15/32 (b)(c)(d) | 1291448 | 1270322 |
| BX Trust: |  |  |
|  floater:  |  |  |
| Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 6.943% 9/15/37 (b)(c)(d) <br>| 7116200 | 6345461 |
| Series 2019-IMC: <br>|  |  |
|  Class B, 1 month U.S. LIBOR + 1.300% 5.618% 4/15/34 (b)(c)(d) | 15742000 | 15188843 |
|  Class C, 1 month U.S. LIBOR + 1.600% 5.918% 4/15/34 (b)(c)(d) | 10407000 | 9958270 |
|  Class D, 1 month U.S. LIBOR + 1.900% 6.218% 4/15/34 (b)(c)(d) | 10925000 | 10251179 |
| Series 2019-XL: <br>|  |  |
|  Class B, CME Term SOFR 1 Month Index + 1.190% 5.5301% 10/15/36 (b)(c)(d) | 16514650 | 16223538 |
|  Class C, CME Term SOFR 1 Month Index + 1.360% 5.7001% 10/15/36 (b)(c)(d) | 14991450 | 14613950 |
|  Class D, CME Term SOFR 1 Month Index + 1.560% 5.9001% 10/15/36 (b)(c)(d) | 24294700 | 23522379 |
|  Class E, CME Term SOFR 1 Month Index + 1.910% 6.2501% 10/15/36 (b)(c)(d) | 29835850 | 28793505 |
| Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 5.168% 11/15/38 (b)(c)(d) <br>| 34500000 | 33189317 |
| Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 4.9539% 10/15/26 (b)(c)(d) <br>| 32600000 | 31250859 |
| Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 6.5006% 10/15/39 (b)(c)(d) <br>| 20703000 | 20573352 |
| Series 2022-IND: <br>|  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.490% 5.8167% 4/15/37 (b)(c)(d) | 36675951 | 35894886 |
|  Class B, CME Term SOFR 1 Month Index + 1.940% 6.2657% 4/15/37 (b)(c)(d) | 18696006 | 18098800 |
|  Class C, CME Term SOFR 1 Month Index + 2.290% 6.6157% 4/15/37 (b)(c)(d) | 4218878 | 4023348 |
|  Class D, CME Term SOFR 1 Month Index + 2.830% 7.1647% 4/15/37 (b)(c)(d) | 3532692 | 3333573 |
|  floater sequential payer Series 2021-SOAR Class A, 4.988% 6/15/38 (b)(c) | 36424080 | 35082621 |
|  floater, sequential payer:  |  |  |
| Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 5.318% 4/15/34 (b)(c)(d) <br>| 29901000 | 29201861 |
| Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 5.3701% 10/15/36 (b)(c)(d) <br>| 59625670 | 58890533 |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, 1 month U.S. LIBOR + 1.070% 5.388% 12/15/37 (b)(c)(d) | 11218000 | 11048754 |
| CF Hippolyta Issuer LLC sequential payer: |  |  |
|  Series 2020-1:  |  |  |
| Class A1, 1.69% 7/15/60 (b) <br>| 65272390 | 58305946 |
| Class A2, 1.99% 7/15/60 (b) <br>| 25402590 | 20984864 |
|  Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 47312880 | 40953196 |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.950% 5.2679% 11/15/36 (b)(c)(d) | 12876000 | 12568078 |
|  Class B, 1 month U.S. LIBOR + 1.250% 5.5679% 11/15/36 (b)(c)(d) | 6900000 | 6665527 |
| CHC Commercial Mortgage Trust floater Series 2019-CHC: |  |  |
|  Class A, 1 month U.S. LIBOR + 1.120% 5.438% 6/15/34 (b)(c)(d) | 41981989 | 40967977 |
|  Class B, 1 month U.S. LIBOR + 1.500% 5.818% 6/15/34 (b)(c)(d) | 7405083 | 7045273 |
|  Class C, 1 month U.S. LIBOR + 1.750% 6.068% 6/15/34 (b)(c)(d) | 8364836 | 7763171 |
| CIM Retail Portfolio Trust floater Series 2021-RETL: |  |  |
|  Class C, 1 month U.S. LIBOR + 2.300% 6.618% 8/15/36 (b)(c)(d) | 352146 | 348909 |
|  Class D, 1 month U.S. LIBOR + 3.050% 7.368% 8/15/36 (b)(c)(d) | 4851750 | 4723559 |
| Citigroup Commercial Mortgage Trust: |  |  |
|  Series 2013-GC17 Class A/S, 4.544% 11/10/46  | 7000000 | 6842492 |
|  Series 2019-GC41 Class XA, 1.0411% 8/10/56 (c)(i) | 51493327 | 2378935 |
| COMM Mortgage Trust sequential payer: |  |  |
|  Series 2012=CR5 Class AM, 3.223% 12/10/45 (b) | 153849 | 153611 |
|  Series 2014-CR18 Class A5, 3.828% 7/15/47  | 5493000 | 5330208 |
| Credit Suisse Mortgage Trust: |  |  |
|  floater Series 2019-ICE4:  |  |  |
| Class A, 1 month U.S. LIBOR + 0.980% 5.298% 5/15/36 (b)(c)(d) <br>| 50240000 | 49685687 |
| Class C, 1 month U.S. LIBOR + 1.430% 5.748% 5/15/36 (b)(c)(d) <br>| 7137000 | 6993999 |
|  sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 8457719 | 7560741 |
|  Series 2018-SITE:  |  |  |
| Class A, 4.284% 4/15/36 (b) <br>| 18322000 | 17479769 |
| Class B, 4.5349% 4/15/36 (b) <br>| 5603000 | 5274061 |
| Class C, 4.782% 4/15/36 (b)(c) <br>| 3781000 | 3545574 |
| Class D, 4.782% 4/15/36 (b)(c) <br>| 7560000 | 6967038 |
| ELP Commercial Mortgage Trust floater Series 2021-ELP: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.700% 5.019% 11/15/38 (b)(c)(d) | 51838000 | 49757005 |
|  Class B, 1 month U.S. LIBOR + 1.120% 5.4382% 11/15/38 (b)(c)(d) | 6300000 | 5999808 |
| Extended Stay America Trust floater Series 2021-ESH: |  |  |
|  Class A, 1 month U.S. LIBOR + 1.080% 5.398% 7/15/38 (b)(c)(d) | 16255553 | 15786567 |
|  Class B, 1 month U.S. LIBOR + 1.380% 5.698% 7/15/38 (b)(c)(d) | 9258207 | 8898209 |
|  Class C, 1 month U.S. LIBOR + 1.700% 6.018% 7/15/38 (b)(c)(d) | 6825536 | 6551575 |
|  Class D, 1 month U.S. LIBOR + 2.250% 6.568% 7/15/38 (b)(c)(d) | 13802382 | 13213785 |
| Freddie Mac: |  |  |
|  sequential payer Series 2021-K136 Class A2, 2.127% 11/25/31  | 1500000 | 1244724 |
|  Series 2022-K150 Class A2, 3.71% 11/25/32  | 12000000 | 11285248 |
| GS Mortgage Securities Trust: |  |  |
|  floater:  |  |  |
| Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 6.268% 9/15/31 (b)(c)(d) <br>| 7628428 | 7478509 |
| Series 2021-IP: <br>|  |  |
|  Class A, 1 month U.S. LIBOR + 0.950% 5.268% 10/15/36 (b)(c)(d) | 21765000 | 20291699 |
|  Class B, 1 month U.S. LIBOR + 1.150% 5.468% 10/15/36 (b)(c)(d) | 3364000 | 3115261 |
|  Class C, 1 month U.S. LIBOR + 1.550% 5.868% 10/15/36 (b)(c)(d) | 2773000 | 2546745 |
|  Series 2011-GC5 Class A/S, 5.1541% 8/10/44 (b)(c) | 4920987 | 4832916 |
|  Series 2013-GC16 Class A/S, 4.649% 11/10/46  | 3955000 | 3885629 |
| Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 6.8246% 8/15/39 (b)(c)(d) | 40724000 | 40456227 |
| J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 4.9321% 4/15/37 (b)(c)(d) | 13636525 | 12611390 |
| JPMBB Commercial Mortgage Securities Trust: |  |  |
|  sequential payer Series 2014-C21 Class A4, 3.4927% 8/15/47  | 4528985 | 4400214 |
|  Series 2013-C14 Class A/S, 4.4093% 8/15/46  | 6681000 | 6567879 |
| JPMorgan Chase Commercial Mortgage Securities Trust: |  |  |
|  floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.250% 5.568% 9/15/29 (b)(c)(d) | 12313855 | 11934236 |
|  Series 2013-C10 Class A/S, 3.3715% 12/15/47  | 4900000 | 4887841 |
|  Series 2013-C16 Class A/S, 4.5169% 12/15/46  | 2784000 | 2731093 |
|  Series 2018-WPT:  |  |  |
| Class CFX, 4.9498% 7/5/33 (b) <br>| 3450000 | 3030404 |
| Class DFX, 5.3503% 7/5/33 (b) <br>| 5907000 | 5141971 |
| Class EFX, 5.3635% 7/5/33 (b)(c) <br>| 7262000 | 6263026 |
| Life Financial Services Trust floater Series 2022-BMR2: |  |  |
|  Class A1, CME Term SOFR 1 Month Index + 1.290% 5.6309% 5/15/39 (b)(c)(d) | 57498000 | 56057514 |
|  Class B, CME Term SOFR 1 Month Index + 1.790% 6.1295% 5/15/39 (b)(c)(d) | 33561000 | 32510044 |
|  Class C, CME Term SOFR 1 Month Index + 2.090% 6.4287% 5/15/39 (b)(c)(d) | 19262000 | 18634698 |
|  Class D, CME Term SOFR 1 Month Index + 2.540% 6.8775% 5/15/39 (b)(c)(d) | 17119000 | 16392768 |
| LIFE Mortgage Trust floater Series 2021-BMR: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.700% 5.018% 3/15/38 (b)(c)(d) | 30384590 | 29421827 |
|  Class B, 1 month U.S. LIBOR + 0.880% 5.198% 3/15/38 (b)(c)(d) | 7331974 | 7005361 |
|  Class C, 1 month U.S. LIBOR + 1.100% 5.418% 3/15/38 (b)(c)(d) | 4613079 | 4384434 |
|  Class D, 1 month U.S. LIBOR + 1.400% 5.718% 3/15/38 (b)(c)(d) | 6416829 | 6078661 |
|  Class E, 1 month U.S. LIBOR + 1.750% 6.068% 3/15/38 (b)(c)(d) | 5605879 | 5303421 |
| Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 5.018% 7/15/38 (b)(c)(d) | 17747000 | 17122732 |
| MHC Commercial Mortgage Trust floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 5.119% 4/15/38 (b)(c)(d) | 33700000 | 32682816 |
| Morgan Stanley BAML Trust sequential payer Series 2016-C28 Class A3, 3.272% 1/15/49  | 25898504 | 24456830 |
| Morgan Stanley Capital I Trust: |  |  |
|  floater Series 2018-BOP:  |  |  |
| Class B, 1 month U.S. LIBOR + 1.250% 5.568% 8/15/33 (b)(c)(d) <br>| 618400 | 580483 |
| Class C, 1 month U.S. LIBOR + 1.500% 5.818% 8/15/33 (b)(c)(d) <br>| 1488800 | 1386913 |
|  sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 42970000 | 39898968 |
|  Series 2018-H4 Class A4, 4.31% 12/15/51  | 11843000 | 11241957 |
|  Series 2019-MEAD:  |  |  |
| Class B, 3.1771% 11/10/36 (b)(c) <br>| 5415000 | 4891345 |
| Class C, 3.1771% 11/10/36 (b)(c) <br>| 5196000 | 4534777 |
|  Series 2021-L6 Class XA, 1.2286% 6/15/54 (c)(i) | 48770252 | 3092331 |
| MSCCG Trust floater Series 2018-SELF Class A, 1 month U.S. LIBOR + 0.900% 5.218% 10/15/37 (b)(c)(d) | 4569358 | 4480335 |
| Prima Capital Ltd. floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 5.3886% 12/15/37 (b)(c)(d) | 1920692 | 1896842 |
| Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) | 490735 | 500850 |
| RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 5.118% 4/15/36 (b)(c)(d) | 12400000 | 11954508 |
| SPGN Mortgage Trust floater Series 2022-TFLM: |  |  |
|  Class B, CME Term SOFR 1 Month Index + 2.000% 6.3356% 2/15/39 (b)(c)(d) | 9333000 | 8780032 |
|  Class C, CME Term SOFR 1 Month Index + 2.650% 6.9856% 2/15/39 (b)(c)(d) | 4854000 | 4532500 |
| SREIT Trust floater: |  |  |
|  Series 2021-FLWR Class A, 1 month U.S. LIBOR + 0.570% 4.8946% 7/15/36 (b)(c)(d) | 12500000 | 11998246 |
|  Series 2021-MFP:  |  |  |
| Class A, 1 month U.S. LIBOR + 0.730% 5.0487% 11/15/38 (b)(c)(d) <br>| 35261000 | 33912380 |
| Class B, 1 month U.S. LIBOR + 1.070% 5.3977% 11/15/38 (b)(c)(d) <br>| 20195000 | 19232712 |
| Class C, 1 month U.S. LIBOR + 1.320% 5.6469% 11/15/38 (b)(c)(d) <br>| 12543000 | 11913886 |
| Class D, 1 month U.S. LIBOR + 1.570% 5.8961% 11/15/38 (b)(c)(d) <br>| 8243000 | 7788227 |
| VLS Commercial Mortgage Trust: |  |  |
|  sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 29470000 | 22736411 |
|  Series 2020-LAB:  |  |  |
| Class B, 2.453% 10/10/42 (b) <br>| 1400000 | 1064204 |
| Class X, 0.4294% 10/10/42 (b)(c)(i) <br>| 40100000 | 1076545 |
| Wells Fargo Commercial Mortgage Trust: |  |  |
|  floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 5.518% 5/15/31 (b)(c)(d) | 19889000 | 18692002 |
|  sequential payer:  |  |  |
| Series 2015-C26 Class A4, 3.166% 2/15/48 <br>| 16246000 | 15451312 |
| Series 2016-LC24 Class A3, 2.684% 10/15/49 <br>| 17536259 | 16012546 |
|  Series 2018-C46 Class XA, 0.9302% 8/15/51 (c)(i) | 50467275 | 1355067 |
|  Series 2018-C48 Class A5, 4.302% 1/15/52  | 13797000 | 13110522 |
| WF-RBS Commercial Mortgage Trust sequential payer Series 2014-C24 Class A4, 3.343% 11/15/47  | 27181000 | 25916029 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $2,053,674,025) |  | **1951134419** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.6%** | &nbsp;&nbsp;**Municipal Securities - 0.6%** | &nbsp;&nbsp;**Municipal Securities - 0.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| California Gen. Oblig.: |  |  |
|  Series 2009:  |  |  |
| 7.35% 11/1/39 <br>| 2420000 | 2954026 |
| 7.55% 4/1/39 <br>| 28540000 | 35721577 |
|  Series 2010, 7.625% 3/1/40  | 1640000 | 2071125 |
| Chicago Gen. Oblig.: |  |  |
|  (Taxable Proj.):  |  |  |
| Series 2010 C1, 7.781% 1/1/35 <br>| 7020000 | 7618382 |
| Series 2012 B, 5.432% 1/1/42 <br>| 6950000 | 5849704 |
|  Series 2009 E:  |  |  |
| 6.05% 1/1/29 <br>| 240000 | 237006 |
| 6.05% 1/1/29 (Pre-Refunded to 1/1/23 @ 100) <br>| 10000 | 10000 |
| Illinois Gen. Oblig.: |  |  |
|  Series 2003:  |  |  |
| 4.95% 6/1/23 <br>| 6234545 | 6237797 |
| 5.1% 6/1/33 <br>| 20175000 | 19362732 |
|  Series 2010-1, 6.63% 2/1/35  | 45930000 | 46559608 |
|  Series 2010-3:  |  |  |
| 6.725% 4/1/35 <br>| 39580000 | 40319291 |
| 7.35% 7/1/35 <br>| 17006786 | 17891557 |
| New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 32466000 | 34949730 |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $244,859,185) |  | **219782535** |

---

---

| | | |
|:---|:---|:---|
| &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>| Value ($)<br>|
| Panamanian Republic 3.298% 1/19/33  | 50825000 | 41130131 |
| State of Qatar 4.4% 4/16/50 (b) | 13195000 | 12009924 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $64,020,000) |  | **53140055** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.2%** | &nbsp;&nbsp;**Bank Notes - 0.2%** | &nbsp;&nbsp;**Bank Notes - 0.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Discover Bank: |  |  |
|  3.35% 2/6/23  | 5980000 | 5968938 |
|  4.682% 8/9/28 (c) | 23162000 | 22230424 |
| KeyBank NA 6.95% 2/1/28  | 850000 | 895601 |
| Regions Bank 6.45% 6/26/37  | 30566000 | 31782637 |
| <br> **TOTAL BANK NOTES**<br> (Cost $64,853,188) |  | **60877600** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 6.0%** | &nbsp;&nbsp;**Money Market Funds - 6.0%** | &nbsp;&nbsp;**Money Market Funds - 6.0%** |
|  | Shares | Value ($)<br>|
| Fidelity Cash Central Fund 4.37% (m) <br>(Cost $2,076,829,998) <br>| 2076418937 | **2076834221** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 111.6%**<br> (Cost $42,906,622,607)<br>| <br>**38721020609** |
| **NET OTHER ASSETS (LIABILITIES) - (11.6)%**  | **(4032491225)** |
| **NET ASSETS - 100.0%** | **34688529384** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| Ginnie Mae |  |  |
| 2% 1/1/53 | (118500000) | (99417945) |
| 2% 1/1/53 | (148150000) | (124293406) |
| 2% 1/1/53 | (41175000) | (34544590) |
| 2% 1/1/53 | (148150000) | (124293406) |
| 2% 2/1/53 | (29650000) | (24902098) |
| 2.5% 1/1/53 | (122200000) | (105854919) |
| 2.5% 1/1/53 | (91650000) | (79391189) |
| 3% 1/1/53 | (111100000) | (98954159) |
| 3% 1/1/53 | (27800000) | (24760807) |
| 3% 1/1/53 | (27800000) | (24760807) |
| 3% 1/1/53 | (104500000) | (93075694) |
| 3.5% 1/1/53 | (62700000) | (57607506) |
| TOTAL GINNIE MAE  |  | (891856526) |
| Uniform Mortgage Backed Securities |  |  |
| 1.5% 1/1/38 | (47650000) | (41362806) |
| 1.5% 1/1/38 | (30550000) | (26519071) |
| 1.5% 1/1/38 | (31750000) | (27560737) |
| 2% 1/1/38 | (12400000) | (11045301) |
| 2% 1/1/38 | (13700000) | (12203276) |
| 2% 1/1/38 | (65750000) | (58566819) |
| 2% 1/1/38 | (57500000) | (51218131) |
| 2% 1/1/38 | (2350000) | (2093263) |
| 2% 1/1/38 | (11350000) | (10110014) |
| 2% 1/1/38 | (12400000) | (11045301) |
| 2% 1/1/38 | (39850000) | (35496391) |
| 2% 1/1/53 | (54800000) | (44728790) |
| 2% 1/1/53 | (108950000) | (88927038) |
| 2% 1/1/53 | (5450000) | (4448392) |
| 2% 1/1/53 | (108950000) | (88927038) |
| 2% 1/1/53 | (54450000) | (44443114) |
| 2% 1/1/53 | (54450000) | (44443114) |
| 2.5% 1/1/53 | (111500000) | (94531094) |
| 2.5% 1/1/53 | (78900000) | (66892406) |
| 2.5% 1/1/53 | (78900000) | (66892406) |
| 2.5% 1/1/53 | (103600000) | (87833375) |
| 2.5% 1/1/53 | (7900000) | (6697719) |
| 2.5% 1/1/53 | (76300000) | (64688094) |
| 3% 1/1/38 | (13000000) | (12181400) |
| 3.5% 1/1/53 | (19400000) | (17643380) |
| 3.5% 1/1/53 | (33000000) | (30011936) |
| 3.5% 1/1/53 | (3200000) | (2910248) |
| 3.5% 1/1/53 | (8425000) | (7662138) |
| 4% 1/1/53 | (6400000) | (6007997) |
| 4.5% 1/1/53 | (22700000) | (21880671) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES  |  | (1088971460) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $2,006,517,880) |  | <br> **(1980827986)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &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 ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 60 | Mar 2023 | 12304688 | 22828 | 22828 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 1915 | Mar 2023 | 206685352 | 93581 | 93581 |
| TOTAL PURCHASED |  |  |  |  | 116409 |
| Sold |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 2438 | Mar 2023 | 273779781 | 947279 | 947279 |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 2439 | Mar 2023 | 305713406 | 1018595 | 1018595 |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 216 | Mar 2023 | 29011500 | 1840252 | 1840252 |
| TOTAL SOLD |  |  |  |  | 3806126 |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **3922535** |
| The notional amount of futures purchased as a percentage of Net Assets is 0.6% | The notional amount of futures purchased as a percentage of Net Assets is 0.6% | The notional amount of futures purchased as a percentage of Net Assets is 0.6% | The notional amount of futures purchased as a percentage of Net Assets is 0.6% | The notional amount of futures purchased as a percentage of Net Assets is 0.6% | The notional amount of futures purchased as a percentage of Net Assets is 0.6% |
| The notional amount of futures sold as a percentage of Net Assets is 1.8% | The notional amount of futures sold as a percentage of Net Assets is 1.8% | The notional amount of futures sold as a percentage of Net Assets is 1.8% | The notional amount of futures sold as a percentage of Net Assets is 1.8% | The notional amount of futures sold as a percentage of Net Assets is 1.8% | The notional amount of futures sold as a percentage of Net Assets is 1.8% |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount<sup>(1)</sup> | Value ($) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |
| CMBX N.A. AAA Index Series 13 | Dec 2022 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 4790000 | 58794 | (64931) | (6137) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 11100000 | 136246 | 10332 | 146578 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 3470000 | 42592 | (8409) | 34183 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 10280000 | 126181 | (34884) | 91297 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 7650000 | 93899 | (23380) | 70519 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 14500000 | 177979 | (213112) | (35133) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 10200000 | 125199 | (115383) | 9816 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 30660000 | 376333 | (282866) | 93467 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 10170000 | 124831 | (88087) | 36744 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 10170000 | 123603 | (111293) | 12310 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 5450000 | 66895 | (48793) | 18102 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 2100000 | 25776 | (3128) | 22648 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 5020000 | 61617 | (59734) | 1883 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 4750000 | 58303 | (91129) | (32826) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 4640000 | 56953 | (88669) | (31716) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 10600000 | 130109 | (42301) | 87808 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 4980000 | 61127 | (69638) | (8511) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 8990000 | 110347 | (48390) | 61957 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 15550000 | 190867 | (108856) | 82011 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 13100000 | 160794 | (215628) | (54834) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 15000000 | 184116 | (208880) | (24764) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 5100000 | 62599 | (39806) | 22793 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 16000000 | 196390 | (109781) | 86609 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 5060000 | 62108 | (47912) | 14196 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  | **2813658** | **(2114658)** | **699000** |

---

(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency<br> Clearinghouse /<br> Counterparty<sup>(1)</sup> | Maturity<br> Date | Notional<br> Amount<sup>(2)</sup> | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<sup>(3)</sup> | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| 4.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Mar 2025 | 195825000 | (1062860) | 0 | (1062860) |
| 4% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Mar 2028 | 93570000 | (1482617) | 0 | (1482617) |
| 3.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Mar 2030 | 22528000 | (500869) | 0 | (500869) |
| 3.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Mar 2053 | 2572000 | (179820) | 0 | (179820) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  | **(3226166)** | **0** | **(3226166)** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

(2)Notional amount is stated in U.S. Dollars unless otherwise noted.

(3)Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(4)Represents floating rate.

**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 $5,729,565,344 or 16.5% 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 $16,452,757.

(f) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $7,505,822.

(g) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $13,597,264.

(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(i) 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.

(j) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

(k) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(l) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

(m) 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  | 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 4.37% | 1417241852 | 2341889897 | 1682297528 | 17123585 | - | - | 2076834221 | 4.9% |
| Fidelity Securities Lending Cash Central Fund 4.37% | 689247474 | 3488537873 | 4177785347 | 359650 | - | - | - | 0.0% |
| Total | 2106489326 | 5830427770 | 5860082875 | 17483235 | - | - | 2076834221 |  |

---

Amounts in the dividend 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 Directors (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.

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps 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):

Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

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.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.

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.

Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.

Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.

**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 Central Investment Portfolios II LLC

- **b. Investment Company Act file number:** 811-22083

- **c. CIK number of Registrant:** 0001401097

- **d. LEI of Registrant:** 0VPAEPVECBYQ0ULYZJ60

- **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 Investment Grade Bond Central Fund

- **b. EDGAR series identifier (if any):** S000018830

- **c. LEI of Series:** FS2SIS7AHLZIR07EXE40

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

- **a. Date of fiscal year-end:** 2023-09-30

- **b. Date as of which information is reported:** 2022-12-31

**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:** $41243999887.31

**Total Liabilities:** $6684224754.68

**Net Assets:** $34559775132.63

**Delayed Delivery Securities:** $4356449726.66

**Cash Not Reported:** $18057559.12

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 436117.55586748 | **1-Year:** 2558231.21817746 | **5-Year:** 6387450.82673761 | **10-Year:** 7242474.60173110 | **30-Year:** 4692814.14382843

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

- **3-Month:** 15618.25275729 | **1-Year:** 108852.95350014 | **5-Year:** 244498.14248266 | **10-Year:** 66584.13643928 | **30-Year:** 7521.63943790

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000052072 | -1.25%               | 3.65%                | -0.56%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-109699734.49           | $-402167711.51                             |
| Month 2  | $-73107151.56            | $1158809787.96                             |
| Month 3  | $68789029.79             | $-388425536.48                             |

**Designated Index Information**

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

- **Index Identifier:** 19808143

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3145 GO 4/36                                                                                  | CUSIP: 31396NCS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     175938 | PA      | $141693.87     | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/39 #AC4396                                                                           | CUSIP: 31417N3E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7625 | PA      | $7544.81       | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 02/20/2050#BQ4127                                                                      | CUSIP: 3617LNSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1157546 | PA      | $1032256.76    | 0.00%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/51#BT1461                                                                         | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1345843 | PA      | $1106720.70    | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2047#CA0855                                                                  | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1084208 | PA      | $1008135.30    | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    4640000 | NC      | $56953.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #581788                                                                           | CUSIP: 36201FJ99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1113 | PA      | $1160.12       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/20/2046#AS9175                                                                    | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     244273 | PA      | $226931.40     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745127                                                                           | CUSIP: 3620C0YY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86702 | PA      | $85350.69      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #748314                                                                          | CUSIP: 3620C4K33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13146 | PA      | $12605.93      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #711029                                                                          | CUSIP: 36297F4N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22205 | PA      | $22272.56      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/38 #889371                                                                           | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556206 | PA      | $581280.79     | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/33 #577996                                                                           | CUSIP: 36201BC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5285 | PA      | $5275.31       | 0.00%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1289                                                                  | CUSIP: 3138NXNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24753 | PA      | $22521.86      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/25 #322201                                                                           | CUSIP: 31374R3J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1920 | PA      | $1956.14       | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                            | KITE RLTY GROUP TRUST 4% 03/15/2025                                                               | CUSIP: 76131VAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   27373000 | PA      | $26037647.61   | 0.08%             | 2025-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #828385                                                                           | CUSIP: 31407EJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74981 | PA      | $77852.70      | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 1ML+40 08/20/2042                                                  | CUSIP: 38375GZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     701657 | PA      | $686111.12     | 0.00%             | 2042-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 8/33 #604578                                                                           | CUSIP: 36200MUB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7398 | PA      | $7546.39       | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2032#J36710                                                                    | CUSIP: 31307TN31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57297 | PA      | $54529.57      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 09/01/2040#AE4424                                                                  | CUSIP: 31419E4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16910 | PA      | $17075.30      | 0.00%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT9786                                                                  | CUSIP: 3138WX2U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20698 | PA      | $18832.49      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 03/20/2047#784299                                                                      | CUSIP: 3622A2X49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2698021 | PA      | $2597850.92    | 0.01%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.2% 02/23/2023                                                     | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   59200000 | PA      | $59051508.64   | 0.17%             | 2023-02-23      | Fixed         | 0.03%                 | 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        |       1492 | PA      | $1543.28       | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/25 #397870                                                                           | CUSIP: 36205Q6F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         56 | PA      | $57.58         | 0.00%             | 2025-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #719736                                                                          | CUSIP: 3620A5SZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1910 | PA      | $1997.10       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #347263                                                                           | CUSIP: 36203EWY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2167 | PA      | $2242.78       | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/45#Q38550                                                                         | CUSIP: 3132QVQC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     221352 | PA      | $213457.59     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AQ5772                                                                  | CUSIP: 3138MMMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48224 | PA      | $43876.85      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/48#BJ8805                                                                         | CUSIP: 3140HAYB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183524 | PA      | $175955.49     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #535143                                                                           | CUSIP: 31384VP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3024 | PA      | $3175.95       | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR1584                                                                  | CUSIP: 3138NXXN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     924723 | PA      | $841371.06     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 02/01/2053 #TBA                                                                    | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  266700000 | PA      | $226319966.46  | 0.65%             | 2053-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9019                                                                           | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423205 | PA      | $409345.75     | 0.00%             | 2042-04-01      | 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        |   48825976 | PA      | $39359190.52   | 0.11%             | 2047-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 1.494%/VAR 08/10/2027 144A                                                           | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   24731000 | PA      | $21277556.98   | 0.06%             | 2027-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #412258                                                                           | CUSIP: 31378X5T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9065 | PA      | $9280.80       | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q01985                                                                  | CUSIP: 3132GFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164447 | PA      | $166581.70     | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/36 #657024                                                                           | CUSIP: 36294Q4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4081 | PA      | $4314.83       | 0.00%             | 2036-08-15      | Fixed         | 0.07%                 | 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        |   67655000 | PA      | $64284363.63   | 0.19%             | 2025-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/28 #430194                                                                           | CUSIP: 31379U3B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $39.30         | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-15 OP 0% 3/36                                                                            | CUSIP: 31395BTU7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     251747 | PA      | $210239.11     | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 5.15% 05/22/2045                                                    | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8083966.41    | 0.02%             | 2045-05-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/27 #437435                                                                          | CUSIP: 36207N4U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        246 | PA      | $252.53        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33578                                                                  | CUSIP: 3132QP6Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168143 | PA      | $157331.46     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2047#CA0623                                                                  | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280543 | PA      | $275305.86     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #734151                                                                           | CUSIP: 3620AMTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     286343 | PA      | $274823.57     | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 05/01/2030#J31652                                                                  | CUSIP: 31307MZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79943 | PA      | $77541.06      | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 04/20/2043#AD9075                                                                    | CUSIP: 36180NCL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     388983 | PA      | $362948.49     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR2904                                                                  | CUSIP: 3138W0GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314343 | PA      | $286008.98     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #644164                                                                           | CUSIP: 31390ETV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2423 | PA      | $2560.38       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #773113                                                                           | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8298 | PA      | $7981.53       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24839                                                                  | CUSIP: 3132M5BG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26829 | PA      | $25922.49      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/37 #621244                                                                           | CUSIP: 36290YER5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        293 | PA      | $300.44        | 0.00%             | 2037-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/25 #395849                                                                           | CUSIP: 36205NWJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        922 | PA      | $941.34        | 0.00%             | 2025-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/26 #420658                                                                           | CUSIP: 36206TJB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         88 | PA      | $90.20         | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #549552                                                                           | CUSIP: 36213BQD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        448 | PA      | $467.23        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #452930                                                                           | CUSIP: 36208KEB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1101 | PA      | $1117.25       | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479607                                                                          | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     335847 | PA      | $322289.32     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 03/20/2047#MA4322                                                                      | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182082 | PA      | $175321.66     | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #455891                                                                          | CUSIP: 36208NNG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        165 | PA      | $167.47        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.182% 6/37 #848188                                                                      | CUSIP: 31300LCZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14490 | PA      | $14832.48      | 0.00%             | 2037-06-01      | Variable      | 0.06%                 | 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        |   17278000 | PA      | $15971596.60   | 0.05%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/25 #410082                                                                           | CUSIP: 36206FRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13 | PA      | $12.91         | 0.00%             | 2025-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #726394                                                                          | CUSIP: 3620AC7F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24415 | PA      | $24024.71      | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #462816                                                                           | CUSIP: 36208WDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        859 | PA      | $882.67        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                       | BLACKBIRD AIRCRAF 2016-1A A STEP 12/16/2041 144A                                                  | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   30384999 | PA      | $24861966.03   | 0.07%             | 2041-12-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #420501                                                                           | CUSIP: 31379JDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3599 | PA      | $3726.51       | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/41 #005203                                                                       | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4519690 | PA      | $4354627.74    | 0.01%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 11/41 #Q04295                                                                          | CUSIP: 3132GKNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     878506 | PA      | $850997.61     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#SD0927                                                                  | CUSIP: 3132DNA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6698635 | PA      | $6190428.06    | 0.02%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18136                                                                  | CUSIP: 3132J9PW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14194 | PA      | $13763.21      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #474003                                                                           | CUSIP: 36209KRY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        232 | PA      | $238.44        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q12164                                                                  | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77441 | PA      | $75018.26      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.242% 9/1/41#1B8659                                                                     | CUSIP: 3128UHAK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18718 | PA      | $18781.27      | 0.00%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #574784                                                                           | CUSIP: 36200WRD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1679 | PA      | $1711.49       | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #A93451                                                                           | CUSIP: 312941ZQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27340 | PA      | $27123.10      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#SD0832                                                                    | CUSIP: 3132DM4R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5251375 | PA      | $4624181.42    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #406815                                                                           | CUSIP: 31378R3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8209 | PA      | $8530.83       | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3037                                                                    | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4383881 | PA      | $3595386.51    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | 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        |         99 | PA      | $103.79        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #489711                                                                           | CUSIP: 36210EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        995 | PA      | $1029.09       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.75% 04/15/2027                                                                 | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   25540000 | PA      | $24055914.27   | 0.07%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #532153                                                                           | CUSIP: 31384SE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        214 | PA      | $226.32        | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH4987                                                                           | CUSIP: 3138A6RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59843 | PA      | $57906.53      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479494                                                                          | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1416264 | PA      | $1358240.96    | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 11/40 #004853                                                                       | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4152182 | PA      | $4003242.97    | 0.01%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.87% 1/35 #735833                                                                       | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18126 | PA      | $18061.80      | 0.00%             | 2035-01-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/38 #889733                                                                           | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95166 | PA      | $99544.10      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2049#BN7890                                                                  | CUSIP: 3140JQXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     439651 | PA      | $451616.71     | 0.00%             | 2049-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #842191                                                                          | CUSIP: 31407VUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25230 | PA      | $26213.20      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 12/01/2031#ZS8632                                                                  | CUSIP: 3132A9SV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62082 | PA      | $58117.29      | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                     | MAGALLANES INC 4.279% 03/15/2032 144A                                                             | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   28666000 | PA      | $23614040.04   | 0.07%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP7148                                                                          | CUSIP: 3138MA5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150006 | PA      | $140363.74     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2048#BM5106                                                                  | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1291328 | PA      | $1274079.40    | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2051#CB0545                                                                  | CUSIP: 3140QKTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1208426 | PA      | $1106266.59    | 0.00%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/25 #412531                                                                          | CUSIP: 36206JHG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        123 | PA      | $124.96        | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | 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        |   14655000 | PA      | $14438628.16   | 0.04%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 11/29 #500162                                                                          | CUSIP: 36210RTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        399 | PA      | $421.01        | 0.00%             | 2029-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2044#AS3935                                                                  | CUSIP: 3138WDLR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28374 | PA      | $26542.39      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AR9310                                                                    | CUSIP: 36193GKX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58270 | PA      | $54133.23      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #713866                                                                           | CUSIP: 36297KCB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4808 | PA      | $4821.54       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 01/01/2033#BH9235                                                                    | CUSIP: 3140GYHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190755 | PA      | $181026.25     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#AE1960                                                                  | CUSIP: 36180UE96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9317 | PA      | $8504.10       | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                        | VIATRIS INC 3.85% 06/22/2040                                                                      | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    9677000 | PA      | $6488408.95    | 0.02%             | 2040-06-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/41 #AI1967                                                                           | CUSIP: 3138AFFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164567 | PA      | $163056.13     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/23 #349785                                                                           | CUSIP: 36203HRE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $2.46          | 0.00%             | 2023-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2046#G60989                                                                    | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6214833 | PA      | $5595840.94    | 0.02%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2048#BJ4970                                                                    | CUSIP: 3140H6QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     790959 | PA      | $756360.21     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 08/01/2042#AP5087                                                                  | CUSIP: 3138M8UM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192497 | PA      | $178026.36     | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 7/39 #AA9611                                                                           | CUSIP: 31416TVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1424 | PA      | $1379.52       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 07/15/2042#AB1380                                                                  | CUSIP: 36178LQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104746 | PA      | $100352.27     | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738240                                                                           | CUSIP: 3620ASEM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29293 | PA      | $29419.92      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 7/42 #AA5451                                                                           | CUSIP: 36178DBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     220380 | PA      | $206509.74     | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2040#                                                                        | CUSIP: 312943UM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9659 | PA      | $9582.87       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |   59625670 | PA      | $58890532.94   | 0.17%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/27 #462363                                                                          | CUSIP: 36208VTU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        130 | PA      | $132.79        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.375% 03/31/2029                                                                       | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  504000000 | PA      | $458285627.52  | 1.33%             | 2029-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1ML+ 02/15/2036                                                    | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      87879 | PA      | $7518.64       | 0.00%             | 2036-02-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/42#AQ3065                                                                       | CUSIP: 3138MJMP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126142 | PA      | $118111.85     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH4121                                                                           | CUSIP: 3138A5SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26842 | PA      | $25973.53      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/26 #331387                                                                           | CUSIP: 31375DCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1039 | PA      | $1056.45       | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/23 #190240                                                                           | CUSIP: 31368HHR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.46         | 0.00%             | 2023-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.5% 04/19/2026                                                       | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   34343000 | PA      | $32774966.62   | 0.09%             | 2026-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/30 #535336                                                                           | CUSIP: 31384VV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $131.83        | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT5177                                                                  | CUSIP: 3138WSXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238577 | PA      | $216848.80     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7766                                                                  | CUSIP: 31417ETY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     604571 | PA      | $550076.42     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #724597                                                                           | CUSIP: 3620AA7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1383 | PA      | $1361.69       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 343 16 5.5% 5/34                                                                              | CUSIP: 3136FA6N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      60231 | PA      | $10066.67      | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #339167                                                                           | CUSIP: 31375MW41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        157 | PA      | $159.75        | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LT                                                                    | FLATIRON CLO LT 3ML+111 07/19/2034 144A                                                           | CUSIP: 33883PAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   19090000 | PA      | $18623192.23   | 0.05%             | 2034-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #757631                                                                           | CUSIP: 36230SPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31429 | PA      | $30139.12      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 1993-207 H 6.5% 11/23                                                                         | CUSIP: 31359E3G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      13629 | PA      | $13594.80      | 0.00%             | 2023-11-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #773499                                                                          | CUSIP: 36176RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68805 | PA      | $66012.85      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #458926                                                                           | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1467 | PA      | $1509.84       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43#AR5364                                                                      | CUSIP: 3138W26A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392197 | PA      | $367374.99     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 01/01/2033#BH9242                                                                  | CUSIP: 3140GYHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45033 | PA      | $41932.36      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                                     | CSMC 2019-ICE4 1ML+143 05/15/2036 144A                                                            | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7137000 | PA      | $6993998.79    | 0.02%             | 2036-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B24 MTG TR                                                          | BENCHMARK 2021-B24 MTG TR 2.5843% 03/15/2054                                                      | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6200000 | PA      | $5162164.64    | 0.01%             | 2054-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2052#RA6823                                                                    | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44970765 | PA      | $36882224.61   | 0.11%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/37 #917965                                                                           | CUSIP: 31411XZ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13018 | PA      | $13595.07      | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AU1978                                                                  | CUSIP: 3138X1FU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22232 | PA      | $20206.94      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 11/01/2033#G16677                                                                  | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9180903 | PA      | $8849086.35    | 0.03%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/25 #416282                                                                           | CUSIP: 36206NM77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        276 | PA      | $278.30        | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/36 #745640                                                                           | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247018 | PA      | $257159.30     | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | 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        |    6300000 | PA      | $4409511.75    | 0.01%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#                                                                        | CUSIP: 3133KNWK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11056853 | PA      | $10145439.88   | 0.03%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/41 #752909                                                                           | CUSIP: 36230MGS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26577 | PA      | $26153.56      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745236                                                                           | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140412 | PA      | $138215.93     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2040#G06016                                                                  | CUSIP: 3128M8AR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96383 | PA      | $95616.17      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 6.0% 05/15/2040#783362                                                                  | CUSIP: 36241LWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     765835 | PA      | $800403.58     | 0.00%             | 2040-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 10/01/2045#Q36623                                                                  | CUSIP: 3132QTLD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13228 | PA      | $12001.30      | 0.00%             | 2045-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/42#Q10245                                                                       | CUSIP: 3132HLHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242187 | PA      | $226781.70     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.75% 09/21/2047                                                              | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  102130000 | PA      | $65044554.40   | 0.19%             | 2047-09-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH2978                                                                           | CUSIP: 3138A4JY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20710 | PA      | $20048.66      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.431/VAR 01/23/2030                                                               | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   54318000 | PA      | $50553960.86   | 0.15%             | 2030-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2050#SD7530                                                                  | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   99301257 | PA      | $85222920.38   | 0.25%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H03 FA 1ML+70 1/20/62 RVM                                                                | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     577425 | PA      | $575002.64     | 0.00%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 5.35% 02/12/2028                                                              | CUSIP: 71654QCK6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    3500000 | PA      | $2943500.00    | 0.01%             | 2028-02-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2045#AZ2719                                                                    | CUSIP: 3138YUAV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88099 | PA      | $84989.02      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #G06973                                                                           | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1666255 | PA      | $1613002.50    | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #414838                                                                          | CUSIP: 36206LZB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $33.83         | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM CO                                                        | CLEVELAND ELECTRIC ILLUM CO 5.95% 12/15/2036                                                      | CUSIP: 186108CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1128000 | PA      | $1119014.90    | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 2/29 #C21724                                                                           | CUSIP: 31293J4H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $82.22         | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2043#V80169                                                                  | CUSIP: 3132L5FJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1042319 | PA      | $948276.21     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 7% 2/32 #003202                                                                           | CUSIP: 36202DRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23007 | PA      | $24080.96      | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | 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        |     450000 | PA      | $431784.23     | 0.00%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #741215                                                                           | CUSIP: 3620AVN81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19161 | PA      | $18861.35      | 0.00%             | 2040-07-15      | 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 3% 05/15/2032 144A                             | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   43240000 | PA      | $33158622.54   | 0.10%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1624                                                                  | CUSIP: 3138NXYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114518 | PA      | $104195.76     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2048#BK0167                                                                    | CUSIP: 3140HDFH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219862 | PA      | $210244.83     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #485115                                                                          | CUSIP: 31382K3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11484 | PA      | $11966.02      | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.39% 12/36 #1J1448                                                                      | CUSIP: 3128NHTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46031 | PA      | $46596.04      | 0.00%             | 2036-12-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.5% 11/30/2028                                                                         | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  800000000 | PA      | $694718752.00  | 2.01%             | 2028-11-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #551697                                                                           | CUSIP: 36213D3E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        486 | PA      | $491.56        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK8228                                                                           | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422683 | PA      | $408787.41     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #507061                                                                          | CUSIP: 31383MJE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44127 | PA      | $45585.67      | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 06/15/2042#799330                                                                    | CUSIP: 36177ULL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39032 | PA      | $37401.70      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H12 FA 1ML+49 5/61                                                                       | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     964693 | PA      | $957478.13     | 0.00%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 06/01/2030#ZS8569                                                                  | CUSIP: 3132A9QW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54175 | PA      | $50952.34      | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/24 #279709                                                                           | CUSIP: 31372QVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.14         | 0.00%             | 2024-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BETHP 2021                                                                         | BETHP 2021 3ML+113 01/15/2035 144A                                                                | CUSIP: 087598AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   27114000 | PA      | $26313025.33   | 0.08%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 05/01/2038#G31067                                                                  | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1390967 | PA      | $1333676.52    | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 4/34 #605189                                                                           | CUSIP: 36200NKA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        563 | PA      | $572.75        | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #751249                                                                          | CUSIP: 36230KL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12856 | PA      | $12351.23      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                                                   | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                                               | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   50467275 | PA      | $1355066.51    | 0.00%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 03/20/2049#MA5817                                                                      | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11789537 | PA      | $11270771.44   | 0.03%             | 2049-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/23 #345035                                                                           | CUSIP: 36203CHL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $8.86          | 0.00%             | 2023-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96783                                                                           | CUSIP: 312945RC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170630 | PA      | $169272.16     | 0.00%             | 2041-02-01      | 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        |   90600000 | PA      | $90110229.08   | 0.26%             | 2024-04-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES XXXIV CLO LTD                                                                 | ARES XXXIV CLO LTD 3ML+125 04/17/2033 144A                                                        | CUSIP: 04015GAP4<br>LEI: 549300VDFIIXSFET0S73 | Long             | ABS-CBDO         | CORP              | KY        |   69645000 | PA      | $68227306.38   | 0.20%             | 2033-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                                                    | BANK 20-BNK25 XB CSTR 01/15/2063                                                                  | CUSIP: 06539WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   31293000 | PA      | $770655.84     | 0.00%             | 2063-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044                                                      | CUSIP: 38378Y2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2416509 | PA      | $2216037.04    | 0.01%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.22% 3/37 #910296                                                                       | CUSIP: 31411KKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18188 | PA      | $18181.98      | 0.00%             | 2037-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/46#Q38782                                                                         | CUSIP: 3132QVXL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137294 | PA      | $132397.89     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                       | BBIRD 2016-1A AA 2.487% 12/16/2041 144A                                                           | CUSIP: 09228YAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2861655 | PA      | $2607244.76    | 0.01%             | 2041-12-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/01/2053 #TBA                                                                        | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -455975000 | PA      | $-382549345.75 | -1.11%            | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2137 PG 6% 3/29                                                                               | CUSIP: 3133TJR70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      42880 | PA      | $43576.56      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #457796                                                                           | CUSIP: 36208QRR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2419 | PA      | $2511.32       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 9/36 #C02621                                                                           | CUSIP: 31292J4E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12909 | PA      | $13832.32      | 0.00%             | 2036-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #556039                                                                           | CUSIP: 36213JV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        277 | PA      | $287.35        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2303 ZV 6% 4/31                                                                               | CUSIP: 3133TSTH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      28304 | PA      | $28807.87      | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #782727                                                                           | CUSIP: 36241LA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259444 | PA      | $260088.50     | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2051#RA5998                                                                    | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17714468 | PA      | $15683176.81   | 0.05%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2004-32 GS 650-1ML 5/34                                                                       | CUSIP: 38374GZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      94262 | PA      | $7013.18       | 0.00%             | 2034-05-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 6/29 #C28186                                                                           | CUSIP: 31293SCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        460 | PA      | $468.99        | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | 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        |   34500000 | PA      | $33189317.40   | 0.10%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AT7263                                                                  | CUSIP: 3138WVB91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49020 | PA      | $44555.49      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H27 FA 1ML+38 12/60                                                                      | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     793555 | PA      | $785819.28     | 0.00%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2042#AQ9061                                                                    | CUSIP: 3138MRB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182910 | PA      | $176680.96     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/25 #420228                                                                           | CUSIP: 36206SYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        498 | PA      | $505.21        | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 1ML+55 09/20/2061                                                    | CUSIP: 38375BNA6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2575197 | PA      | $2558492.92    | 0.01%             | 2061-09-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720055                                                                           | CUSIP: 3620A55Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12254 | PA      | $12056.62      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/39 #710497                                                                          | CUSIP: 36297FKJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54899 | PA      | $52812.27      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | 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 DFX 5.3503% 07/05/2033 144A                            | CUSIP: 46645WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5907000 | PA      | $5141971.43    | 0.01%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2131 BG 6% 3/29                                                                               | CUSIP: 3133TK2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     273475 | PA      | $277961.54     | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.8% 02/15/2029                                                                           | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    5370000 | PA      | $5138767.37    | 0.01%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AB6904                                                                  | CUSIP: 31417DU68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1161884 | PA      | $1051653.61    | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/42 #Q06088                                                                           | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     231343 | PA      | $224029.36     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #323317                                                                           | CUSIP: 31374TDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2181 | PA      | $2255.72       | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2017-30 AI 5.5% 05/47                                                                         | CUSIP: 3136AWQD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    1006837 | PA      | $180488.29     | 0.00%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2047#BJ0275                                                                  | CUSIP: 3140H1JV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15212 | PA      | $14952.04      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 01/01/2053 #TBA                                                                      | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -387050000 | PA      | $-315917486.54 | -0.91%            | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT3658                                                                  | CUSIP: 3138WRB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23358 | PA      | $21230.97      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2046#AT7536                                                                    | CUSIP: 36194GLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     361261 | PA      | $345116.15     | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 06/15/2041#366975                                                                  | CUSIP: 36204DT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1244171 | PA      | $1224511.24    | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #461545                                                                          | CUSIP: 36208UWE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        125 | PA      | $128.16        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/31 #545304                                                                          | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50519 | PA      | $53443.75      | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                    | FOX CORP 5.476% 01/25/2039                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    8943000 | PA      | $8137466.61    | 0.02%             | 2039-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/29 #523195                                                                          | CUSIP: 31384GGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        333 | PA      | $350.85        | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #452204                                                                           | CUSIP: 36208JKR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        301 | PA      | $304.34        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/39 #698329                                                                           | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52809 | PA      | $51960.03      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    5100000 | NC      | $62599.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #723745                                                                           | CUSIP: 3620AABN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49507 | PA      | $48728.51      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q20360                                                                  | CUSIP: 3132JMMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45376 | PA      | $43857.20      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/28 #464145                                                                           | CUSIP: 36208XTA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        176 | PA      | $180.27        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2019-82 PI 4% 06/25/2049                                           | CUSIP: 3136B7X97<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    7271338 | PA      | $1191965.66    | 0.00%             | 2049-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8538                                                                    | CUSIP: 31419KPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168240 | PA      | $162688.22     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #449451                                                                           | CUSIP: 36208FH45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $51.86         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2041#AE9268                                                                  | CUSIP: 31419LJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31151 | PA      | $30151.88      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-FLWR                                                                 | SREIT TR 2021-FLWR 1ML+57.66 07/15/2036 144A                                                      | CUSIP: 78485GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12500000 | PA      | $11998246.25   | 0.03%             | 2036-07-15      | Variable      | 0.05%                 | 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        |   22090521 | PA      | $18669437.00   | 0.05%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 2% 02/01/2038 #TBA                                                                      | CUSIP: 01F020422<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  163100000 | PA      | $145472461.89  | 0.42%             | 2038-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                         | MARSH and MCLENNAN COS INC 4.375% 03/15/2029                                                      | CUSIP: 571748BG6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   19688000 | PA      | $19016408.06   | 0.06%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2049#CA3129                                                                    | CUSIP: 3140QAPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2897436 | PA      | $2760056.65    | 0.01%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.3% 08/15/2052                                                                  | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    7294000 | PA      | $6521905.45    | 0.02%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 10/20/2042#AC0073                                                                      | CUSIP: 36178YCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     927538 | PA      | $890726.51     | 0.00%             | 2042-10-20      | 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        |         62 | PA      | $64.92         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2043#AC9441                                                                    | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     160226 | PA      | $153601.41     | 0.00%             | 2043-01-15      | 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 5.75% 04/01/2033 144A                          | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   32215000 | PA      | $30726022.70   | 0.09%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/43#AF5070                                                                    | CUSIP: 36181LT32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13145 | PA      | $12627.28      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #458395                                                                          | CUSIP: 36208RGC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1112 | PA      | $1152.22       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #449183                                                                          | CUSIP: 36208E6U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        100 | PA      | $103.40        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #723333                                                                           | CUSIP: 3620A9SW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31156 | PA      | $30655.83      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BK3836                                                                    | CUSIP: 3140HHHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     704704 | PA      | $675640.06     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/45#AY7636                                                                       | CUSIP: 3138YMPW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85669 | PA      | $77545.21      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2010-135 ZA 4.5% 12/40                                                                        | CUSIP: 31398SE82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     191499 | PA      | $188880.27     | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2044#AW3253                                                                  | CUSIP: 3138XSTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232397 | PA      | $230164.31     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2041#AI7563                                                                  | CUSIP: 3138AMMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15967 | PA      | $15820.75      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2051#RA4919                                                                    | CUSIP: 3133KLPC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43540 | PA      | $38533.40      | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 1.95% 02/15/2028 144A                                                                | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    7184000 | PA      | $6067749.15    | 0.02%             | 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        |        290 | PA      | $298.44        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 05/01/2045#Q33442                                                                  | CUSIP: 3132QPZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132339 | PA      | $119985.23     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9568                                                                    | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34597732 | PA      | $28461402.31   | 0.08%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 04/01/2041#AH9677                                                                  | CUSIP: 3138ABXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36785 | PA      | $37210.51      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                   | KINDER MORGAN ENERGY PTNRS LP 6.55% 09/15/2040                                                    | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1645000 | PA      | $1648690.79    | 0.00%             | 2040-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/31 #596248                                                                           | CUSIP: 31387WL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        647 | PA      | $684.57        | 0.00%             | 2031-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AS0203                                                                  | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     879396 | PA      | $799304.84     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 8.00% 3/37 #922475                                                                           | CUSIP: 31412D2G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9058 | PA      | $9934.39       | 0.00%             | 2037-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2047#Q48095                                                                  | CUSIP: 3132WM7H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1933805 | PA      | $1907343.30    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15789                                                                  | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250394 | PA      | $228037.54     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 5/35 #812274                                                                           | CUSIP: 31406KMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3828 | PA      | $4034.69       | 0.00%             | 2035-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 4/30 #479294                                                                           | CUSIP: 36209RNK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1996 | PA      | $2104.62       | 0.00%             | 2030-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/29 #520975                                                                          | CUSIP: 31384DXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        289 | PA      | $304.75        | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AT0228                                                                    | CUSIP: 36193XHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45939 | PA      | $42677.63      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7846                                                                  | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     757204 | PA      | $688951.54     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/44#AW6267                                                                       | CUSIP: 3138XV6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74238 | PA      | $75400.60      | 0.00%             | 2044-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605529                                                                          | CUSIP: 36200NVW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5069 | PA      | $5302.57       | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605731                                                                          | CUSIP: 36200N4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        362 | PA      | $378.32        | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 3.784% 03/14/2032 144A                                                | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   10165000 | PA      | $8378839.85    | 0.02%             | 2032-03-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#BA2698                                                                  | CUSIP: 3140E67L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419263 | PA      | $403937.19     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG 3.869%/VAR 01/12/2029 144A                                                   | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    9005000 | PA      | $7217943.43    | 0.02%             | 2029-01-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.64% 4/36 #1J0058                                                                       | CUSIP: 3128LUB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27054 | PA      | $27250.30      | 0.00%             | 2036-04-01      | Variable      | 0.03%                 | 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        |   17722000 | PA      | $15194293.42   | 0.04%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                   | COMCAST CORP NEW 3.75% 04/01/2040                                                                 | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    2448000 | PA      | $2018926.29    | 0.01%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5.00% 3/23 #889255                                                                      | CUSIP: 31410G5Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $106.89        | 0.00%             | 2023-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE4597                                                                  | CUSIP: 36180XDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39049 | PA      | $36570.43      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 12/47#MA4901                                                                           | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3479164 | PA      | $3339120.07    | 0.01%             | 2047-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#                                                                          | CUSIP: 312946FC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119469 | PA      | $115824.35     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 10/20/2040#004828                                                                  | CUSIP: 36202FLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     597645 | PA      | $586896.64     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#QD7710                                                                    | CUSIP: 3133B5R79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7655722 | PA      | $6729404.76    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.25% 6/36 #886983                                                                       | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33868 | PA      | $34161.11      | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #556007                                                                          | CUSIP: 36213JU86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2506 | PA      | $2624.31       | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 07/20/2039#004488                                                                  | CUSIP: 36202E6Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18550 | PA      | $18215.94      | 0.00%             | 2039-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21524                                                                  | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26545 | PA      | $25656.82      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/39 #782604                                                                           | CUSIP: 36241K3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9179 | PA      | $9423.31       | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511255                                                                           | CUSIP: 31383R5Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        776 | PA      | $806.85        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 3.5% 07/01/2027                                                                    | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    7113000 | PA      | $6747169.52    | 0.02%             | 2027-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2044#Q24349                                                                  | CUSIP: 3132M4QA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92437 | PA      | $89313.19      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2052#                                                                        | CUSIP: 3140QPQS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27656015 | PA      | $27081356.17   | 0.08%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2046#BE4460                                                                    | CUSIP: 3140FP5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148770 | PA      | $143006.41     | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/30 #503169                                                                           | CUSIP: 36210U6E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1388 | PA      | $1432.82       | 0.00%             | 2030-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP6486                                                                          | CUSIP: 3138MAF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27571 | PA      | $25759.37      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFILIATED MANAGERS GROUP INC                                                      | AFFILIATED MANAGERS GROUP INC 3.5% 08/01/2025                                                     | CUSIP: 008252AN8<br>LEI: 2JE75BUE3T1BLCYYGK54 | Long             | DBT              | CORP              | US        |   27065000 | PA      | $25946899.92   | 0.08%             | 2025-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR2880                                                                  | CUSIP: 3138W0FW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55293 | PA      | $50309.38      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.1% 03/15/2052                                                                       | CUSIP: 30161NBH3<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    5867000 | PA      | $4688107.37    | 0.01%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#CB2420                                                                    | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5439060 | PA      | $4823869.58    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #644809                                                                           | CUSIP: 31390FKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6589 | PA      | $6852.05       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #719237                                                                           | CUSIP: 3620A5BE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15711 | PA      | $15765.19      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 03/01/2051#QC0031                                                                  | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224587 | PA      | $173689.28     | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.34% 5/36 #872506                                                                       | CUSIP: 31409JKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30637 | PA      | $30837.33      | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #389127                                                                           | CUSIP: 36205FHC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        735 | PA      | $757.59        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #781324                                                                           | CUSIP: 36225BPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8714 | PA      | $9064.74       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2039#930922                                                                  | CUSIP: 31412PG70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        955 | PA      | $945.18        | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #250990                                                                           | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $133.90        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9394                                                                  | CUSIP: 3138WKNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276805 | PA      | $272069.33     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 1.5% 01/01/2038 #TBA                                                                    | CUSIP: 01F012411<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -109950000 | PA      | $-95442614.27  | -0.28%            | 2038-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2051#CB0850                                                                    | CUSIP: 3140QK5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15972559 | PA      | $14146000.67   | 0.04%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2050#SD0265                                                                    | CUSIP: 3132DMJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12914298 | PA      | $11540380.52   | 0.03%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 5/42 #AO0693                                                                           | CUSIP: 3138LQXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107729 | PA      | $100638.07     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 11/01/2044#AL7307                                                                  | CUSIP: 3138EQDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3998418 | PA      | $4014811.01    | 0.01%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2042#G07492                                                                  | CUSIP: 3128M9UR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7707 | PA      | $7645.35       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2043#Q16049                                                                  | CUSIP: 3132J7EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100295 | PA      | $96968.77      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2046#AS7000                                                                    | CUSIP: 3138WGX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1510595 | PA      | $1364520.48    | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/41 #737901                                                                           | CUSIP: 3620ARX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112596 | PA      | $105921.56     | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07441                                                                           | CUSIP: 3132GSS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103109 | PA      | $99808.10      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/42#G07240                                                                      | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257326 | PA      | $233151.32     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #449219                                                                           | CUSIP: 36208FAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        434 | PA      | $440.84        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #323968                                                                          | CUSIP: 31374TZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        478 | PA      | $497.20        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 03/01/2045#AL6554                                                                       | CUSIP: 3138EPH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1153933 | PA      | $1114996.52    | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                                             | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     980589 | PA      | $61982.46      | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 9/35 #638082                                                                           | CUSIP: 36291T2P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        528 | PA      | $543.87        | 0.00%             | 2035-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2046#BC4760                                                                  | CUSIP: 3140F0JE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303058 | PA      | $282456.90     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #254058                                                                           | CUSIP: 31371KE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        514 | PA      | $534.61        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 08/01/2038#K94341                                                                    | CUSIP: 3132LQWA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     325939 | PA      | $316134.39     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #402895                                                                           | CUSIP: 31378MRQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        686 | PA      | $710.10        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#BJ7280                                                                  | CUSIP: 3140H9CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46581 | PA      | $45784.52      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2046#BM5199                                                                  | CUSIP: 3140J9X55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1173425 | PA      | $1162659.81    | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2051#QD1240                                                                    | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7811799 | PA      | $6884296.71    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                      | BX TRUST 2019 1ML+145 10/15/2036 144A                                                             | CUSIP: 056054AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24294700 | PA      | $23522378.79   | 0.07%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 8/32 #C01385                                                                           | CUSIP: 31292HRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10611 | PA      | $11114.51      | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.127% 11/25/2031                                                  | CUSIP: 3137H4SH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1244724.15    | 0.00%             | 2031-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8934                                                                  | CUSIP: 3138MQ4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24828 | PA      | $22590.45      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | 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        |   36424080 | PA      | $35082621.36   | 0.10%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2050#CA5122                                                                    | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10617013 | PA      | $9487497.66    | 0.03%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/24 #371692                                                                           | CUSIP: 36204J2Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         99 | PA      | $99.54         | 0.00%             | 2024-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 04/43#AB9891                                                                         | CUSIP: 36178W7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141883 | PA      | $132386.53     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 08/15/2043#AD8363                                                                  | CUSIP: 36180MJG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21509 | PA      | $20143.51      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #533981                                                                           | CUSIP: 36212HFW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         64 | PA      | $67.10         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #449982                                                                           | CUSIP: 36208F2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        583 | PA      | $600.31        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AU1687                                                                    | CUSIP: 3138X02V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36920 | PA      | $35651.55      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565952                                                                           | CUSIP: 36213VWM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1944 | PA      | $2027.90       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 1/1/43 #AR1183                                                                     | CUSIP: 3138NXJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226738 | PA      | $206300.53     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3415 PC 5% 12/37                                                                              | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     122210 | PA      | $121490.20     | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #353501                                                                           | CUSIP: 36203MU24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        459 | PA      | $471.82        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT3345                                                                  | CUSIP: 3138WQWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17195 | PA      | $15644.93      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #481133                                                                           | CUSIP: 36209TPS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1687 | PA      | $1734.22       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                     | HALLIBURTON CO 4.85% 11/15/2035                                                                   | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    7402000 | PA      | $6847691.83    | 0.02%             | 2035-11-15      | Fixed         | 0.05%                 | 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        |    6463816 | PA      | $5668385.04    | 0.02%             | 2051-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/41 #A96807                                                                           | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1621830 | PA      | $1571500.61    | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | 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        |   15266000 | PA      | $15087462.60   | 0.04%             | 2028-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #396096                                                                           | CUSIP: 31378D7H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1544 | PA      | $1605.12       | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #723418                                                                          | CUSIP: 3620A9VK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5822 | PA      | $5729.25       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/36 #901643                                                                          | CUSIP: 31410YWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3137 | PA      | $3343.38       | 0.00%             | 2036-12-01      | Fixed         | 0.07%                 | 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        |   31100000 | PA      | $29939198.72   | 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        |  146208000 | PA      | $141271495.96  | 0.41%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+172.21 10/15/2036 144A                                  | CUSIP: 05609PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25035000 | PA      | $23386933.43   | 0.07%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 5.6% 02/15/2041                                                                         | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    5656000 | PA      | $5346442.03    | 0.02%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2042#796180                                                                    | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58368 | PA      | $55951.28      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-66 SA -1ML+3960 7/37                                                                     | CUSIP: 31396WYX8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      84455 | PA      | $112886.34     | 0.00%             | 2037-07-25      | Variable      | 0.13%                 | 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        |    6427000 | PA      | $6332580.24    | 0.02%             | 2024-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 4% 10/01/2023                                                                        | CUSIP: 29250NAF2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   13445000 | PA      | $13336701.33   | 0.04%             | 2023-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #781176                                                                          | CUSIP: 36225BJV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        119 | PA      | $122.03        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC                                          | VOYA CLO 2020-2 LTD/LLC 3ML+116 07/19/2034 144A                                                   | CUSIP: 92918HAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17782000 | PA      | $17400736.14   | 0.05%             | 2034-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-7 FC 1ML+75 1/32                                                                         | CUSIP: 31392B2Z8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       6748 | PA      | $6764.69       | 0.00%             | 2032-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.00% 5/32 #003238                                                                        | CUSIP: 36202DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85998 | PA      | $88783.77      | 0.00%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2042#798467                                                                  | CUSIP: 36177TMR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103243 | PA      | $98925.03      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/34 #607116                                                                           | CUSIP: 36201YN93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        741 | PA      | $754.47        | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/23 #366568                                                                          | CUSIP: 36204DFH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         91 | PA      | $91.86         | 0.00%             | 2023-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 8/26 #C90997                                                                      | CUSIP: 3128P7DA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18049 | PA      | $18375.38      | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783261                                                                           | CUSIP: 36241LTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1085429 | PA      | $1068515.01    | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511366                                                                           | CUSIP: 31383SCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        348 | PA      | $364.14        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE8075                                                                          | CUSIP: 31419J6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2305 | PA      | $2231.24       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/40 #732376                                                                           | CUSIP: 3620AKT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12947 | PA      | $12975.76      | 0.00%             | 2040-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2041#AH5464                                                                  | CUSIP: 3138A7CA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17965 | PA      | $17792.46      | 0.00%             | 2041-07-01      | 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        |    3641000 | PA      | $2759776.06    | 0.01%             | 2042-04-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 3.4% 01/15/2028                                                                | CUSIP: 756109BH6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    7083000 | PA      | $6522169.33    | 0.02%             | 2028-01-15      | Fixed         | 0.03%                 | 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        |   41948000 | PA      | $41473261.90   | 0.12%             | 2023-06-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 0.0% 05/01/2041#1B8124                                                                   | CUSIP: 3128UGMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37262 | PA      | $37563.33      | 0.00%             | 2041-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #563100                                                                          | CUSIP: 31386GRV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        147 | PA      | $152.79        | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AA9055                                                                           | CUSIP: 31416TBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2995 | PA      | $2966.31       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 01/20/2050#BR8999                                                                      | CUSIP: 3617M77L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     159275 | PA      | $142284.01     | 0.00%             | 2050-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 8/27 #928600                                                                      | CUSIP: 31412LUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6574 | PA      | $6690.16       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 9/39 #710868                                                                           | CUSIP: 36297FW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     280420 | PA      | $288496.97     | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #728451                                                                          | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45085 | PA      | $45239.30      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AB9376                                                                  | CUSIP: 31417GM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1487666 | PA      | $1393512.80    | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AB8925                                                                  | CUSIP: 31417F4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13221 | PA      | $12029.12      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/41 #783307                                                                           | CUSIP: 36241LU87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122436 | PA      | $117536.43     | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 6.50% 2/27 #D97196                                                                      | CUSIP: 3128E37H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4255 | PA      | $4315.65       | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/40 #737442                                                                           | CUSIP: 3620ARHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19941 | PA      | $19156.05      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #709884                                                                          | CUSIP: 36297EUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7079 | PA      | $7418.77       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/39#G05497                                                                       | CUSIP: 3128M7NN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14857 | PA      | $14732.28      | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 3.15% 03/22/2030                                                       | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    9123000 | PA      | $8045035.44    | 0.02%             | 2030-03-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 05/25/2037                                                    | CUSIP: 31396VYS1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      66140 | PA      | $7448.50       | 0.00%             | 2037-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2042#794559                                                                    | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42767 | PA      | $41023.47      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #MA0583                                                                          | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4259 | PA      | $4121.89       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464694                                                                           | CUSIP: 36208YGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        152 | PA      | $155.19        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #506994                                                                           | CUSIP: 31383MGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $96.51         | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2041#AB2091                                                                    | CUSIP: 31416XKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471207 | PA      | $455893.93     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9239                                                                  | CUSIP: 31417GHR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92866 | PA      | $84495.34      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR0532                                                                  | CUSIP: 3138NWSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37545 | PA      | $34184.41      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/31 #253907                                                                           | CUSIP: 31371KAG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        292 | PA      | $308.44        | 0.00%             | 2031-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/27 #780618                                                                           | CUSIP: 36225AVK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        205 | PA      | $211.64        | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #748482                                                                           | CUSIP: 3620C4RB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87180 | PA      | $87523.81      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO IL                                                                         | CHICAGO IL TXBL-REF-PROJ-SER B                                                                    | CUSIP: 167486PG8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6950000 | PA      | $5849703.80    | 0.02%             | 2042-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/41 #AI0729                                                                           | CUSIP: 3138ADY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6070 | PA      | $6014.51       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/29 #501931                                                                           | CUSIP: 36210TSU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        280 | PA      | $286.01        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2045#BA0270                                                                    | CUSIP: 3140E4JQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268891 | PA      | $259061.87     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 02/01/2041#A96961                                                                  | CUSIP: 312945WW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54032 | PA      | $54770.38      | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13425                                                                  | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     340834 | PA      | $329840.12     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP                                      | RETAIL OPPTY INVTS PRTNRSHP LP 5% 12/15/2023                                                      | CUSIP: 76132FAA5<br>LEI: 549300KH0PNTJK9NTE57 | Long             | DBT              | CORP              | US        |    3475000 | PA      | $3435873.52    | 0.01%             | 2023-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #469082                                                                           | CUSIP: 36209ECT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        194 | PA      | $199.42        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2032#BJ2987                                                                  | CUSIP: 3140H4J96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169719 | PA      | $158033.12     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 03/15/2042#773367                                                                  | CUSIP: 36176Q6C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26640 | PA      | $25550.30      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2049#SD7509                                                                    | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11484931 | PA      | $10284614.20   | 0.03%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 05/01/2038#ZA2505                                                                  | CUSIP: 31329KYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     739237 | PA      | $700767.81     | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | 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        |         77 | PA      | $77.91         | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 1/36 #850408                                                                           | CUSIP: 31408FYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        725 | PA      | $771.05        | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2034#752919                                                                  | CUSIP: 31403MPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5150 | PA      | $5087.03       | 0.00%             | 2034-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/29 #500286                                                                           | CUSIP: 31383DXP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5001 | PA      | $5206.95       | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 03/01/2041#MA4287                                                                    | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20410 | PA      | $17338.98      | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/24 #303302                                                                          | CUSIP: 31373T3K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $197.93        | 0.00%             | 2024-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #435445                                                                          | CUSIP: 36207LWE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        643 | PA      | $656.67        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.125% 11/30/2024                                                                       | CUSIP: 9128283J7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  264890000 | PA      | $253559743.48  | 0.73%             | 2024-11-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #527248                                                                          | CUSIP: 31384LWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $484.57        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #401093                                                                          | CUSIP: 31378KRN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1312 | PA      | $1364.81       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/45#AS5764                                                                       | CUSIP: 3138WFMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1190704 | PA      | $1112368.35    | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 01/43 #Q16224                                                                           | CUSIP: 3132J7LE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19798 | PA      | $18562.18      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2048#G67713                                                                    | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7083859 | PA      | $6817938.45    | 0.02%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 1/41 #AB2068                                                                           | CUSIP: 31416XJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25606 | PA      | $24019.29      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                        | GSMS 2021-IP B 1ML+125 10/15/2036 144A                                                            | CUSIP: 36262MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3364000 | PA      | $3115260.79    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | 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        |   13061000 | PA      | $11896058.59   | 0.03%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #719574                                                                           | CUSIP: 3620A5MX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16284 | PA      | $16327.61      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                        | IL ST TAXM 7.35% 7/01/35                                                                          | CUSIP: 452152GS4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   17006786 | PA      | $17891556.94   | 0.05%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 10/01/2030#                                                                        | CUSIP: 31298B7F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $121.03        | 0.00%             | 2030-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/31 #622219                                                                          | CUSIP: 31389DG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3894 | PA      | $4031.86       | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #553437                                                                           | CUSIP: 36213FZA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        880 | PA      | $920.44        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION                                                 | CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A                                | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12004197 | PA      | $10521523.68   | 0.03%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #401788                                                                          | CUSIP: 31378LJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        214 | PA      | $220.79        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #570131                                                                          | CUSIP: 36200RLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2886 | PA      | $3023.03       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/27 #250989                                                                           | CUSIP: 31371FXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $40.43         | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 12/01/2026#                                                                          | CUSIP: 31335GQF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        296 | PA      | $306.30        | 0.00%             | 2026-12-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 03/15/30                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |   22528000 | NC      | $-500869.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #843567                                                                          | CUSIP: 31407XFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4451 | PA      | $4644.85       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #733155                                                                           | CUSIP: 3620ALQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24423 | PA      | $24496.73      | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 3.25% 01/15/2031                                                               | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    4502000 | PA      | $3903981.65    | 0.01%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #556226                                                                           | CUSIP: 36213J4K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2125 | PA      | $2225.52       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6239                                                                    | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6310511 | PA      | $5181404.63    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #473582                                                                           | CUSIP: 36209KCT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        626 | PA      | $643.73        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/23 #190215                                                                           | CUSIP: 31368HGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $40.19         | 0.00%             | 2023-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2049#FM1534                                                                  | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6222074 | PA      | $6139452.11    | 0.02%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFR4.0% MAC 03/15/28                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |   93570000 | NC      | $-1482616.65   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.5% 3/43 #AL3429                                                                            | CUSIP: 3138EKY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2380750 | PA      | $2358898.45    | 0.01%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 03/01/2037#MA2922                                                                    | CUSIP: 31418CG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3352578 | PA      | $3135248.05    | 0.01%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 11/33 #616068                                                                          | CUSIP: 36290SMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        632 | PA      | $644.23        | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 10YR NOTE FUT (CBT)MAR23 TYH3                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -2621 | NC      | $1001295.52    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #544721                                                                           | CUSIP: 36212VD22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        429 | PA      | $448.74        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 06/20/2039#004461                                                                  | CUSIP: 36202E5W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42611 | PA      | $41843.54      | 0.00%             | 2039-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/43#AL7261                                                                    | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1274377 | PA      | $1192497.67    | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | 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        |   10549000 | PA      | $9767846.55    | 0.03%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                                                   | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                                          | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8098957 | PA      | $7378815.19    | 0.02%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2047#BJ0197                                                                    | CUSIP: 3140H1GF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31872 | PA      | $30856.73      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #417739                                                                          | CUSIP: 31379FBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3193 | PA      | $3303.97       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 5.5% 09/01/2041                                                             | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    8397000 | PA      | $6968457.69    | 0.02%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 5/41 #005055                                                                        | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6522826 | PA      | $6456253.43    | 0.02%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2034#J40154                                                                    | CUSIP: 31307YE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194670 | PA      | $184659.42     | 0.00%             | 2034-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2045#Q32912                                                                  | CUSIP: 3132QPGW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75499 | PA      | $72901.25      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AE3713                                                                          | CUSIP: 31419EDT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10406 | PA      | $10310.82      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                      | BX TRUST 2019 IMC B 1ML+130 04/15/2034                                                            | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15742000 | PA      | $15188843.44   | 0.04%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 7/24 #376241                                                                           | CUSIP: 36204P5A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         23 | PA      | $22.82         | 0.00%             | 2024-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #511461                                                                           | CUSIP: 31383SFA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         58 | PA      | $60.44         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.11% 4/38 #1B3803                                                                       | CUSIP: 3128JPDH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23345 | PA      | $23421.59      | 0.00%             | 2038-04-01      | Variable      | 0.03%                 | 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        |   29277000 | PA      | $26762118.00   | 0.08%             | 2044-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2 LLC                                                                | VOYA CLO 2019-2 LLC 3ML+127 07/20/2032 144A                                                       | CUSIP: 92917RAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   31233000 | PA      | $30683330.43   | 0.09%             | 2032-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #779843                                                                          | CUSIP: 36176YEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90228 | PA      | $86561.20      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/41 #772088                                                                          | CUSIP: 36176PRH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130898 | PA      | $122689.95     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 3/42 #Q07242                                                                           | CUSIP: 3132GSLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     353961 | PA      | $342867.25     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2601 TB 5.5 4/23                                                                              | CUSIP: 31393P4T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        527 | PA      | $526.62        | 0.00%             | 2023-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2049#BN5400                                                                  | CUSIP: 3140JNAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596535 | PA      | $612770.83     | 0.00%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4% 11/15/2052                                                         | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  185000000 | PA      | $185958596.00  | 0.54%             | 2052-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/34 #605311                                                                           | CUSIP: 36200NN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28131 | PA      | $29438.92      | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96766                                                                           | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93353 | PA      | $92604.56      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 1/31 #435013                                                                           | CUSIP: 36207LGW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3913 | PA      | $4194.70       | 0.00%             | 2031-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/23 #368832                                                                          | CUSIP: 36204FVZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        168 | PA      | $168.21        | 0.00%             | 2023-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                            | KITE RLTY GROUP TRUST 4.75% 09/15/2030                                                            | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   42235000 | PA      | $37180992.23   | 0.11%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/25 #318732                                                                           | CUSIP: 31374NA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        224 | PA      | $226.75        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.125% 07/27/2026                                                                  | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   24646000 | PA      | $22989094.77   | 0.07%             | 2026-07-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.627% 6/1/41#1B8372                                                                     | CUSIP: 3128UGVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48611 | PA      | $49125.70      | 0.00%             | 2041-06-01      | Variable      | 0.04%                 | 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        |   13006217 | PA      | $10231067.31   | 0.03%             | 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        |    7918000 | PA      | $6690643.33    | 0.02%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037                                                    | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   30816000 | PA      | $32881387.55   | 0.10%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-H03 FA 1ML+55 3/60                                                                       | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1870642 | PA      | $1859441.93    | 0.01%             | 2060-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2038#AV3539                                                                    | CUSIP: 3138XE4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286780 | PA      | $276834.25     | 0.00%             | 2038-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                                                                | TOLEDO HOSPITAL/THE 5.325% 11/15/2028                                                             | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    9969000 | PA      | $7786785.90    | 0.02%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/31 #571639                                                                           | CUSIP: 31386SBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6758 | PA      | $7192.19       | 0.00%             | 2031-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #397256                                                                          | CUSIP: 31378FH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        713 | PA      | $742.41        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #773473                                                                           | CUSIP: 36176RCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68540 | PA      | $65797.21      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/31 #474760                                                                           | CUSIP: 36209LMH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2944 | PA      | $3065.42       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/28 #251886                                                                           | CUSIP: 31371GXP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $73.46         | 0.00%             | 2028-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #353479                                                                           | CUSIP: 36203MUC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5645 | PA      | $5833.49       | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2033#688077                                                                  | CUSIP: 31400HM26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19939 | PA      | $19688.35      | 0.00%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AS6967                                                                    | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168512 | PA      | $156548.74     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2042#C04320                                                                    | CUSIP: 31292LYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2935114 | PA      | $2660500.79    | 0.01%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                              | 3M CO 3.05% 04/15/2030                                                                            | CUSIP: 88579YBN0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    1519000 | PA      | $1333574.61    | 0.00%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/33 #A16699                                                                          | CUSIP: 31296RNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30375 | PA      | $30566.98      | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                                                    | CUSIP: 3136A7HT2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     105026 | PA      | $3568.07       | 0.00%             | 2027-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2017-134 BA 2.5% 11/46                                                                        | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     405403 | PA      | $363227.16     | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/26 #425073                                                                           | CUSIP: 36206YFN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        615 | PA      | $625.59        | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #476354                                                                           | CUSIP: 36209NE32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22305 | PA      | $22700.34      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 01/33#J38270                                                                       | CUSIP: 31307VFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85945 | PA      | $80098.08      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC                                        | SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC 21-25A A 3ML+98 04/19/2034 144A                       | CUSIP: 87167WAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15000000 | PA      | $14553165.00   | 0.04%             | 2034-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #466901                                                                           | CUSIP: 36209BU22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        493 | PA      | $505.51        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #396088                                                                           | CUSIP: 31378D6Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $96.43         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A97152                                                                           | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151743 | PA      | $150541.53     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#MB0249                                                                  | CUSIP: 3138MTH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39693 | PA      | $36077.95      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2042#AO6386                                                                  | CUSIP: 3138LXCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25839 | PA      | $24185.65      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2046#G60393                                                                  | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     189834 | PA      | $177509.99     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #830810                                                                           | CUSIP: 31407HAK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1585 | PA      | $1648.63       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 10/01/2034#C91793                                                                  | CUSIP: 3128P77E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3972061 | PA      | $3799773.68    | 0.01%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #778882                                                                           | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     333616 | PA      | $312932.50     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #406641                                                                           | CUSIP: 31378RWA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        163 | PA      | $167.49        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 02/01/2053 #TBA                                                                        | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  266650000 | PA      | $223950908.86  | 0.65%             | 2053-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AQ9994                                                                  | CUSIP: 3138MSC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378029 | PA      | $343954.64     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AI9692                                                                           | CUSIP: 3138APXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31422 | PA      | $30370.19      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNCL 2011-39 ZA 6% 11/32                                                                          | CUSIP: 31397SVY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     296870 | PA      | $304588.50     | 0.00%             | 2032-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9539                                                                    | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21907631 | PA      | $17987814.64   | 0.05%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AB1898                                                                          | CUSIP: 31416XDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71713 | PA      | $71014.79      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/24 #050994                                                                           | CUSIP: 313615UT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        307 | PA      | $308.62        | 0.00%             | 2024-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.972%/VAR 02/04/2033                                                 | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $14098326.90   | 0.04%             | 2033-02-04      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #450596                                                                           | CUSIP: 36208GRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        706 | PA      | $721.94        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | 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        |   15033508 | PA      | $13427370.23   | 0.04%             | 2061-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/35 #830991                                                                           | CUSIP: 31407HF84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2637 | PA      | $2767.03       | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21255                                                                  | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168483 | PA      | $162842.83     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2046#Q39936                                                                    | CUSIP: 3132QXBE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50004 | PA      | $48142.43      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2049#BJ8459                                                                    | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337381 | PA      | $298641.31     | 0.00%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR 21-BMR E 1ML+185.6 03/15/2036 144A                                           | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5605879 | PA      | $5303420.86    | 0.02%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #782918                                                                           | CUSIP: 36241LG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     535212 | PA      | $536866.86     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | 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        |   20222491 | PA      | $15304897.14   | 0.04%             | 2040-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 4.2% 04/01/2050                                                                    | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    4263000 | PA      | $3546772.65    | 0.01%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 08/01/2037#MA3128                                                                  | CUSIP: 31418CPN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11122 | PA      | $10567.42      | 0.00%             | 2037-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2046#BC0796                                                                    | CUSIP: 3140EU3E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2314654 | PA      | $2230042.04    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                                      | DISCOVER BANK 3.35% 02/06/2023                                                                    | CUSIP: 25466AAK7<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    5980000 | PA      | $5968938.26    | 0.02%             | 2023-02-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   10200000 | NC      | $125198.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/29 #491644                                                                           | CUSIP: 36210GER1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        119 | PA      | $124.77        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/42 #AK1411                                                                           | CUSIP: 3138E5R91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37137 | PA      | $35971.46      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2051#QD3200                                                                    | CUSIP: 3133B0RV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29975 | PA      | $26394.57      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | 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        |   12313855 | PA      | $11934235.72   | 0.03%             | 2029-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2041#A97673                                                                  | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1014054 | PA      | $1006025.73    | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | 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        |        950 | PA      | $976.20        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #464920                                                                           | CUSIP: 36208YPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1384 | PA      | $1424.95       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 01/01/2036#MA4228                                                                  | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7599473 | PA      | $6630929.95    | 0.02%             | 2036-01-01      | Fixed         | 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 5.5% 01/15/2030 144A                           | CUSIP: 46590XAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5250000 | PA      | $4995480.00    | 0.01%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #724223                                                                           | CUSIP: 3620AASL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     564979 | PA      | $555940.64     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#741529                                                                  | CUSIP: 31402XY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25490 | PA      | $25174.32      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #396837                                                                          | CUSIP: 36205PZA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        580 | PA      | $592.09        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                          | CUSIP: 31293LSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $123.02        | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 2/41 #AH3127                                                                           | CUSIP: 3138A4PM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1624 | PA      | $1609.42       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723224                                                                          | CUSIP: 3620A9PH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63430 | PA      | $63600.66      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYMP 2022-32A A1                                                                   | SYMP 2022-32A A1 TSFR3M+132 04/23/2035 144A                                                       | CUSIP: 87168NAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   39612000 | PA      | $38702864.99   | 0.11%             | 2035-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2884                                                                  | CUSIP: 3138EKF26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140245 | PA      | $126950.57     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/25 #325499                                                                           | CUSIP: 31374VRU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $9.83          | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 12/40 #C03633                                                                          | CUSIP: 31292LBA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18540 | PA      | $17967.06      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |   23803000 | PA      | $22648887.50   | 0.07%             | 2024-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/24 #313987                                                                          | CUSIP: 31374GXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        556 | PA      | $558.01        | 0.00%             | 2024-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2041#792596                                                                    | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12609 | PA      | $12094.04      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/30 #527725                                                                           | CUSIP: 31384MHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $61.25         | 0.00%             | 2030-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MFT 2021-3A A                                                                      | MFT 2021-3A A 0.65% 12/15/2031 144A                                                               | CUSIP: 57108QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4319315 | PA      | $4263014.83    | 0.01%             | 2031-12-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2041#750185                                                                  | CUSIP: 3620C6NA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32388 | PA      | $31067.89      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 11/01/2031#ZK8400                                                                  | CUSIP: 3131XCKM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     468810 | PA      | $438873.20     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #550866                                                                           | CUSIP: 36213C6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         93 | PA      | $97.71         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2022                                                                     | BPR TRUST 2022 TSFR1M+229.667 04/15/2024 144A                                                     | CUSIP: 05592DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19373000 | PA      | $18201355.83   | 0.05%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2041#AH0064                                                                  | CUSIP: 3138A1CA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29807 | PA      | $29532.97      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2041#AC9301                                                                  | CUSIP: 31417WKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30588 | PA      | $30941.31      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 02/01/2037#AS8773                                                                    | CUSIP: 3138WJXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1298034 | PA      | $1213889.41    | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2031#CA3178                                                                    | CUSIP: 3140QAQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198721 | PA      | $190697.48     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2043#AV9123                                                                  | CUSIP: 3138XMD56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13060 | PA      | $12946.87      | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 11/42 #AQ0206                                                                          | CUSIP: 3138MFGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104686 | PA      | $97834.20      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/39 #A90393                                                                          | CUSIP: 312938NJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5729 | PA      | $5801.90       | 0.00%             | 2039-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                        | MOODYS CORP 3.75% 03/24/2025                                                                      | CUSIP: 615369AS4<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   21924000 | PA      | $21315994.20   | 0.06%             | 2025-03-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2032#                                                                          | CUSIP: 31287NDD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9505 | PA      | $9792.12       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07351                                                                           | CUSIP: 3132GSQC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39524 | PA      | $38325.75      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 12/40 #A95796                                                                          | CUSIP: 312944NM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95663 | PA      | $92703.50      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AB9858                                                                  | CUSIP: 31417G5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5620213 | PA      | $5103084.02    | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                | ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030                                                    | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   17745000 | PA      | $17287486.17   | 0.05%             | 2030-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                                  | CBRE SERVICES INC 2.5% 04/01/2031                                                                 | CUSIP: 12505BAE0<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   23518000 | PA      | $18536761.54   | 0.05%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 2.75% 09/01/2031                                                             | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |   18732000 | PA      | $13563848.32   | 0.04%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02345                                                                  | CUSIP: 3132GFTA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36454 | PA      | $36721.33      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 5.45% 06/15/2023                                                               | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5972000 | PA      | $5975778.25    | 0.02%             | 2023-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 3/26 #D96943                                                                      | CUSIP: 3128E3WC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6000 | PA      | $6092.47       | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2049#QA4865                                                                    | CUSIP: 31346YMN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298283 | PA      | $265524.56     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/23 #321957                                                                           | CUSIP: 36223YTN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10 | PA      | $10.09         | 0.00%             | 2023-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.05% 7/34 #801635                                                                       | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4811 | PA      | $4823.10       | 0.00%             | 2034-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCKLAND PARK CLO LTD                                                              | ROCKLAND PARK CLO LTD 3ML+112 04/20/2034 144A                                                     | CUSIP: 773663AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   35857000 | PA      | $34991483.73   | 0.10%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-104 GI -1ML+688 11/36                                                                    | CUSIP: 31396LMA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     182347 | PA      | $16834.34      | 0.00%             | 2036-11-25      | Variable      | 0.02%                 | 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        |   42970000 | PA      | $39898968.48   | 0.12%             | 2036-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 1/41 #A96413                                                                           | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1963060 | PA      | $1902282.99    | 0.01%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #569233                                                                           | CUSIP: 36200QLN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         33 | PA      | $34.33         | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2044#AV4489                                                                  | CUSIP: 3138XF7B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200836 | PA      | $194184.55     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG AS GTD RE PTT                                                     | FEDERAL NATL MTG AS GTD RE PTT 1ML+ 06/25/2048                                                    | CUSIP: 3136B13G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    6169552 | PA      | $660844.13     | 0.00%             | 2048-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 03/01/2041#MA4286                                                                  | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2093405 | PA      | $1711877.02    | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #460837                                                                           | CUSIP: 36208T4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        154 | PA      | $158.18        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AS0407                                                                  | CUSIP: 3138W9NZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133266 | PA      | $121004.28     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2044#AL7195                                                                  | CUSIP: 3138EP7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1295964 | PA      | $1179149.51    | 0.00%             | 2044-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22682                                                                  | CUSIP: 3132JP6T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56221 | PA      | $54321.20      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #446073                                                                           | CUSIP: 36207YQ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        134 | PA      | $135.76        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                                                        | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1224765 | PA      | $1235627.17    | 0.00%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/40#AE3576                                                                         | CUSIP: 31419D6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227519 | PA      | $220181.10     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH4872                                                                  | CUSIP: 3138A6MW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12667 | PA      | $12254.98      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #501998                                                                           | CUSIP: 31383FUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4077 | PA      | $4302.09       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE5066                                                                          | CUSIP: 31419FTY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38136 | PA      | $36925.48      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2018-IND                                                                     | BX TR 2018-EXCL 1ML+262.5 7/19 144A                                                               | CUSIP: 12433WAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7116200 | PA      | $6345460.76    | 0.02%             | 2037-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 03/01/2053 #TBA                                                                        | CUSIP: 21H020634<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29650000 | PA      | $24921785.66   | 0.07%             | 2053-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES LVIII CLO LLC                                                                 | ARES LVIII CLO LLC SOFR90A+133 01/15/2035 144A                                                    | CUSIP: 04018AAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   37068000 | PA      | $35576383.68   | 0.10%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/40 #711483                                                                           | CUSIP: 36297GM80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53616 | PA      | $51493.94      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2051#                                                                        | CUSIP: 3133B1GE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1811404 | PA      | $1651901.43    | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/45#G08659                                                                    | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6114 | PA      | $5717.27       | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 11/27 #256993                                                                     | CUSIP: 31371NNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27057 | PA      | $27535.30      | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 01/01/2053 #TBA                                                                        | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -271200000 | PA      | $-241551466.80 | -0.70%            | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                          | NATWEST GRP PLC(UNGTD) 5.125% 05/28/2024                                                          | CUSIP: 780099CH8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  125085000 | PA      | $123904183.84  | 0.36%             | 2024-05-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2041#AH7450                                                                  | CUSIP: 3138A9H49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41168 | PA      | $41545.00      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 11/42 #AQ0170                                                                          | CUSIP: 3138MFFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354208 | PA      | $330943.10     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 02/01/2034#SB0179                                                                    | CUSIP: 3132CWFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35407291 | PA      | $33579290.43   | 0.10%             | 2034-02-01      | 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        |   35454000 | PA      | $29743368.20   | 0.09%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/28 #475419                                                                           | CUSIP: 36209MDY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        710 | PA      | $734.25        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 4.25% 12/01/2026                                                                     | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    8321000 | PA      | $7999897.19    | 0.02%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                       | WP CAREY INC 4% 02/01/2025                                                                        | CUSIP: 92936UAC3<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   26847000 | PA      | $26160347.44   | 0.08%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 12/15/2042#AA5897                                                                  | CUSIP: 36178DRS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     669509 | PA      | $607368.93     | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2045#AZ7335                                                                    | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     869243 | PA      | $837468.22     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAMB COML MTG TR 2019-LIFE                                                         | CAMB COML MTG TR 2019-LIFE A 1ML+107 12/15/2037 144A                                              | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11218000 | PA      | $11048754.03   | 0.03%             | 2037-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/1/42 #AQ7097                                                                    | CUSIP: 3138MN3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151141 | PA      | $141575.57     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.5% 05/15/2031                                                    | CUSIP: 3137AQ6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     340068 | PA      | $10037.58      | 0.00%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #825795                                                                           | CUSIP: 31407BNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2204 | PA      | $2215.69       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/26 #572166                                                                          | CUSIP: 31386STX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        469 | PA      | $478.68        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293TDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        438 | PA      | $445.46        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    5450000 | NC      | $66895.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7425                                                                  | CUSIP: 31417EHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89773 | PA      | $81680.94      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                           | NIKE INC 2.75% 03/27/2027                                                                         | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    6632000 | PA      | $6194151.31    | 0.02%             | 2027-03-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #447756                                                                           | CUSIP: 36208DMD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        941 | PA      | $970.97        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q17646                                                                  | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1240538 | PA      | $1163100.64    | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #723740                                                                           | CUSIP: 3620AABH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61939 | PA      | $60970.04      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 10/15/2041#775540                                                                    | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108250 | PA      | $103794.28     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   11100000 | NC      | $136245.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                      | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC 3ML+113 10/25/2034 144A                             | CUSIP: 15033TAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16882000 | PA      | $16387205.46   | 0.05%             | 2034-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                                      | DISCOVER BANK 4.682%/VAR 08/09/2028                                                               | CUSIP: 25466AAN1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |   23162000 | PA      | $22230423.67   | 0.06%             | 2028-08-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                                  | ENTERPRISE PRODS OPER LLC 3.75% 02/15/2025                                                        | CUSIP: 29379VBE2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     285000 | PA      | $277105.73     | 0.00%             | 2025-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/25 #414500                                                                           | CUSIP: 36206LNR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $57.26         | 0.00%             | 2025-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6% 11/35 #AD0687                                                                             | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     873549 | PA      | $904758.65     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.88% 1/35 #848084                                                                       | CUSIP: 3128JR6V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3727 | PA      | $3771.27       | 0.00%             | 2035-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #418148                                                                          | CUSIP: 36206QP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3138 | PA      | $3191.84       | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #704775                                                                          | CUSIP: 36296X6L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33623 | PA      | $33700.04      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H13 FA 1ML+50 4/61                                                                       | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     667510 | PA      | $662357.30     | 0.00%             | 2061-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #471314                                                                           | CUSIP: 36209GSB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1784 | PA      | $1870.14       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | 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        |    3663000 | PA      | $3586139.27    | 0.01%             | 2032-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2037#G02671                                                                  | CUSIP: 3128M4JQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4881 | PA      | $4830.18       | 0.00%             | 2037-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #449039                                                                           | CUSIP: 36208EZC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        270 | PA      | $278.30        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 08/15/2043#AD5682                                                                    | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28005 | PA      | $26902.47      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/26 #411561                                                                           | CUSIP: 36206HFA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        450 | PA      | $458.17        | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #489861                                                                           | CUSIP: 36210EFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23343 | PA      | $22378.10      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/25 #330664                                                                          | CUSIP: 31375CJH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $33.52         | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #582134                                                                           | CUSIP: 36201FV38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1910 | PA      | $2006.85       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4% 09/01/2039#MA3773                                                                    | CUSIP: 31418DFP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76933 | PA      | $74409.01      | 0.00%             | 2039-09-01      | 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        |        816 | PA      | $853.17        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                       | DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050                                                     | CUSIP: 25470DBH1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   39956000 | PA      | $27478394.48   | 0.08%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #394197                                                                           | CUSIP: 31378B3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        601 | PA      | $620.38        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #313711                                                                           | CUSIP: 31374GN45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        244 | PA      | $252.34        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#CB2842                                                                    | CUSIP: 3140QNEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31855558 | PA      | $26125947.38   | 0.08%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #783532                                                                           | CUSIP: 36241L4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113854 | PA      | $106795.57     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031                                                      | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   60800000 | PA      | $56994262.30   | 0.16%             | 2031-04-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0988                                                                  | CUSIP: 3138NXC21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40387 | PA      | $36708.72      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #545170                                                                           | CUSIP: 36212VT33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        749 | PA      | $782.44        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045                                            | CUSIP: 38380T6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3540904 | PA      | $3250883.94    | 0.01%             | 2045-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 01/47#MA4197                                                                           | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65830 | PA      | $63467.95      | 0.00%             | 2047-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2042 #AB5652                                                                 | CUSIP: 31417CH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72575 | PA      | $65685.63      | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                        | IL ST 4.95% 06/01/23                                                                              | CUSIP: 452151LE1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6234545 | PA      | $6237796.79    | 0.02%             | 2023-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                        | CUSIP: 3128FQ4A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        734 | PA      | $769.00        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #498693                                                                           | CUSIP: 31383B7E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2837 | PA      | $2992.22       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.224% 4/41#1B8179                                                                       | CUSIP: 3128UGPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4723 | PA      | $4759.02       | 0.00%             | 2041-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2044#V80950                                                                  | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175264 | PA      | $169341.89     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #443834                                                                          | CUSIP: 36207WBB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        986 | PA      | $1011.26       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2049#CA2963                                                                  | CUSIP: 3140QAJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45765 | PA      | $44799.59      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC                                    | MADISON PK FDG XLV LLC 2020-45A AR 3ML+112 07/15/2034 144A                                        | CUSIP: 55820BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   19039000 | PA      | $18560873.59   | 0.05%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6233                                                                           | CUSIP: 3138A74T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94635 | PA      | $91590.03      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2044#Q26605                                                                  | CUSIP: 3132M7AE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50897 | PA      | $49256.68      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2048#BJ9174                                                                  | CUSIP: 3140HBFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     665544 | PA      | $684074.55     | 0.00%             | 2048-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2052#CB5259                                                                  | CUSIP: 3140QQZZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6485460 | PA      | $6318272.83    | 0.02%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE5 MTG TR                                                             | COMM 2012-CCRE5 MTG TR 3.223% 12/10/2045 144A                                                     | CUSIP: 12623SAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153849 | PA      | $153611.07     | 0.00%             | 2045-12-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2040#AE6222                                                                  | CUSIP: 31419G4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16024 | PA      | $15501.81      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q01871                                                                  | CUSIP: 3132GFCG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76992 | PA      | $78048.62      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 09/01/2026#                                                                        | CUSIP: 3128FGB29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $131.52        | 0.00%             | 2026-09-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#AZ7222                                                                  | CUSIP: 3140E0AY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422443 | PA      | $407000.69     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLTOWER INC                                                                      | WELLTOWER INC 4% 06/01/2025                                                                       | CUSIP: 42217KBF2<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    4568000 | PA      | $4449414.72    | 0.01%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 2/27 #399107                                                                           | CUSIP: 36205SKU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2730 | PA      | $2805.06       | 0.00%             | 2027-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #733726                                                                           | CUSIP: 3620AMD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1233363 | PA      | $1237423.28    | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 14-CCRE18 MTG TR                                                              | COMM 14-CCRE18 MTG TR 3.828% 07/15/2047                                                           | CUSIP: 12632QAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5493000 | PA      | $5330208.35    | 0.02%             | 2047-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2011-67 AI IO 4% 7/26                                                                         | CUSIP: 31397U4B2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      37004 | PA      | $1036.04       | 0.00%             | 2026-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/31 #637890                                                                          | CUSIP: 31389WUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12970 | PA      | $13735.93      | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/25 #318544                                                                           | CUSIP: 31374MZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        198 | PA      | $201.22        | 0.00%             | 2025-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/34 #781813                                                                          | CUSIP: 36241KAN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5558 | PA      | $5546.48       | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIII LTD                                                                | MAGNETITE XXIII LTD 3ML+113 01/25/2035 144A                                                       | CUSIP: 55954NAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   23616000 | PA      | $22946344.70   | 0.07%             | 2035-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/24 #354832                                                                           | CUSIP: 36203PED1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         88 | PA      | $88.74         | 0.00%             | 2024-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2043#AD2150                                                                  | CUSIP: 36180DL70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     345106 | PA      | $323309.06     | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #593193                                                                           | CUSIP: 36201T7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        312 | PA      | $319.92        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 9/42 #AA5658                                                                           | CUSIP: 36178DJB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51606 | PA      | $48317.56      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722701                                                                          | CUSIP: 3620A83J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68409 | PA      | $67342.59      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #423082                                                                           | CUSIP: 36206V6T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1691 | PA      | $1747.08       | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.65% 05/01/2042#AO3781                                                                 | CUSIP: 3138LUFX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21642 | PA      | $20366.58      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/48#BK4838                                                                         | CUSIP: 3140HJLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65142 | PA      | $62455.61      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 9/35 #A37119                                                                           | CUSIP: 31297S4C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70902 | PA      | $71510.89      | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/38 #G04334                                                                           | CUSIP: 3128M6EF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270012 | PA      | $272752.79     | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/38 #A78486                                                                           | CUSIP: 3128LCNB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5443 | PA      | $5499.74       | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | 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        |    6823063 | PA      | $5731646.07    | 0.02%             | 2046-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #582029                                                                           | CUSIP: 36201FSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1279 | PA      | $1331.23       | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                                           | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     754522 | PA      | $701517.95     | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 10/01/2050#SD0450                                                                  | CUSIP: 3132DMQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4546827 | PA      | $3897942.76    | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+274.6 04/15/2024 144A                                                    | CUSIP: 05609WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3532692 | PA      | $3333572.75    | 0.01%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #419275                                                                          | CUSIP: 36206RXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        457 | PA      | $466.18        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/41 #768137                                                                           | CUSIP: 36176KEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84411 | PA      | $80997.31      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB3769                                                                  | CUSIP: 36178QFJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23358 | PA      | $21966.73      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/29 #478716                                                                           | CUSIP: 36209QYM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        155 | PA      | $162.54        | 0.00%             | 2029-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 07/51#QC4163                                                                         | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1831955 | PA      | $1506462.82    | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | 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        |        239 | PA      | $245.85        | 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        |       4269 | PA      | $4394.72       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.869% 5/36 #995608                                                                      | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29329 | PA      | $29650.74      | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #727692                                                                          | CUSIP: 3620AENH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14822 | PA      | $15518.65      | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33623                                                                  | CUSIP: 3132QQAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84635 | PA      | $79193.59      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2041#Q03517                                                                  | CUSIP: 3132GJSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42387 | PA      | $42051.11      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                | SYNCHRONY FINANCIAL 3.95% 12/01/2027                                                              | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   37530000 | PA      | $33471102.73   | 0.10%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 11/27 #412362                                                                          | CUSIP: 36206JB78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        254 | PA      | $264.72        | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUXEMBOURG                                                        | SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A                                                | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |   11400000 | PA      | $10496436.00   | 0.03%             | 2049-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/25 #307059                                                                           | CUSIP: 31373YB40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        306 | PA      | $311.04        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97945                                                                           | CUSIP: 312946ZJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1738913 | PA      | $1725139.40    | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2043#666409                                                                  | CUSIP: 36295CKW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19641 | PA      | $18394.01      | 0.00%             | 2043-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02067                                                                  | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     159692 | PA      | $161898.31     | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #554247                                                                           | CUSIP: 36213GWG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2748 | PA      | $2878.94       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2043#Q19744                                                                  | CUSIP: 3132JBHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156141 | PA      | $150914.06     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/31 #604935                                                                          | CUSIP: 31388HBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        510 | PA      | $537.12        | 0.00%             | 2031-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 7/32 #G01433                                                                           | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1136 | PA      | $1189.62       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #643105                                                                           | CUSIP: 31390DNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        948 | PA      | $1009.54       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #759152                                                                           | CUSIP: 36230UEZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40778 | PA      | $39142.81      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG 2012-14 CLASS JS 1ML+665 12/25/2030                                               | CUSIP: 3136A4WY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     110367 | PA      | $768.89        | 0.00%             | 2030-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 10/20/2049#MA6218                                                                      | CUSIP: 36179U4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102581 | PA      | $92488.02      | 0.00%             | 2049-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #719262                                                                           | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225753 | PA      | $226570.29     | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513653                                                                           | CUSIP: 36211HTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        204 | PA      | $211.01        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 2.95% 04/01/2030                                                                      | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   24600000 | PA      | $20974016.58   | 0.06%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2039#AV6645                                                                    | CUSIP: 3138XJL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306791 | PA      | $296055.53     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 07/01/2036#MA2672                                                                    | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20622 | PA      | $19285.50      | 0.00%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 12/01/2032#                                                                          | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3146 | PA      | $3248.96       | 0.00%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3123 LO 0% 3/36                                                                               | CUSIP: 31396JPR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     166531 | PA      | $133467.67     | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/23 #050725                                                                           | CUSIP: 313615LE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $3.77          | 0.00%             | 2023-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34623                                                                    | CUSIP: 31307RD44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70168 | PA      | $66932.40      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #459593                                                                           | CUSIP: 36208SRN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2134 | PA      | $2198.37       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2043#AR6445                                                                  | CUSIP: 3138W4ET4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3376 | PA      | $3349.15       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #597037                                                                           | CUSIP: 31387XHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        536 | PA      | $557.14        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2051#                                                                        | CUSIP: 3133AMTD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     918767 | PA      | $839946.63     | 0.00%             | 2051-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 2.65% 08/15/2030                                                                          | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $7293576.60    | 0.02%             | 2030-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #779846                                                                          | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51791 | PA      | $49711.26      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 3/40 #711495                                                                           | CUSIP: 36297GNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1139831 | PA      | $1094889.03    | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 2056 Z 6% 5/28                                                                                | CUSIP: 3133TDZM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      75892 | PA      | $77029.70      | 0.00%             | 2028-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                                  | MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A                                        | CUSIP: 61771LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5196000 | PA      | $4534777.30    | 0.01%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 1686 FA 1ML+90 2/24                                                                           | CUSIP: 3133T4DV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       3539 | PA      | $3540.56       | 0.00%             | 2024-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 2.55% 12/01/2033                                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   53719000 | PA      | $41283575.26   | 0.12%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3036                                                                    | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4476290 | PA      | $3672573.60    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.65% 08/15/2032                                                                 | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   32200000 | PA      | $29975102.04   | 0.09%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.93% 05/01/2060                                                                        | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   12640000 | PA      | $11514334.94   | 0.03%             | 2060-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 02/01/2042#RB5145                                                                    | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1328250 | PA      | $1119648.32    | 0.00%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 9/23 #125229                                                                           | CUSIP: 31365EA60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.46          | 0.00%             | 2023-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/27 #780499                                                                           | CUSIP: 36225ARU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        219 | PA      | $222.92        | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.183% 11/25/2027                                                     | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   22749000 | PA      | $21577440.60   | 0.06%             | 2027-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/27 #357002                                                                           | CUSIP: 31376JRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        267 | PA      | $276.05        | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/28 #486467                                                                           | CUSIP: 36210AMQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         89 | PA      | $91.98         | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737035                                                                           | CUSIP: 3620AQY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8662 | PA      | $8524.98       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/44#Q28370                                                                    | CUSIP: 3132M86F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185792 | PA      | $179340.24     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #717997                                                                          | CUSIP: 3620A3UW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35208 | PA      | $35300.19      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/29 #527286                                                                          | CUSIP: 31384LXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2999 | PA      | $3122.09       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-81 PC 5.5% 9/35                                                                          | CUSIP: 31394FCS2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     123741 | PA      | $126630.21     | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #735701                                                                           | CUSIP: 3620APKN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23140 | PA      | $23227.25      | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #705923                                                                           | CUSIP: 36297AG80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22809 | PA      | $21868.88      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2033#BJ4876                                                                    | CUSIP: 3140H6M22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198421 | PA      | $188177.38     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AU2287                                                                    | CUSIP: 36194PRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98417 | PA      | $91430.43      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | 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        |   12629000 | PA      | $10564663.66   | 0.03%             | 2067-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #447984                                                                           | CUSIP: 36208DUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1344 | PA      | $1383.36       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 2/35 #A47133                                                                           | CUSIP: 3128K74S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39430 | PA      | $39570.30      | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297R6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1180 | PA      | $1191.06       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #722705                                                                          | CUSIP: 3620A83N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4258 | PA      | $4262.14       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | 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        |   60730000 | PA      | $57335566.49   | 0.17%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297RYJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3894 | PA      | $3926.71       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #563407                                                                           | CUSIP: 36213S3Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2704 | PA      | $2833.31       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 2.25% 01/15/2023                                                                   | CUSIP: 00914AAD4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    6049000 | PA      | $6043246.43    | 0.02%             | 2023-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 2.6% 05/11/2023                                                        | CUSIP: 14040HCD5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   31704000 | PA      | $31446884.68   | 0.09%             | 2023-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                | INTESA SANPAOLO SPA 5.017% 06/26/2024 144A                                                        | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   21002000 | PA      | $20197321.81   | 0.06%             | 2024-06-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #743475                                                                           | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76211 | PA      | $76486.99      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/39 #698214                                                                           | CUSIP: 36296QVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9396 | PA      | $9418.21       | 0.00%             | 2039-06-15      | Fixed         | 0.05%                 | 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        |   32804000 | PA      | $30118604.86   | 0.09%             | 2026-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/25 #376256                                                                           | CUSIP: 36204P5R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2191 | PA      | $2229.74       | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2046#BD9690                                                                  | CUSIP: 3140FHXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391692 | PA      | $364699.33     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22486                                                                  | CUSIP: 3132JPXP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42635 | PA      | $41194.47      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 11/24 #385989                                                                          | CUSIP: 36205BXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        146 | PA      | $147.90        | 0.00%             | 2024-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #394970                                                                           | CUSIP: 31378CW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         54 | PA      | $56.57         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                             | DISCOVER FINANCIAL SVS 3.95% 11/06/2024                                                           | CUSIP: 254709AK4<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |   41289000 | PA      | $40188580.85   | 0.12%             | 2024-11-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8701                                                                  | CUSIP: 31417FU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22524 | PA      | $20493.42      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/23 #348177                                                                           | CUSIP: 36203FXE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $56.75         | 0.00%             | 2023-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH 1.38% 07/15/2038 144A                                              | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9258207 | PA      | $8898209.04    | 0.03%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 12/31#ZK8422                                                                       | CUSIP: 3131XCLB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3478913 | PA      | $3256760.00    | 0.01%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 07/15/2040#745191                                                                  | CUSIP: 3620C02Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        822 | PA      | $808.89        | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/32 #659161                                                                           | CUSIP: 31390XJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18215 | PA      | $19417.80      | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 2% 01/01/2038 #TBA                                                                      | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -215300000 | PA      | $-191778496.53 | -0.55%            | 2038-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-39 FD 1ML+100 3/32                                                                       | CUSIP: 31392DPW6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      13204 | PA      | $13354.16      | 0.00%             | 2032-03-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #458387                                                                           | CUSIP: 36208RF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1325 | PA      | $1363.33       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/38 #782360                                                                           | CUSIP: 36241KTR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        561 | PA      | $575.42        | 0.00%             | 2038-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #474137                                                                           | CUSIP: 36209KV62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        123 | PA      | $126.60        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                         | CIGNA CORP 4.375% 10/15/2028                                                                      | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   29050000 | PA      | $28016806.25   | 0.08%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ2387                                                                          | CUSIP: 3138ATUM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20399 | PA      | $19733.75      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 5.75% 08/15/2042                                                                       | CUSIP: 91529YAJ5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   29395000 | PA      | $26421744.84   | 0.08%             | 2042-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H21 FA 1ML+60 10/61                                                                      | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1061529 | PA      | $1055662.42    | 0.00%             | 2061-10-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 11/01/2036#AS8355                                                                    | CUSIP: 3138WJH92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1701636 | PA      | $1591327.66    | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/25 #250414                                                                          | CUSIP: 31371FDT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         65 | PA      | $66.27         | 0.00%             | 2025-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/42#G60517                                                                       | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2044580 | PA      | $2028386.31    | 0.01%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/1/42 #Q13148                                                                      | CUSIP: 3132HPP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154903 | PA      | $140293.13     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | 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        |      12666 | PA      | $13480.70      | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO                                                                    | DOW CHEMICAL CO 4.55% 11/30/2025                                                                  | CUSIP: 260543CN1<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |   13459000 | PA      | $13368342.33   | 0.04%             | 2025-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293TF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        116 | PA      | $118.81        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 10/01/2031#G15963                                                                  | CUSIP: 3128MEZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     593913 | PA      | $557218.46     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24971                                                                  | CUSIP: 3132M5FL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66725 | PA      | $64470.48      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | 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        |       6865 | PA      | $7201.32       | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #444009                                                                          | CUSIP: 36207WGS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1137 | PA      | $1178.33       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/26 #346292                                                                           | CUSIP: 31375VUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $32.81         | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3433                                                                    | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2037554 | PA      | $1671711.54    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AR3062                                                                    | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144568 | PA      | $134304.51     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #460654                                                                          | CUSIP: 36208TWP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        723 | PA      | $748.35        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 04/01/2027#                                                                          | CUSIP: 3128FMF97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4893 | PA      | $5068.06       | 0.00%             | 2027-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/29 #507427                                                                           | CUSIP: 31383MVU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3213 | PA      | $3375.53       | 0.00%             | 2029-07-01      | 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        |      52881 | PA      | $55348.89      | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BE3663                                                                  | CUSIP: 3140FPB99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3529827 | PA      | $3477164.25    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042 144A                                                    | CUSIP: 21871XAJ8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    3537000 | PA      | $2901574.84    | 0.01%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/40 #746823                                                                          | CUSIP: 3620C2VQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33108 | PA      | $31830.49      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 03/20/2043#AD8884                                                                    | CUSIP: 36180M2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     381338 | PA      | $355814.81     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5.00% 6/24 #995957                                                                      | CUSIP: 31416CME3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12008 | PA      | $11960.48      | 0.00%             | 2024-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.24% 6/33 #847147                                                                       | CUSIP: 3128HD5G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99480 | PA      | $100274.58     | 0.00%             | 2033-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 2/36 #745575                                                                           | CUSIP: 31403DJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1072 | PA      | $1135.15       | 0.00%             | 2036-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 10/42 #Q12211                                                                          | CUSIP: 3132HNN47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62382 | PA      | $58364.47      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 10/01/2042#AQ0861                                                                  | CUSIP: 3138MF5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6375 | PA      | $5838.67       | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #422973                                                                           | CUSIP: 36206V2E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1150 | PA      | $1185.33       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96695                                                                           | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107819 | PA      | $106916.88     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #768127                                                                           | CUSIP: 36176KD87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57024 | PA      | $54775.22      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #416823                                                                           | CUSIP: 31379EAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        606 | PA      | $626.56        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #379287                                                                           | CUSIP: 31377KJ89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        132 | PA      | $134.75        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #569213                                                                           | CUSIP: 36200QK29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2291 | PA      | $2404.63       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 12/25/2036                                                    | CUSIP: 31396LZK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     122906 | PA      | $11858.48      | 0.00%             | 2036-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #717956                                                                           | CUSIP: 3620A3TM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11179 | PA      | $11212.60      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2041#                                                                          | CUSIP: 3132GK4R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48558 | PA      | $47089.25      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                           | LIBERTY MUTUAL GROUP INC 3.951% 10/15/2050 144A                                                   | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    4626000 | PA      | $3226997.12    | 0.01%             | 2050-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6241                                                                    | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30794108 | PA      | $25274658.65   | 0.07%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #495202                                                                           | CUSIP: 36210LDF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        400 | PA      | $413.80        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/26 #328952                                                                           | CUSIP: 31375AL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        161 | PA      | $165.32        | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2044#Q28059                                                                  | CUSIP: 3132M8TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31469 | PA      | $30386.35      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2045#AK8698                                                                  | CUSIP: 36183SUX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     253538 | PA      | $230934.84     | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/40 #A91937                                                                           | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     335233 | PA      | $339532.37     | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 1ML+0.52 10/20/2062                                                  | CUSIP: 38375BXV9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      21468 | PA      | $21306.68      | 0.00%             | 2062-10-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 4/27 #928257                                                                      | CUSIP: 31412LJA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1650 | PA      | $1677.36       | 0.00%             | 2027-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #436026                                                                          | CUSIP: 36207MLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        606 | PA      | $624.99        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2044#Q25624                                                                  | CUSIP: 3132M54H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45536 | PA      | $43982.74      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/32 #545513                                                                           | CUSIP: 31385JAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        656 | PA      | $687.56        | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293TDP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $85.54         | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #456183                                                                           | CUSIP: 36208NXL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        138 | PA      | $141.17        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/40 #AE8956                                                                          | CUSIP: 31419K5S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3599 | PA      | $3565.96       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                                                         | HASBRO INC 3% 11/19/2024                                                                          | CUSIP: 418056AX5<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   19745000 | PA      | $18970353.89   | 0.05%             | 2024-11-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/34 #626497                                                                           | CUSIP: 36291E7J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2825 | PA      | $2880.04       | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#CB2048                                                                  | CUSIP: 3140QMH23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34686217 | PA      | $29589760.80   | 0.09%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #565049                                                                           | CUSIP: 36213UWJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1108 | PA      | $1156.45       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030                                                     | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   67720000 | PA      | $60878555.85   | 0.18%             | 2030-03-15      | Fixed         | 0.04%                 | 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        |   30384590 | PA      | $29421827.20   | 0.09%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2121 MG 6% 2/29                                                                               | CUSIP: 3133TJA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      38389 | PA      | $38992.80      | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.5% 04/01/2063   | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11421000 | PA      | $8708631.51    | 0.03%             | 2063-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 3/37 #A58828                                                                           | CUSIP: 3128KMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2542 | PA      | $2718.65       | 0.00%             | 2037-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/27 #371593                                                                           | CUSIP: 31377AXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        788 | PA      | $815.52        | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 02/01/2042#FS0617                                                                    | CUSIP: 3140XFVK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5091337 | PA      | $4291744.40    | 0.01%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2030#                                                                        | CUSIP: 31298APJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        495 | PA      | $523.75        | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                              | SPGN 2022-TFLM B TSFR1M+200 02/15/2039 144A                                                       | CUSIP: 78473HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9333000 | PA      | $8780031.88    | 0.03%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/47#AS9616                                                                       | CUSIP: 3138WKVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25645 | PA      | $25310.84      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B 1ML+92.21 10/15/2036 144A                                 | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5541000 | PA      | $5242211.55    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2018-3PCK                                             | GS MORTGAGE SECURITIES TRUST 2018-3PCK A 1ML+145 09/15/2021 144A                                  | CUSIP: 36255YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7628428 | PA      | $7478508.86    | 0.02%             | 2031-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                         | SYSCO CORP 3.25% 07/15/2027                                                                       | CUSIP: 871829BF3<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   11011000 | PA      | $10177159.10   | 0.03%             | 2027-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 07/01/2041#AI6050                                                                   | CUSIP: 3138AKWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17225 | PA      | $17426.96      | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/26 #358466                                                                           | CUSIP: 31376LFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        575 | PA      | $591.71        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#CB2662                                                                    | CUSIP: 3140QM5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1578342 | PA      | $1389834.39    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 06/01/2050#RA2677                                                                    | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24686590 | PA      | $20392982.41   | 0.06%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q11868                                                                  | CUSIP: 3132HNCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33602 | PA      | $32587.52      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1ML+615 02/25/2048                                                 | CUSIP: 3136B0VJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |   26449548 | PA      | $2958929.45    | 0.01%             | 2048-02-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 10/35 #003771                                                                       | CUSIP: 36202EFL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3237 | PA      | $3196.32       | 0.00%             | 2035-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #704931                                                                           | CUSIP: 36296YEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16557 | PA      | $16294.13      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE8869                                                                          | CUSIP: 31419K2B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26713 | PA      | $25859.30      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |   21697000 | PA      | $20322418.24   | 0.06%             | 2026-03-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 09/01/2051#CB1549                                                                  | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18574254 | PA      | $15879959.97   | 0.05%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 06/01/2051#CB0788                                                                  | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2215277 | PA      | $1713234.13    | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2424 FM 1ML+100 3/32                                                                          | CUSIP: 31339WJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       6779 | PA      | $6846.32       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #503025                                                                           | CUSIP: 36210UYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        426 | PA      | $437.70        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/26 #436604                                                                           | CUSIP: 36207NAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         60 | PA      | $61.38         | 0.00%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/42#AB5501                                                                       | CUSIP: 31417CDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5166 | PA      | $4834.07       | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2423 FA 1ML+100 3/32                                                                          | CUSIP: 31339WBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       8037 | PA      | $8093.60       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2019-1                                                              | TOWD PT MTG TR 2019-1 3.75% 03/25/2058 144A                                                       | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     797768 | PA      | $751503.36     | 0.00%             | 2058-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5.50% 12/23 #995460                                                                     | CUSIP: 31416BZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        412 | PA      | $410.90        | 0.00%             | 2023-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE6775                                                                          | CUSIP: 31419HQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     508545 | PA      | $492378.47     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #474770                                                                           | CUSIP: 36209LMT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1878 | PA      | $1934.57       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/29 #432896                                                                           | CUSIP: 36207H3D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        212 | PA      | $219.30        | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2052#SD1733                                                                    | CUSIP: 3132DN4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19341256 | PA      | $19335999.20   | 0.06%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #399249                                                                           | CUSIP: 36205SQA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        279 | PA      | $287.28        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | 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        |       1045 | PA      | $1076.37       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #741817                                                                          | CUSIP: 3620AWDW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     166474 | PA      | $156318.00     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #425823                                                                          | CUSIP: 36207AAY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        110 | PA      | $109.67        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/25 #250345                                                                           | CUSIP: 31371FBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        618 | PA      | $626.94        | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #724220                                                                           | CUSIP: 3620AASH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     426651 | PA      | $419813.32     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REGIONS BANK OF ALABAMA                                                            | REGIONS BANK OF ALABAMA 6.45% 06/26/2037                                                          | CUSIP: 75913MAA7<br>LEI: EQTWLK1G7ODGC2MGLV11 | Long             | DBT              | CORP              | US        |   30566000 | PA      | $31782636.84   | 0.09%             | 2037-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/48#BK1867                                                                         | CUSIP: 3140HFCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63773 | PA      | $61142.62      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2040#AD9214                                                                  | CUSIP: 31418XGY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51403 | PA      | $52002.38      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #778862                                                                           | CUSIP: 36176XB73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     564371 | PA      | $529381.45     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | 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        |   48444000 | PA      | $40608759.97   | 0.12%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/27 #250799                                                                           | CUSIP: 31371FRU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        109 | PA      | $112.00        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2039#AW9574                                                                    | CUSIP: 3138XZT84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68644 | PA      | $66584.97      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q34164                                                                  | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5939468 | PA      | $5557576.51    | 0.02%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2051#                                                                        | CUSIP: 31418D3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346902 | PA      | $317249.98     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2046#Q40046                                                                  | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2082732 | PA      | $1943611.69    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q31974                                                                  | CUSIP: 3132QNFQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320958 | PA      | $300321.48     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                                                     | SYNCHRONY BANK 5.625% 08/23/2027                                                                  | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |   26739000 | PA      | $26055343.67   | 0.08%             | 2027-08-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 09/01/2041#AI9813                                                                   | CUSIP: 3138AP3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12434 | PA      | $12558.73      | 0.00%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2052#SD8245                                                                  | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   64999944 | PA      | $62694636.83   | 0.18%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                        | PEPSICO INC 2.75% 03/19/2030                                                                      | CUSIP: 713448ES3<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   18600000 | PA      | $16469263.98   | 0.05%             | 2030-03-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/33 #623639                                                                          | CUSIP: 36291BZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1758 | PA      | $1755.63       | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   22047000 | PA      | $19286825.17   | 0.06%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 05/01/2035#SB8045                                                                  | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9360258 | PA      | $8613361.22    | 0.02%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 10/20/2047#MA4779                                                                      | CUSIP: 36179TJY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91005 | PA      | $87341.90      | 0.00%             | 2047-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   15550000 | NC      | $190866.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #710849                                                                           | CUSIP: 36297FWJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     339350 | PA      | $340192.80     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0540                                                                          | CUSIP: 3138A1S69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5379 | PA      | $5200.85       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2040#A94862                                                                  | CUSIP: 312943MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40227 | PA      | $39908.22      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.0% 08/01/2029#890625                                                                  | CUSIP: 31410LPJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110634 | PA      | $105959.42     | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/36 #AH8017                                                                           | CUSIP: 3138A94B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45960 | PA      | $44549.80      | 0.00%             | 2036-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/25 #329666                                                                          | CUSIP: 31375BFF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.03         | 0.00%             | 2025-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES LV CLO LTD                                                                    | ARES LV CLO LTD 2020-55A A1R 3ML+113 07/15/2034 144A                                              | CUSIP: 04018BAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   26517000 | PA      | $25914215.56   | 0.07%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #462883                                                                           | CUSIP: 36208WFY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1334 | PA      | $1372.34       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 3.5% 11/15/2030                                                                  | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   45537000 | PA      | $39812037.36   | 0.12%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/23 #050913                                                                          | CUSIP: 313615SA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.39         | 0.00%             | 2023-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #759125                                                                           | CUSIP: 36230UD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11432 | PA      | $10975.70      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 2.8% 04/01/2027                                                                       | CUSIP: 68389XBU8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   24552000 | PA      | $22342197.49   | 0.06%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2049#CA4628                                                                    | CUSIP: 3140QCEA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18937805 | PA      | $18118300.37   | 0.05%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A23334                                                                           | CUSIP: 31297AV35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10461 | PA      | $10515.48      | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AS6968                                                                    | CUSIP: 36193SW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     240545 | PA      | $223468.10     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #255844                                                                           | CUSIP: 31371MER4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139630 | PA      | $145391.58     | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #432429                                                                           | CUSIP: 36207HLJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         92 | PA      | $94.91         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1812                                                                  | CUSIP: 3138NYAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185523 | PA      | $168626.54     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3% 01/01/2053 #TBA                                                                      | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  191150000 | PA      | $167928256.94  | 0.49%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 5/42 #766751                                                                           | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     516781 | PA      | $484679.46     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2046#V82275                                                                    | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5684647 | PA      | $5127342.98    | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #416634                                                                           | CUSIP: 31379DY78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         97 | PA      | $99.32         | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 3/31 #003053                                                                         | CUSIP: 36202DMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3905 | PA      | $4050.08       | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #574467                                                                           | CUSIP: 36200WFG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        215 | PA      | $225.65        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #567102                                                                           | CUSIP: 36213XAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1191 | PA      | $1247.70       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2050#CA6998                                                                    | CUSIP: 3140QEX49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131022 | PA      | $116264.47     | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | 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        |   20189000 | PA      | $19501552.03   | 0.06%             | 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        |   11166858 | PA      | $10766415.36   | 0.03%             | 2031-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2052#SD1572                                                                    | CUSIP: 3132DNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6225944 | PA      | $6224251.40    | 0.02%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2045#BA3904                                                                  | CUSIP: 3140E8KS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76466 | PA      | $71555.26      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 6/25 #401443                                                                           | CUSIP: 36205U5C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        148 | PA      | $150.18        | 0.00%             | 2025-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/40 #AD7419                                                                           | CUSIP: 31418VG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15088 | PA      | $14943.86      | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2135 JE 6% 3/29                                                                               | CUSIP: 3133TJWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      19011 | PA      | $19328.27      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2029#                                                                          | CUSIP: 31293KN36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        215 | PA      | $219.98        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #454044                                                                           | CUSIP: 36208LLZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         85 | PA      | $87.13         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #710924                                                                          | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124251 | PA      | $124626.80     | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 6/25 #401859                                                                           | CUSIP: 36205VMG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $25.19         | 0.00%             | 2025-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/48#BK2485                                                                         | CUSIP: 3140HFXP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144664 | PA      | $138697.65     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9417                                                                  | CUSIP: 3138WKPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163675 | PA      | $160261.41     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #446423                                                                           | CUSIP: 36207Y4G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        134 | PA      | $138.06        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.125% 09/24/2025 144A                                                               | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   17678000 | PA      | $17188755.69   | 0.05%             | 2025-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 06/01/2031#J34501                                                                  | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     402488 | PA      | $377620.84     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AA4740                                                                          | CUSIP: 31416NHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45952 | PA      | $44465.69      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22499                                                                  | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     348485 | PA      | $336709.70     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.3% 11/20/2026                                                                     | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   52072000 | PA      | $50371326.92   | 0.15%             | 2026-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 03/01/2045#AY1124                                                                       | CUSIP: 3138YEHA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186365 | PA      | $179668.83     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.2% 08/26/2024                                                       | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   24032000 | PA      | $23660203.57   | 0.07%             | 2024-08-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AB2343                                                                           | CUSIP: 31416XS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38287 | PA      | $37013.21      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #468054                                                                           | CUSIP: 36209C5P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59427 | PA      | $61085.99      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/29 #512465                                                                           | CUSIP: 31383TJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7409 | PA      | $7691.42       | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 08/01/2038#K94337                                                                    | CUSIP: 3132LQV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     638880 | PA      | $619660.98     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO IL                                                                         | CHICAGO ILL TAXABLE PROJ C1                                                                       | CUSIP: 167486MM8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    7020000 | PA      | $7618381.99    | 0.02%             | 2035-01-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR7187                                                                  | CUSIP: 3138W46Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19313 | PA      | $17572.35      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | 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        |   12446000 | PA      | $12093296.79   | 0.03%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #624486                                                                           | CUSIP: 31389FXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2576 | PA      | $2719.07       | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | 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        |   14296000 | PA      | $12025302.13   | 0.03%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 08/15/2042#AB2238                                                                  | CUSIP: 36178MPX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15085 | PA      | $14128.90      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2043#AL3657                                                                  | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22258 | PA      | $20849.44      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2048#V83994                                                                    | CUSIP: 3132L9NK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     686586 | PA      | $657164.95     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #549588                                                                           | CUSIP: 36213BRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1117 | PA      | $1169.77       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2050#RA2457                                                                    | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18347352 | PA      | $16395426.58   | 0.05%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2050#SD7518                                                                    | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19028524 | PA      | $17027916.57   | 0.05%             | 2050-06-01      | Fixed         | 0.03%                 | 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        |   10094000 | PA      | $8444728.72    | 0.02%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2041#AL7018                                                                  | CUSIP: 3138EPYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     843653 | PA      | $833475.86     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                                          | HEALTHPEAK PROPERTIES 3.25% 07/15/2026                                                            | CUSIP: 40414LAQ2<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    2733000 | PA      | $2579712.78    | 0.01%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/24 #403195                                                                           | CUSIP: 36205W3C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        179 | PA      | $180.59        | 0.00%             | 2024-07-15      | Fixed         | 0.07%                 | 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        |   33012000 | PA      | $30773479.06   | 0.09%             | 2027-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/34 #629115                                                                           | CUSIP: 36291H3Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        728 | PA      | $756.96        | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #436017                                                                          | CUSIP: 36207MK62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        433 | PA      | $448.51        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/30 #515294                                                                           | CUSIP: 36211KNK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3109 | PA      | $3222.36       | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | 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        |   16319000 | PA      | $15581942.41   | 0.05%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2015-70 JC 3% 10/45                                                                           | CUSIP: 3136AQCV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    2008112 | PA      | $1895106.43    | 0.01%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 11/41 #005232                                                                       | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1567331 | PA      | $1472160.60    | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #698480                                                                           | CUSIP: 36296Q6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14473 | PA      | $14243.10      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028                                                    | CUSIP: 3137B6MF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     264119 | PA      | $5599.43       | 0.00%             | 2028-12-15      | Fixed         | 0.04%                 | 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        |   48770252 | PA      | $3092331.45    | 0.01%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2046#Q43328                                                                  | CUSIP: 3132WGVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16851 | PA      | $15714.97      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2042#AO7372                                                                  | CUSIP: 3138LYFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77426 | PA      | $72502.22      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK1110                                                                           | CUSIP: 3138E5GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307826 | PA      | $297590.98     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/28 #484261                                                                           | CUSIP: 36209W5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1733 | PA      | $1804.14       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34979                                                                  | CUSIP: 3132QRQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92452 | PA      | $83677.65      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/40#V82128                                                                       | CUSIP: 3132L7LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     487810 | PA      | $455835.06     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 1.875% 11/15/2051                                                     | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  120053000 | PA      | $76036693.65   | 0.22%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 02/01/2034#J40197                                                                    | CUSIP: 31307YGE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38815 | PA      | $36745.78      | 0.00%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2046#BC1130                                                                    | CUSIP: 3140EVHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2570342 | PA      | $2474777.39    | 0.01%             | 2046-06-01      | Fixed         | 0.04%                 | 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        |   30000000 | PA      | $26432789.70   | 0.08%             | 2026-12-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 8/40 #004771                                                                        | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13663 | PA      | $13523.98      | 0.00%             | 2040-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST II                                                               | PINE STR TR II 5.568% 02/15/2049 144A                                                             | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   29500000 | PA      | $25987978.69   | 0.08%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH C 1ML+170 07/15/2038 144A                                          | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6825536 | PA      | $6551575.38    | 0.02%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 04/01/2025#                                                                        | CUSIP: 31356N2D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $14.29         | 0.00%             | 2025-04-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 4% 04/15/2030                                                                        | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   22128000 | PA      | $20489366.50   | 0.06%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                        | CUSIP: 31283G6U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        315 | PA      | $325.32        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 2/39 #782562                                                                           | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10029 | PA      | $10055.25      | 0.00%             | 2039-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60439 | PA      | $59960.66      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/40 #734104                                                                          | CUSIP: 3620AMRZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9118 | PA      | $8570.14       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                      | BX TRUST 2019-IMC D 1ML+185 04/15/2034 144A                                                       | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10925000 | PA      | $10251178.78   | 0.03%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/46#BC1443                                                                      | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4370868 | PA      | $4224750.84    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #455486                                                                           | CUSIP: 36208M6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1432 | PA      | $1464.49       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.125% 01/23/2023                                                                  | CUSIP: 61744YAN8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  122810000 | PA      | $122697269.02  | 0.36%             | 2023-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2048#Q55992                                                                    | CUSIP: 3132XYUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4294384 | PA      | $4121099.56    | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.344% 7/35 #834917                                                                      | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5412 | PA      | $5501.45       | 0.00%             | 2035-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2046#BC0210                                                                    | CUSIP: 3140EUGU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16906 | PA      | $16288.48      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AJ0165                                                                           | CUSIP: 3138ARFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74881 | PA      | $72421.55      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #453200                                                                           | CUSIP: 36208KNR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        602 | PA      | $621.71        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #464768                                                                           | CUSIP: 36208YJM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        244 | PA      | $253.57        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #516134                                                                           | CUSIP: 31383XLP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $103.34        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF 1ML+65 05/20/2061                                        | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      17468 | PA      | $17305.23      | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#AS8046                                                                  | CUSIP: 3138WH5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57752 | PA      | $54064.09      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2033#                                                                          | CUSIP: 31283HWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20063 | PA      | $20700.63      | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 6.1% 07/15/2027                                                                | CUSIP: 24703TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9944000 | PA      | $10216008.77   | 0.03%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 11/01/2052#CB5139                                                                  | CUSIP: 3140QQV93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9023825 | PA      | $9074850.16    | 0.03%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #780995                                                                          | CUSIP: 36225BC89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         44 | PA      | $45.45         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.95% 09/01/2032                                                                          | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   30925000 | PA      | $28997948.21   | 0.08%             | 2032-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#796303                                                                  | CUSIP: 36177RAD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3389 | PA      | $3174.12       | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#AZ4663                                                                  | CUSIP: 3138YWFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272780 | PA      | $262808.58     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/28 #441292                                                                           | CUSIP: 31380JF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3751 | PA      | $3866.96       | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #729562                                                                           | CUSIP: 3620AGQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80282 | PA      | $80599.30      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 3.95% 06/01/2025                                                          | CUSIP: 958254AE4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    3918000 | PA      | $3708622.08    | 0.01%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 1999-54 PH 6.5% 11/29                                                                         | CUSIP: 31359XBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      76392 | PA      | $76657.91      | 0.00%             | 2029-11-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #719217                                                                           | CUSIP: 3620A5AS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61856 | PA      | $62055.94      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2041#                                                                        | CUSIP: 312945X52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31121 | PA      | $30862.70      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2032#                                                                          | CUSIP: 31288AFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12759 | PA      | $13120.80      | 0.00%             | 2032-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #395367                                                                           | CUSIP: 31378DFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $86.62         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9948                                                                           | CUSIP: 3138EFBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65501 | PA      | $63296.37      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2043#AV1877                                                                  | CUSIP: 3138XDCP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82800 | PA      | $80057.44      | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19988                                                                  | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146757 | PA      | $141843.87     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.875% 12/01/2024                                                                         | CUSIP: 55336VAG5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   12572000 | PA      | $12469203.78   | 0.04%             | 2024-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 11/41 #AB3867                                                                          | CUSIP: 31417AJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5425 | PA      | $5081.97       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | 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        |       1088 | PA      | $1142.22       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5.00% 9/25 #AE0552                                                                      | CUSIP: 31419ATJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40061 | PA      | $39864.94      | 0.00%             | 2025-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #711189                                                                           | CUSIP: 36297GC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75514 | PA      | $74321.27      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 5/41 #748080                                                                           | CUSIP: 3620C4CR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9438 | PA      | $9081.61       | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   10600000 | NC      | $130108.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #476127                                                                          | CUSIP: 36209M4L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1034 | PA      | $1068.55       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#RA6434                                                                  | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16504277 | PA      | $14063826.20   | 0.04%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/25 #375087                                                                           | CUSIP: 36204NUL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         91 | PA      | $92.07         | 0.00%             | 2025-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.62% 3/36 #866091                                                                       | CUSIP: 31409BF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60230 | PA      | $60699.98      | 0.00%             | 2036-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97661                                                                           | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     765623 | PA      | $759561.17     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/40 #724698                                                                           | CUSIP: 3620ABDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58272 | PA      | $56023.92      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 1/41 #004922                                                                        | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1581064 | PA      | $1524282.22    | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #385030                                                                          | CUSIP: 36205AVX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        290 | PA      | $297.09        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 4.50% 6/25 #G18356                                                                      | CUSIP: 3128MMME0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4697 | PA      | $4663.16       | 0.00%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2003-118 S -1ML+81 12/33                                                                      | CUSIP: 31393UNH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     253693 | PA      | $37576.24      | 0.00%             | 2033-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#                                                                        | CUSIP: 312941SD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62201 | PA      | $61679.86      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2048#ZM6138                                                                  | CUSIP: 3131Y0ZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     405391 | PA      | $393540.66     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.80% 7/34 #849923                                                                       | CUSIP: 31408FG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39301 | PA      | $40087.13      | 0.00%             | 2034-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2052#SD1862                                                                    | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3970043 | PA      | $3983851.61    | 0.01%             | 2052-11-01      | Fixed         | 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        |    4758000 | PA      | $4603574.54    | 0.01%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 07/20/2043#MA1157                                                                    | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158222 | PA      | $148868.65     | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #415760                                                                          | CUSIP: 36206MZZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        310 | PA      | $312.01        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2050#                                                                        | CUSIP: 3133KKHL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     465005 | PA      | $427728.05     | 0.00%             | 2050-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #560191                                                                           | CUSIP: 36213PKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        728 | PA      | $761.16        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745237                                                                           | CUSIP: 3620C04W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5584 | PA      | $5497.34       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #511373                                                                           | CUSIP: 31383SCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1480 | PA      | $1550.32       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 03/01/2045#AY9025                                                                       | CUSIP: 3138YPA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202749 | PA      | $195907.97     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3121 KO 0 3/36                                                                                | CUSIP: 31396JG74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      43876 | PA      | $35670.87      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK1385                                                                           | CUSIP: 3138E5RF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62044 | PA      | $60012.23      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2015-H13 HA 2.5% 08/64                                                                        | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      31614 | PA      | $29588.39      | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #413578                                                                           | CUSIP: 31379AM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        790 | PA      | $821.32        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HORIZON 2018                                                                       | HORIZON 2018-1 A 4.458% 12/15/2038 144A                                                           | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11503624 | PA      | $9421464.41    | 0.03%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.419%/VAR 12/20/2028                                                 | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   23187000 | PA      | $20996509.50   | 0.06%             | 2028-12-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/26 #190273                                                                           | CUSIP: 31368HJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2217 | PA      | $2256.18       | 0.00%             | 2026-08-01      | 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        |  982467000 | PA      | $894659011.88  | 2.59%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2038#AB8124                                                                  | CUSIP: 31417FA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44062 | PA      | $43506.82      | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/26 #416180                                                                           | CUSIP: 36206NJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $56.64         | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 12/01/2029#J30136                                                                  | CUSIP: 31307LEH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76807 | PA      | $74546.68      | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/40 #737674                                                                          | CUSIP: 3620ARQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58443 | PA      | $58604.07      | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #411846                                                                           | CUSIP: 31378XP75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        527 | PA      | $549.49        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #772063                                                                           | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     428372 | PA      | $411020.70     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 10/01/2035#836427                                                                  | CUSIP: 31407PHC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15883 | PA      | $15988.59      | 0.00%             | 2035-10-01      | Fixed         | 0.05%                 | 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        |   31874000 | PA      | $29925812.03   | 0.09%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2045#Q34467                                                                  | CUSIP: 3132QQ6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199426 | PA      | $192874.55     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 10/39 #680489                                                                          | CUSIP: 36295T7A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5937 | PA      | $6213.93       | 0.00%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97976                                                                           | CUSIP: 3129462H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14308 | PA      | $14188.20      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #704665                                                                           | CUSIP: 36296XZ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131677 | PA      | $132039.46     | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2052#                                                                          | CUSIP: 3132DWDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     305514 | PA      | $268738.83     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AASET 2018-1 TR                                                                    | AASET 2018-1A A 3.844% 1/38 144A                                                                  | CUSIP: 000367AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11558277 | PA      | $7003342.90    | 0.02%             | 2038-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/30 #412251                                                                          | CUSIP: 36206H5L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        210 | PA      | $218.92        | 0.00%             | 2030-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2026#                                                                        | CUSIP: 31292GQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        301 | PA      | $311.84        | 0.00%             | 2026-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 09/01/2043#AU0080                                                                  | CUSIP: 3138WZCS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15508 | PA      | $14994.63      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #772031                                                                           | CUSIP: 36176PPQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7643 | PA      | $7332.94       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2039#AL7550                                                                  | CUSIP: 3138EQL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     990091 | PA      | $994039.88     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/28 #475895                                                                           | CUSIP: 36209MUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3013 | PA      | $3134.95       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #579720                                                                           | CUSIP: 36201DAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1105 | PA      | $1160.76       | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.376%/VAR 04/27/2028                                                 | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   40000000 | PA      | $38252918.00   | 0.11%             | 2028-04-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.6% 02/15/2033 144A                                                                 | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   61131000 | PA      | $45884756.82   | 0.13%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/23 #370119                                                                          | CUSIP: 36204HDY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         45 | PA      | $45.58         | 0.00%             | 2023-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2048#G61821                                                                  | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3119881 | PA      | $3068659.61    | 0.01%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AB3872                                                                          | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2719677 | PA      | $2631257.27    | 0.01%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BH3647                                                                  | CUSIP: 3140GSBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26519 | PA      | $26172.93      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #648070                                                                           | CUSIP: 31390J6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2078 | PA      | $2203.25       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2040#AH0530                                                                    | CUSIP: 3138A1SU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        792 | PA      | $765.48        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H010 FA 1ML+33 5/60                                                                      | CUSIP: 38375BBV3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     953311 | PA      | $943428.77     | 0.00%             | 2060-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.99% 07/15/2060 144A                                                     | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25402590 | PA      | $20984863.64   | 0.06%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2049#BN6036                                                                    | CUSIP: 3140JNV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272361 | PA      | $259191.47     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 5/42 #AO2138                                                                           | CUSIP: 3138LSLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5359 | PA      | $5018.96       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                        | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    3169000 | PA      | $2444339.26    | 0.01%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#                                                                          | CUSIP: 3132GEHF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18921 | PA      | $18318.81      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 04/20/2048#BG3507                                                                      | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1529214 | PA      | $1464792.44    | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/26 #313264                                                                           | CUSIP: 31374F5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        606 | PA      | $617.59        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2041#                                                                        | CUSIP: 3132GD2M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34492 | PA      | $34219.04      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #552576                                                                           | CUSIP: 36213E2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2132 | PA      | $2226.15       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 3/41 #783267                                                                           | CUSIP: 36241LTY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     580820 | PA      | $557788.74     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 32 LTD / COLUMBIA CENT CLO 32 CORP                               | COLUMBIA CENT CLO 32 LTD / COLUMBIA CENT CLO 32 CORP TSFR3M+170 07/24/2034 144A                   | CUSIP: 19737TAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   37609000 | PA      | $36123369.28   | 0.10%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.805% 05/01/2050                                                                       | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   29870000 | PA      | $27694742.64   | 0.08%             | 2050-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.125% 07/31/2024                                                                       | CUSIP: 9128282N9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  245203000 | PA      | $235845058.00  | 0.68%             | 2024-07-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/31 #781247                                                                           | CUSIP: 36225BL48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        445 | PA      | $467.42        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#AS8226                                                                  | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137543 | PA      | $128760.38     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/26 #323242                                                                          | CUSIP: 31374TBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3833 | PA      | $3888.82       | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #G05937                                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4898 | PA      | $4857.82       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2044#AS2238                                                                  | CUSIP: 3138WBPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146637 | PA      | $133144.36     | 0.00%             | 2044-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2051#FM6540                                                                  | CUSIP: 3140XAHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32003573 | PA      | $27651317.28   | 0.08%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2045#AZ5987                                                                  | CUSIP: 3138YXUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     669807 | PA      | $605664.74     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | 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        |    4149000 | PA      | $3780056.52    | 0.01%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #514305                                                                           | CUSIP: 31383VKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        689 | PA      | $727.66        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2035#310165                                                                  | CUSIP: 31374CQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     478967 | PA      | $481406.82     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 05/38#MA3360                                                                       | CUSIP: 31418CWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160053 | PA      | $151724.24     | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745138                                                                           | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110657 | PA      | $108922.61     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    4790000 | NC      | $58794.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                        | ILLINOIS ST BUILD AMERICA BONDS-TAXABLE-SE                                                        | CUSIP: 452152FA4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   39580000 | PA      | $40319291.07   | 0.12%             | 2035-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                    | AASET 2019-2 B TR 4.458% 10/16/2039 144A                                                          | CUSIP: 00038RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4664187 | PA      | $1492679.84    | 0.00%             | 2039-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                     | MAGALLANES INC 3.638% 03/15/2025 144A                                                             | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   10102000 | PA      | $9606621.76    | 0.03%             | 2025-03-15      | 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        |   32905113 | PA      | $27028473.83   | 0.08%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2045#AY0356                                                                  | CUSIP: 3138YDME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1198949 | PA      | $1156245.81    | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AT2645                                                                    | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104395 | PA      | $96774.45      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 03/15/2043#AD2295                                                                  | CUSIP: 36180DRQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12747 | PA      | $11942.13      | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552552                                                                          | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110314 | PA      | $105830.78     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/46#G60551                                                                         | CUSIP: 31335ATG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13741273 | PA      | $13272676.28   | 0.04%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR4132                                                                  | CUSIP: 3138W1SW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19916 | PA      | $18102.18      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/36 #A51069                                                                           | CUSIP: 3128KDFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2880 | PA      | $2905.32       | 0.00%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 07/01/2045#AZ4344                                                                  | CUSIP: 3138YVZJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203581 | PA      | $196139.00     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 3.6% 04/01/2050                                                                       | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   24550000 | PA      | $16528696.75   | 0.05%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/23 #348813                                                                           | CUSIP: 36203GN66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.00          | 0.00%             | 2023-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2040#V81886                                                                  | CUSIP: 3132L7CX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     769876 | PA      | $719894.15     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 06/01/2041#Q01604                                                                  | CUSIP: 3132GEX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120949 | PA      | $122620.21     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                           | CSX CORP 3.8% 04/15/2050                                                                          | CUSIP: 126408HS5<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    5875000 | PA      | $4556025.72    | 0.01%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #563578                                                                           | CUSIP: 36213TCP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1549 | PA      | $1620.44       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 04/01/2032#                                                                          | CUSIP: 31283HRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        218 | PA      | $231.69        | 0.00%             | 2032-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 5.55% 01/23/2049                                                   | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   54331000 | PA      | $53711509.79   | 0.16%             | 2049-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2040#                                                                          | CUSIP: 312941NQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1659 | PA      | $1680.50       | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2412 FK 1ML+80 1/32                                                                           | CUSIP: 31339DTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       5221 | PA      | $5242.24       | 0.00%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 11/30/2029                                                                       | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  255000000 | PA      | $253286718.75  | 0.73%             | 2029-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/28 #437762                                                                           | CUSIP: 31380EJF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $97.44         | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2042#AK2717                                                                    | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12141 | PA      | $11736.99      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 08/01/2035#FM4035                                                                  | CUSIP: 3140X7PV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19597905 | PA      | $18058597.62   | 0.05%             | 2035-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 4.50% 6/24 #AA6863                                                                      | CUSIP: 31416QTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3945 | PA      | $3918.67       | 0.00%             | 2024-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRISTOL PARK CLO LTD 2016                                                          | BRISTOL PARK CLO LTD 2016 3ML+99 04/15/2029 144A                                                  | CUSIP: 11014PAJ4<br>LEI: 549300XRS6MFERKEPO61 | Long             | ABS-CBDO         | CORP              | KY        |   27743668 | PA      | $27357809.16   | 0.08%             | 2029-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/45#AZ3341                                                                         | CUSIP: 3138YUWB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     376955 | PA      | $363646.54     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 4.375% 04/15/2040                                                                | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    5513000 | PA      | $4704791.94    | 0.01%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040                                                         | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    7169000 | PA      | $7015552.86    | 0.02%             | 2040-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST                     | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST TSFR1M+77.15 04/15/2037 144A       | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13636525 | PA      | $12611389.78   | 0.04%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #477527                                                                          | CUSIP: 36209PPL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        517 | PA      | $534.59        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3244 SG -1ML+666 11/36                                                                        | CUSIP: 31397CDA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     382713 | PA      | $35730.91      | 0.00%             | 2036-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 3/41 #004977                                                                        | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     272886 | PA      | $263079.74     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2040#                                                                          | CUSIP: 312944FW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9427 | PA      | $9134.72       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                      | BX TRUST 2019-XL C 1ML+130 10/15/2036 144A                                                        | CUSIP: 056054AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14991450 | PA      | $14613950.30   | 0.04%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2045#AS6352                                                                    | CUSIP: 3138WGBW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     501178 | PA      | $482544.27     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #844435                                                                          | CUSIP: 31407YEG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        822 | PA      | $857.97        | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#FS0605                                                                  | CUSIP: 3140XFU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37941471 | PA      | $32354862.66   | 0.09%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02763                                                                           | CUSIP: 3132GGB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50822 | PA      | $50419.29      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #387403                                                                          | CUSIP: 36205DKQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1653 | PA      | $1720.69       | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/39 #A88585                                                                           | CUSIP: 312935RE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224976 | PA      | $222843.27     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | WI 2022-K150 A2 3.71% 11/32                                                                       | CUSIP: 3137H8U41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $11285247.60   | 0.03%             | 2032-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/24 #357377                                                                           | CUSIP: 36203R6N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        145 | PA      | $146.02        | 0.00%             | 2024-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.717%/VAR 09/14/2033                                                       | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   75200000 | PA      | $73399219.44   | 0.21%             | 2033-09-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #722964                                                                           | CUSIP: 3620A9FD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9015 | PA      | $9041.64       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | 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        |    7110000 | PA      | $5918899.10    | 0.02%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #441655                                                                           | CUSIP: 36207TTL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1204 | PA      | $1238.35       | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.283 6/1/41                                                                             | CUSIP: 3128UGXF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12374 | PA      | $12530.48      | 0.00%             | 2041-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 3.125% 09/01/2026                                                            | CUSIP: 875484AJ6<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |   16602000 | PA      | $15076063.86   | 0.04%             | 2026-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#RA6496                                                                  | CUSIP: 3133KNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14512225 | PA      | $12366333.86   | 0.04%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/23 #337306                                                                           | CUSIP: 36224SU75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $2.24          | 0.00%             | 2023-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                          | ROGERS COMMUNICATIONS INC 3.8% 03/15/2032 144A                                                    | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |   21179000 | PA      | $18276492.60   | 0.05%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/34 #A21008                                                                           | CUSIP: 31296XDM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         65 | PA      | $65.81         | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #773363                                                                           | CUSIP: 36176Q5Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21978 | PA      | $20594.82      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 07/01/2025#                                                                          | CUSIP: 31292GN36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $83.10         | 0.00%             | 2025-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2039#AW1156                                                                    | CUSIP: 3138XQJA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147217 | PA      | $142617.16     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ5748                                                                          | CUSIP: 3138AXL66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44567 | PA      | $43091.15      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/51#MA4468                                                                       | CUSIP: 31418D6E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359932 | PA      | $328715.97     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404971                                                                          | CUSIP: 31378P2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        196 | PA      | $203.54        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 8/41 #005139                                                                        | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30518 | PA      | $29405.54      | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDF 2016-6A                                                                       | CEDF 2016-6A ARR 3ML+105 04/20/2034 144A                                                          | CUSIP: 15032DAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   26059000 | PA      | $25205124.75   | 0.07%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2041#                                                                        | CUSIP: 3132GDGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177367 | PA      | $175959.62     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                                         | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A 1ML+120 12/31/2049 144A                         | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19889000 | PA      | $18692002.41   | 0.05%             | 2031-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2045#Q33769                                                                  | CUSIP: 3132QQFK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     502823 | PA      | $497337.59     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/30 #546336                                                                           | CUSIP: 31385J4V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1034 | PA      | $1043.34       | 0.00%             | 2030-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 05/01/2038#983876                                                                  | CUSIP: 31415L6M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        444 | PA      | $464.44        | 0.00%             | 2038-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 04/20/2048#BG7744                                                                      | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1307293 | PA      | $1252220.14    | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/23 #372834                                                                          | CUSIP: 36204LEF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10 | PA      | $10.10         | 0.00%             | 2023-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#CB5128                                                                    | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6974941 | PA      | $6988303.33    | 0.02%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2029#                                                                          | CUSIP: 31293HR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        549 | PA      | $561.53        | 0.00%             | 2029-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG L LTD / MADISON PK FDG L LLC                                        | MADISON PK FDG L LTD / MADISON PK FDG L LLC 3ML+114 04/19/2034 144A                               | CUSIP: 55821FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   30470000 | PA      | $29804992.25   | 0.09%             | 2034-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#BH0886                                                                  | CUSIP: 3140GN6Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85636 | PA      | $84250.99      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.54% 02/01/2039#                                                                       | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     436503 | PA      | $446570.16     | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2049#MA3593                                                                  | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125179 | PA      | $122499.37     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ6625                                                                  | CUSIP: 3138MNLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29628 | PA      | $26957.44      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 8/42 #AO9892                                                                           | CUSIP: 3138M17E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258031 | PA      | $241427.75     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/23 #354667                                                                          | CUSIP: 36203N6C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         51 | PA      | $50.84         | 0.00%             | 2023-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #738885                                                                          | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     306217 | PA      | $293897.25     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-17 PG 6% 4/29                                                                            | CUSIP: 31359VSD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      75252 | PA      | $76225.31      | 0.00%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.889% 3/33 #847126                                                                      | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        503 | PA      | $500.92        | 0.00%             | 2033-03-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#AE0545                                                                  | CUSIP: 36180STA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7703 | PA      | $7030.76       | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2033#ZS8703                                                                  | CUSIP: 3132A9U47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1114653 | PA      | $1035463.29    | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #Q03090                                                                           | CUSIP: 3132GJC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     979531 | PA      | $971769.60     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 11/01/2036#MA2804                                                                    | CUSIP: 31418CDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290646 | PA      | $271805.30     | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2043#Q19747                                                                  | CUSIP: 3132JBHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72044 | PA      | $69632.05      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A                                     | CUSIP: 72703PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   22315820 | PA      | $18320194.74   | 0.05%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 7/35 #832414                                                                           | CUSIP: 31407JYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23163 | PA      | $23325.75      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21845                                                                  | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204392 | PA      | $197549.63     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 2/37 #908771                                                                           | CUSIP: 31411HT42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3921 | PA      | $4174.28       | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | 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        |       1853 | PA      | $1913.30       | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.705/VAR 04/24/2028                                                  | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   58915000 | PA      | $54519555.11   | 0.16%             | 2028-04-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 06/01/2051#FM7507                                                                  | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37641754 | PA      | $32334537.33   | 0.09%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/25 #250329                                                                           | CUSIP: 31371FA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        452 | PA      | $457.20        | 0.00%             | 2025-08-01      | 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        |   15247000 | PA      | $14360340.90   | 0.04%             | 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        |   10683000 | PA      | $9927498.24    | 0.03%             | 2024-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2050#RA2400                                                                    | CUSIP: 3133KHUZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15570024 | PA      | $13864914.44   | 0.04%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #527605                                                                           | CUSIP: 36212ADJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12666 | PA      | $13260.64      | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/26 #339830                                                                           | CUSIP: 31375NPP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5907 | PA      | $6031.97       | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #480476                                                                           | CUSIP: 36209SXD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        728 | PA      | $758.81        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 06/01/2044#AW4764                                                                  | CUSIP: 3138XUJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277629 | PA      | $268434.23     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2041#AJ7242                                                                  | CUSIP: 3138E0BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     467401 | PA      | $464225.43     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#BU9788                                                                    | CUSIP: 3140MB2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24597 | PA      | $21659.31      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/29 #488767                                                                          | CUSIP: 36210C6C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        619 | PA      | $642.45        | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#Q49393                                                                  | CUSIP: 3132WPNK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1312414 | PA      | $1294045.92    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/41 #783501                                                                           | CUSIP: 36241L3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1007176 | PA      | $1010154.90    | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | 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        |     865995 | PA      | $846368.03     | 0.00%             | 2036-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 12/01/2032#J38057                                                                    | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168140 | PA      | $159809.00     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/35 #830779                                                                           | CUSIP: 31407G6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7383 | PA      | $7847.21       | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #509683                                                                           | CUSIP: 31383QFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        698 | PA      | $719.94        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/47#BM1277                                                                         | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3575963 | PA      | $3439657.38    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.963%/VAR 01/25/2033                                                       | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $14243288.68   | 0.04%             | 2033-01-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 01/01/2051#QB7783                                                                  | CUSIP: 3133AEUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1449635 | PA      | $1121107.52    | 0.00%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2048#Q54192                                                                    | CUSIP: 3132XWUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     217257 | PA      | $208558.59     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #458859                                                                           | CUSIP: 36208RWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        764 | PA      | $784.07        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AR3124                                                                    | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156349 | PA      | $145249.74     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5.00% 7/23 #909204                                                                      | CUSIP: 31411JDH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1036 | PA      | $1032.59       | 0.00%             | 2023-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/33 #594354                                                                           | CUSIP: 36201VH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2403 | PA      | $2451.30       | 0.00%             | 2033-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2041#AH7495                                                                  | CUSIP: 3138A9KH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35837 | PA      | $34648.99      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2046#BM4548                                                                  | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2361463 | PA      | $2339551.36    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2042#AB5542                                                                  | CUSIP: 31417CEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318375 | PA      | $288518.08     | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 04/01/2025#                                                                        | CUSIP: 31356N5T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        119 | PA      | $121.32        | 0.00%             | 2025-04-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ6832                                                                  | CUSIP: 3138MNSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31054 | PA      | $28307.40      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #710839                                                                           | CUSIP: 36297FV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157903 | PA      | $155386.38     | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #417218                                                                           | CUSIP: 31379EPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1118 | PA      | $1146.03       | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 351 12 5.5% 4/34                                                                              | CUSIP: 3136FCJB3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      24378 | PA      | $4197.13       | 0.00%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #569702                                                                           | CUSIP: 36200Q3K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7730 | PA      | $8074.72       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6783                                                                           | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9565 | PA      | $9255.63       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #520104                                                                           | CUSIP: 36211QX97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1683 | PA      | $1760.17       | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 05/01/2034#C91764                                                                  | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1130528 | PA      | $1083258.22    | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#CA0983                                                                  | CUSIP: 3140Q8CV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90959 | PA      | $89204.05      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | 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        |   16947000 | PA      | $16417369.48   | 0.05%             | 2025-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5831                                                                    | CUSIP: 36196HPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     432918 | PA      | $413570.96     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A23124                                                                           | CUSIP: 31297APH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1334 | PA      | $1342.76       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #755971                                                                          | CUSIP: 31403R2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        504 | PA      | $518.16        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    5060000 | NC      | $62108.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #576026                                                                           | CUSIP: 36200X4K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        319 | PA      | $335.04        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #466842                                                                           | CUSIP: 36209BS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        311 | PA      | $320.24        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2044#AV7161                                                                  | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     484717 | PA      | $467755.46     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/39 #692706                                                                           | CUSIP: 36296JR31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96296 | PA      | $94741.75      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #436199                                                                           | CUSIP: 36207MRU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        176 | PA      | $180.77        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3832 PE 5% 3/41                                                                               | CUSIP: 3137A7WV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1156063 | PA      | $1159722.43    | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 06/01/2030#J31990                                                                  | CUSIP: 31307NF74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63545 | PA      | $61615.93      | 0.00%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-C10                                         | JP MORGAN CHASE COML MTG SECS TR 2013-C10 3.3715% 12/15/2047                                      | CUSIP: 46639JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4887841.14    | 0.01%             | 2047-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #251570                                                                           | CUSIP: 31371GMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1435 | PA      | $1496.28       | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 10/35 #835556                                                                          | CUSIP: 31407NH97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12662 | PA      | $13458.85      | 0.00%             | 2035-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #C03856                                                                           | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1285563 | PA      | $1244925.54    | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#CB1638                                                                  | CUSIP: 3140QLZC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43257 | PA      | $39505.59      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH2365                                                                           | CUSIP: 3138A3TX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20150 | PA      | $19488.04      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 11/01/2042#890500                                                                  | CUSIP: 31410LKM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48738 | PA      | $47139.86      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 09/01/2034#CA4232                                                                    | CUSIP: 3140QBV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2440968 | PA      | $2308843.74    | 0.01%             | 2034-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #843693                                                                          | CUSIP: 31407XKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10236 | PA      | $10671.40      | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 3/41 #AH8776                                                                           | CUSIP: 3138AAXE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3362 | PA      | $3322.97       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.75% 02/15/2051 144A                                                                | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   23167000 | PA      | $15994006.35   | 0.05%             | 2051-02-15      | Fixed         | 0.04%                 | 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        |        642 | PA      | $670.07        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 12/01/2040#MA4204                                                                    | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18660 | PA      | $15852.27      | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34547                                                                  | CUSIP: 3132QRBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81155 | PA      | $73452.69      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                         | CORPORATE OFFICE PPTYS LP 2.25% 03/15/2026                                                        | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    7272000 | PA      | $6375526.97    | 0.02%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #252646                                                                           | CUSIP: 31371HTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        218 | PA      | $227.29        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #738119                                                                           | CUSIP: 3620ASAU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32339 | PA      | $32450.03      | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#RA6010                                                                  | CUSIP: 3133KMVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4132520 | PA      | $3807697.73    | 0.01%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 2.6% 03/15/2031                                                                  | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    5542000 | PA      | $4484880.02    | 0.01%             | 2031-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2033#J38387                                                                    | CUSIP: 31307VJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     893089 | PA      | $844706.41     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 4.75% 04/15/2058                                                   | CUSIP: 035240AP5<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   26711000 | PA      | $23446743.78   | 0.07%             | 2058-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/33 #693335                                                                           | CUSIP: 31400PHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3536 | PA      | $3764.34       | 0.00%             | 2033-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP5129                                                                           | CUSIP: 3138M8VX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255072 | PA      | $238440.45     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                   | FIRSTENERGY CORP 7.375% 11/15/2031                                                                | CUSIP: 337932AC1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   36261000 | PA      | $40838951.25   | 0.12%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #464767                                                                           | CUSIP: 36208YJL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        591 | PA      | $615.04        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2045#G61807                                                                    | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1093480 | PA      | $1059203.64    | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/23 #780657                                                                          | CUSIP: 36225AWS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        149 | PA      | $149.46        | 0.00%             | 2023-12-15      | Fixed         | 0.08%                 | 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        |      18044 | PA      | $18849.42      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.30% 8/36 #888199                                                                       | CUSIP: 31410FX42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94766 | PA      | $96525.24      | 0.00%             | 2036-08-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 08/01/2051#FM8469                                                                    | CUSIP: 3140XCMT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13746617 | PA      | $11304191.21   | 0.03%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#RA6987                                                                  | CUSIP: 3133KNXQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10735994 | PA      | $9864448.80    | 0.03%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3432                                                                    | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1783212 | PA      | $1462479.39    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.375% 05/15/2025                                                              | CUSIP: 925650AA1<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    3704000 | PA      | $3592242.73    | 0.01%             | 2025-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 4.6% 06/01/2060                                                    | CUSIP: 035240AU4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $8673559.40    | 0.03%             | 2060-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 09/01/2032#ZK8908                                                                  | CUSIP: 3131XC3R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88909 | PA      | $82981.78      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 3% 01/01/2038 #TBA                                                                      | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   13000000 | PA      | $12181400.40   | 0.04%             | 2038-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB8881                                                                       | CUSIP: 31417F2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328471 | PA      | $298863.46     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 3.75% 05/15/2030                                                               | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   27891000 | PA      | $24591100.32   | 0.07%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 10/01/2052#CB4893                                                                    | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22017308 | PA      | $22004442.85   | 0.06%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2947 XZ 6% 3/35                                                                               | CUSIP: 31395RA81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     512392 | PA      | $528870.94     | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/30 #567034                                                                           | CUSIP: 31386L4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39047 | PA      | $40573.20      | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 05/01/2041#SC0167                                                                  | CUSIP: 3132D9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4694111 | PA      | $4132024.73    | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 10/39 #AC0435                                                                          | CUSIP: 31417JPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44801 | PA      | $44380.52      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2045#AZ9193                                                                  | CUSIP: 3140E2GB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28720 | PA      | $26830.32      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 12/01/2032#SB0030                                                                    | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     974551 | PA      | $928805.51     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 02/01/2032#ZK8527                                                                  | CUSIP: 3131XCPL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48454 | PA      | $45359.88      | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #483639                                                                           | CUSIP: 36209WHQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        322 | PA      | $329.08        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3119 PO 0 2/36                                                                                | CUSIP: 31396HSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     297917 | PA      | $236715.26     | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 2.099/VAR 06/04/2026                                                            | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   25000000 | PA      | $22749913.00   | 0.07%             | 2026-06-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 11/01/2032#ZS8675                                                                  | CUSIP: 3132A9T80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104971 | PA      | $97973.04      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735366                                                                           | CUSIP: 3620AN6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24571 | PA      | $24174.21      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.75% 08/15/2028                                                          | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    5504000 | PA      | $5026748.16    | 0.01%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.65% 7/37 #942609                                                                       | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81279 | PA      | $82607.06      | 0.00%             | 2037-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AL2537                                                                           | CUSIP: 3138EJZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     516178 | PA      | $482502.55     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 3.85% 04/01/2060                                                                      | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   24600000 | PA      | $16345089.44   | 0.05%             | 2060-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2032#BJ3109                                                                  | CUSIP: 3140H4N34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143268 | PA      | $133716.17     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #444382                                                                           | CUSIP: 36207WUF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        208 | PA      | $214.66        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34759                                                                  | CUSIP: 3132QRJD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327385 | PA      | $296312.62     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 1/28 #459649                                                                           | CUSIP: 36208STE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1120 | PA      | $1168.80       | 0.00%             | 2028-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AT3998                                                                  | CUSIP: 3138WRNQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22111 | PA      | $20711.38      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H17 FA 1ML+53 6/61                                                                       | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     927636 | PA      | $921698.10     | 0.00%             | 2061-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/39 #G08368                                                                          | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     406989 | PA      | $403491.31     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18481                                                                  | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     225903 | PA      | $218340.92     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | 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        |     441480 | PA      | $413287.94     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #251115                                                                           | CUSIP: 31371F3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.32         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEERE and CO                                                                       | DEERE and CO 2.75% 04/15/2025                                                                     | CUSIP: 244199BH7<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    3746000 | PA      | $3598101.93    | 0.01%             | 2025-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 10/40#004832                                                                         | CUSIP: 36202FLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7554 | PA      | $7102.99       | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2048#BJ1581                                                                    | CUSIP: 3140H2XK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59518 | PA      | $56914.79      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 12/38 #782495                                                                          | CUSIP: 36241KXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2909 | PA      | $2985.34       | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.29% 3/36 #1G1852                                                                       | CUSIP: 3128QSBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40080 | PA      | $39793.49      | 0.00%             | 2036-03-01      | Variable      | 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        |   42125000 | PA      | $39007791.28   | 0.11%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/44 #AG9361                                                                           | CUSIP: 36182EMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198517 | PA      | $185854.35     | 0.00%             | 2044-02-15      | Fixed         | 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        |   37205000 | PA      | $31786151.65   | 0.09%             | 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        |    5692300 | PA      | $5589586.08    | 0.02%             | 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        |   90088000 | PA      | $88184393.71   | 0.26%             | 2024-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/42 #AJ8222                                                                           | CUSIP: 3138E1D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94740 | PA      | $91557.63      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043                                       | CUSIP: 3136AA4A0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     337628 | PA      | $306742.06     | 0.00%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #469552                                                                           | CUSIP: 36209ETH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1416 | PA      | $1450.67       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #252805                                                                          | CUSIP: 31371HYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        603 | PA      | $627.42        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 11/31 #003161                                                                        | CUSIP: 36202DQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2950 | PA      | $3070.47       | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2048#BK2568                                                                    | CUSIP: 3140HF2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39618 | PA      | $37885.20      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/25 #245463                                                                           | CUSIP: 36219CTU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        269 | PA      | $273.50        | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.95% 01/28/2060                                                              | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   18760000 | PA      | $11870390.00   | 0.03%             | 2060-01-28      | 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        |        843 | PA      | $878.82        | 0.00%             | 2032-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#MA2775                                                                  | CUSIP: 31418CCM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113007 | PA      | $105790.76     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #737311                                                                           | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     212927 | PA      | $213684.67     | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/41 #Q00753                                                                           | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157023 | PA      | $155776.96     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/28 #506236                                                                           | CUSIP: 31383LLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16217 | PA      | $16654.56      | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2045#Q30829                                                                  | CUSIP: 3132QL4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145515 | PA      | $144064.30     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #581908                                                                           | CUSIP: 36201FNZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14906 | PA      | $15582.68      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                                              | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                                       | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10892538 | PA      | $9055814.27    | 0.03%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD0745                                                                  | CUSIP: 36180BZJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58385 | PA      | $53289.29      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #563581                                                                           | CUSIP: 36213TCS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5525 | PA      | $5790.10       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7272                                                                  | CUSIP: 31417ECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21993 | PA      | $19898.20      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/25 #306974                                                                           | CUSIP: 31373X6K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $63.18         | 0.00%             | 2025-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 01/01/2053 #TBA                                                                      | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  599275000 | PA      | $489139521.37  | 1.42%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/41 #A97040                                                                           | CUSIP: 312945ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1898086 | PA      | $1838989.04    | 0.01%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 9/34 #574764                                                                           | CUSIP: 36200WQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11298 | PA      | $11843.26      | 0.00%             | 2034-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #406650                                                                          | CUSIP: 36206BWK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        238 | PA      | $242.38        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #622547                                                                           | CUSIP: 31389DTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7438 | PA      | $7835.60       | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2116                                                                  | CUSIP: 3138MHK69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34813 | PA      | $31547.99      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #584359                                                                           | CUSIP: 36201JE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        616 | PA      | $646.40        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.586%/VAR 04/26/2033                                                       | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   70000000 | PA      | $64803419.10   | 0.19%             | 2033-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                             | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                           | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11843000 | PA      | $11241957.09   | 0.03%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03358                                                                           | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     401446 | PA      | $388834.32     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/41 #AL0913                                                                           | CUSIP: 3138EHAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     491807 | PA      | $514683.98     | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH3394                                                                           | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12651 | PA      | $12242.53      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6302                                                                    | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19634105 | PA      | $16114943.19   | 0.05%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2041#A96051                                                                  | CUSIP: 312944WL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1003032 | PA      | $995093.29     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#740830                                                                  | CUSIP: 3620AVA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81835 | PA      | $76640.34      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2038#AU4761                                                                    | CUSIP: 3138X4JF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429636 | PA      | $414870.76     | 0.00%             | 2038-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #418755                                                                          | CUSIP: 36206RE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        339 | PA      | $346.09        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                        | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |   21143000 | PA      | $18497706.45   | 0.05%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #581769                                                                           | CUSIP: 36201FJN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3860 | PA      | $4054.66       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/28 #251822                                                                           | CUSIP: 31371GVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4165 | PA      | $4348.27       | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029                                                   | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   27295000 | PA      | $22818765.76   | 0.07%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q20358                                                                  | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91188 | PA      | $88135.70      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/51#BQ1010                                                                         | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3006771 | PA      | $2471604.13    | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                      | BX TRUST 2019-IMC C 1ML+160 04/15/34 144A                                                         | CUSIP: 05608BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10407000 | PA      | $9958269.93    | 0.03%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #726916                                                                          | CUSIP: 3620ADSD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42998 | PA      | $42326.51      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737007                                                                           | CUSIP: 3620AQYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105589 | PA      | $103874.28     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #743877                                                                           | CUSIP: 3620AYM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10348 | PA      | $10184.43      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2015-H13 FL 1ML+28 05/63                                                                      | CUSIP: 38376RCN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      10435 | PA      | $10236.48      | 0.00%             | 2063-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2003-21 SK -1ML+810 3/33                                                                      | CUSIP: 31392JY37<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      16298 | PA      | $1913.97       | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/29 #527587                                                                          | CUSIP: 31384MCY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2919 | PA      | $3038.72       | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 4/42 #AK4826                                                                           | CUSIP: 3138E9LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453439 | PA      | $424320.23     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33347                                                                  | CUSIP: 3132QPWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131091 | PA      | $122662.46     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2051#                                                                        | CUSIP: 3133KMLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     988957 | PA      | $904115.58     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/24 #389975                                                                           | CUSIP: 36205GFQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        393 | PA      | $395.94        | 0.00%             | 2024-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #455273                                                                           | CUSIP: 36208MXA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        515 | PA      | $531.67        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/27 #256630                                                                           | CUSIP: 31371NA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9130 | PA      | $9301.32       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                           | LIBERTY MUTUAL GROUP INC 4.569% 02/01/2029 144A                                                   | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   27600000 | PA      | $25798237.22   | 0.07%             | 2029-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR9089                                                                  | CUSIP: 3138W7C36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     527984 | PA      | $479897.90     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                                          | HEALTHPEAK PROPERTIES 3.5% 07/15/2029                                                             | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    3125000 | PA      | $2781021.09    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 2/29 #C22365                                                                           | CUSIP: 31293KTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $278.72        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2040#V81750                                                                  | CUSIP: 3132L65K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1267738 | PA      | $1186225.65    | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                          | MYLAN INC 4.55% 04/15/2028                                                                        | CUSIP: 628530BK2<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |    6911000 | PA      | $6393220.69    | 0.02%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/40 #AB1611                                                                          | CUSIP: 31416WYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36387 | PA      | $34132.54      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+107.21 10/15/2036 144A                                  | CUSIP: 05609PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7417000 | PA      | $6970557.42    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 02/01/2041#                                                                          | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19980 | PA      | $16972.84      | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                      | INTERCONTINENTAL EXCHANGE INC 3.75% 12/01/2025                                                    | CUSIP: 45866FAD6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    4530000 | PA      | $4401680.96    | 0.01%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/41 #748278                                                                          | CUSIP: 3620C4JX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9528 | PA      | $9137.93       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                                             | MARLETTE FUNDING TRUST 1.36% 04/15/2032 144A                                                      | CUSIP: 57109KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |    6404321 | PA      | $6277451.12    | 0.02%             | 2032-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/41 #759100                                                                           | CUSIP: 36230UDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22193 | PA      | $20853.64      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/25 #322344                                                                           | CUSIP: 31374SBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.51         | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN INC                                                       | ANHEUSER-BUSCH INBEV FIN INC 4.7% 02/01/2036                                                      | CUSIP: 035242AM8<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |   46768000 | PA      | $44169701.34   | 0.13%             | 2036-02-01      | 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        |    9575000 | PA      | $8449110.12    | 0.02%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #674064                                                                           | CUSIP: 36295LZ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109632 | PA      | $109963.89     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #781277                                                                          | CUSIP: 36225BM21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        291 | PA      | $298.57        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 06/01/2045#Q34156                                                                  | CUSIP: 3132QQTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     876807 | PA      | $793314.10     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028                                                   | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   28933000 | PA      | $26659814.33   | 0.08%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#MA4467                                                                    | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312023 | PA      | $274976.18     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2044#Q27096                                                                  | CUSIP: 3132M7RR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104401 | PA      | $101036.86     | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.65% 07/01/2026                                                          | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    9376000 | PA      | $8898386.56    | 0.03%             | 2026-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #251410                                                                           | CUSIP: 31371GGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        927 | PA      | $960.82        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #456151                                                                           | CUSIP: 36208NWL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        902 | PA      | $922.32        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #432484                                                                           | CUSIP: 36207HM95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        350 | PA      | $359.71        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 02/34#G30703                                                                       | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11714650 | PA      | $11232156.24   | 0.03%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2047#CA0324                                                                  | CUSIP: 3140Q7LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489556 | PA      | $480722.23     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    4750000 | NC      | $58303.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT SILVER 2019                                                                | SILVER AIRCRAFT LEASE INVT LTD 2019-1 A 3.967% 07/15/2044 144A                                    | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20709669 | PA      | $16315375.20   | 0.05%             | 2044-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97717                                                                  | CUSIP: 312946SE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23526 | PA      | $23509.90      | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511324                                                                           | CUSIP: 31383SAZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2502 | PA      | $2616.45       | 0.00%             | 2029-08-01      | 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 CFX 4.95% 07/05/2023 144A                              | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3450000 | PA      | $3030404.10    | 0.01%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 09/47#MA4720                                                                           | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     685922 | PA      | $658312.06     | 0.00%             | 2047-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738429                                                                           | CUSIP: 3620ASLJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50868 | PA      | $51061.86      | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | 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        |        287 | PA      | $294.13        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 5.8% 05/01/2025                                                                     | CUSIP: 02005NBJ8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   68233000 | PA      | $67875257.11   | 0.20%             | 2025-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 5.247%/VAR 07/26/2030                                                  | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   40470000 | PA      | $38541470.95   | 0.11%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #158759                                                                           | CUSIP: 36216AJC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1832 | PA      | $1881.91       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7376                                                                    | CUSIP: 31419JFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88019 | PA      | $85157.17      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/32 #656362                                                                           | CUSIP: 31390UFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4591 | PA      | $4889.79       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE3871                                                                          | CUSIP: 31419EJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1646 | PA      | $1593.28       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2049#BN9936                                                                  | CUSIP: 3140JTBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208990 | PA      | $213169.60     | 0.00%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 08/01/2038#929854                                                                  | CUSIP: 31412NBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        399 | PA      | $418.80        | 0.00%             | 2038-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34669                                                                    | CUSIP: 31307RFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93931 | PA      | $89599.83      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.25% 12/31/2026                                                                        | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1000000000 | PA      | $895507810.00  | 2.59%             | 2026-12-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 2/1/43 #Q15635                                                                       | CUSIP: 3132J6V50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155194 | PA      | $141337.69     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2048#BJ6169                                                                    | CUSIP: 3140H72B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44400 | PA      | $42458.15      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2046#Q40085                                                                  | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2173418 | PA      | $2028239.49    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01208                                                                           | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64185 | PA      | $63643.94      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 02/01/2042#BU1292                                                                    | CUSIP: 3140M2NJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4550281 | PA      | $3835660.94    | 0.01%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #834769                                                                           | CUSIP: 31407MMS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        716 | PA      | $743.15        | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#FS0288                                                                    | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13618733 | PA      | $11169237.75   | 0.03%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 05/01/2036#880939                                                                  | CUSIP: 31409WV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        956 | PA      | $995.21        | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 08/01/2032#                                                                        | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16384 | PA      | $17135.79      | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293S6F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $310.67        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #563290                                                                           | CUSIP: 36213SXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30638 | PA      | $32065.73      | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #739706                                                                           | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123046 | PA      | $123508.07     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2048#BM3877                                                                    | CUSIP: 3140J8JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1452156 | PA      | $1392266.15    | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 7.1% 11/15/2027                                                                     | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   37620000 | PA      | $38273197.56   | 0.11%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 7/39 #AL0070                                                                           | CUSIP: 3138EGCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14830 | PA      | $14966.20      | 0.00%             | 2039-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7679                                                                    | CUSIP: 31419JQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288355 | PA      | $278894.88     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/25 #319213                                                                           | CUSIP: 31374NSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        152 | PA      | $152.40        | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #748670                                                                          | CUSIP: 3620C4W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16472 | PA      | $15821.32      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2048#Q59935                                                                    | CUSIP: 3132Y4BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     938522 | PA      | $905930.03     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 3.875% 07/20/2025                                                                 | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   20803000 | PA      | $20300128.04   | 0.06%             | 2025-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #931506                                                                           | CUSIP: 31412P3P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94464 | PA      | $93536.93      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.898% 5/35 #995272                                                                      | CUSIP: 31416BT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35487 | PA      | $35608.95      | 0.00%             | 2035-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AE0949                                                                           | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11191 | PA      | $10829.32      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2047#BE8819                                                                    | CUSIP: 3140FUYR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2393415 | PA      | $2301436.43    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #584402                                                                           | CUSIP: 36201JGK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7201 | PA      | $7487.34       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   15000000 | NC      | $184116.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#BE8189                                                                  | CUSIP: 3140FUC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29775 | PA      | $29386.36      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20882                                                                  | CUSIP: 3132JM6T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23589 | PA      | $22799.13      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31296PYK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29592 | PA      | $29749.54      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#734089                                                                  | CUSIP: 3620AMRJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1662657 | PA      | $1595883.66    | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/40 #A94662                                                                          | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185982 | PA      | $184507.94     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #475656                                                                          | CUSIP: 36209MMD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2595 | PA      | $2677.85       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE8539                                                                          | CUSIP: 31419KPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3477 | PA      | $3362.57       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 03/01/2038#969711                                                                  | CUSIP: 31414LYG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59335 | PA      | $61966.48      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2017-74 SH 1ML+620 10/25/2047                                      | CUSIP: 3136AX5D3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |   11012835 | PA      | $1241392.08    | 0.00%             | 2047-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BEECHWOOD PARK CLO LTD                                                             | BEECHWOOD PARK CLO LTD 19-1A A1R TSFR3M+130 01/17/2035 144A                                       | CUSIP: 07355TAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   38048000 | PA      | $37441058.30   | 0.11%             | 2035-01-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                        | PROLOGIS LP 3.25% 06/30/2026                                                                      | CUSIP: 74340XBU4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    2124000 | PA      | $2015365.03    | 0.01%             | 2026-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/40 #741269                                                                           | CUSIP: 3620AVQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14497 | PA      | $14269.83      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #413862                                                                           | CUSIP: 31379AWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3869 | PA      | $3991.23       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H05 FA 1ML+50 12/60                                                                      | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     739474 | PA      | $734423.90     | 0.00%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2048#G67716                                                                  | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1539681 | PA      | $1524386.48    | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.00% 11/31 #003160                                                                       | CUSIP: 36202DQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17754 | PA      | $18300.82      | 0.00%             | 2031-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-63 FN 1ML+100 10/32                                                                      | CUSIP: 31392ED23<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      18486 | PA      | $18670.18      | 0.00%             | 2032-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/24 #265750                                                                           | CUSIP: 31371YEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.71          | 0.00%             | 2024-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 07/01/2025#                                                                          | CUSIP: 31335GLB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         60 | PA      | $61.31         | 0.00%             | 2025-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #719739                                                                          | CUSIP: 3620A5S42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16953 | PA      | $17763.80      | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/25 #319640                                                                           | CUSIP: 31374PBH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $93.58         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7567                                                                  | CUSIP: 31417EMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31429 | PA      | $28596.39      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH0358                                                                           | CUSIP: 3138A1MG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12193 | PA      | $11809.43      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 2/23 #342527                                                                           | CUSIP: 36224YPL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1 | PA      | $1.06          | 0.00%             | 2023-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2010-150 ZC 4.75% 01/41                                                                       | CUSIP: 31397QAV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    1870831 | PA      | $1836948.97    | 0.01%             | 2041-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/44#AW5410                                                                       | CUSIP: 3138XVAL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24797 | PA      | $25185.33      | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2032#FM1681                                                                  | CUSIP: 3140X42P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7593916 | PA      | $7108991.62    | 0.02%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                                                    | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     109884 | PA      | $3743.04       | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AT1323                                                                    | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206861 | PA      | $192175.19     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35372                                                                             | CUSIP: 3132QR6J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     237315 | PA      | $214790.68     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 5/40 #004696                                                                        | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112912 | PA      | $111752.72     | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                              | 3M CO 2.65% 04/15/2025                                                                            | CUSIP: 88579YBM2<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    1885000 | PA      | $1800847.00    | 0.01%             | 2025-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 06/01/2045#Q34103                                                                  | CUSIP: 3132QQRZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63152 | PA      | $57296.42      | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 08/01/2050#SD7523                                                                  | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8983038 | PA      | $7745970.39    | 0.02%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 10/15/2040#740554                                                                  | CUSIP: 3620AUWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5043 | PA      | $4964.46       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                                                   | MORGAN STANLEY CAP I TR 2018-BOP 1ML+125 06/15/2035 144A                                          | CUSIP: 61768FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     618400 | PA      | $580483.05     | 0.00%             | 2033-08-15      | Variable      | 0.06%                 | 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        |    6731838 | PA      | $5392416.37    | 0.02%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/27 #361825                                                                           | CUSIP: 31376P4J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         91 | PA      | $94.12         | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC                                              | DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC 3ML+115 10/15/2035 144A                                     | CUSIP: 26246BAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   23913000 | PA      | $23227055.60   | 0.07%             | 2035-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 10/31/2024                                                                       | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41600000 | PA      | $41481375.10   | 0.12%             | 2024-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.84% 01/23/2030                                                              | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   68521000 | PA      | $56666867.00   | 0.16%             | 2030-01-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7273                                                                  | CUSIP: 31417ECK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104078 | PA      | $94190.89      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2045#Q37045                                                                    | CUSIP: 3132QTZK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170947 | PA      | $164850.04     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/26 #351873                                                                           | CUSIP: 31376C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        128 | PA      | $131.29        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR0530                                                                  | CUSIP: 3138NWSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100206 | PA      | $90623.13      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/25 #318815                                                                           | CUSIP: 31374NDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $48.44         | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #453330                                                                           | CUSIP: 36208KST7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        815 | PA      | $829.45        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 7/24 #403923                                                                           | CUSIP: 36205XVQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $25.78         | 0.00%             | 2024-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2049#CA4860                                                                    | CUSIP: 3140QCMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10812488 | PA      | $9631766.34    | 0.03%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                                 | PEACE PARK CLO LTD 3ML+113 10/20/2034 144A                                                        | CUSIP: 70470MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   26956000 | PA      | $26246437.21   | 0.08%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/38 #995876                                                                          | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1766 | PA      | $1848.76       | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 5.55% 03/15/2026                                                        | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   26200000 | PA      | $26101750.00   | 0.08%             | 2026-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/27 #445540                                                                          | CUSIP: 36207X4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        311 | PA      | $317.42        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | 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        |      42607 | PA      | $44561.07      | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.125% 01/15/2026                                                     | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    7649000 | PA      | $7419104.18    | 0.02%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #454037                                                                           | CUSIP: 36208LLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        534 | PA      | $550.01        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20707                                                                  | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154863 | PA      | $149678.62     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #411802                                                                           | CUSIP: 36206HNT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        321 | PA      | $330.23        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/42#AP5393                                                                       | CUSIP: 3138M87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182629 | PA      | $170954.13     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #353706                                                                           | CUSIP: 36203M3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        603 | PA      | $621.97        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXI LTD 2019-21A A                                                       | MAGNETITE XXI LTD 2019-21A A 3ML+102 04/20/2034 144A                                              | CUSIP: 55954PAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   25147000 | PA      | $24506983.70   | 0.07%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #590306                                                                           | CUSIP: 36201QYB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        416 | PA      | $434.85        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #398926                                                                           | CUSIP: 31378HD73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        624 | PA      | $643.71        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH0352                                                                           | CUSIP: 3138A1MA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2548 | PA      | $2466.81       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #412598                                                                           | CUSIP: 31378YKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        477 | PA      | $493.99        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 11/15/2032                                                                       | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1083000000 | PA      | $1105167656.25 | 3.20%             | 2032-11-15      | Fixed         | 0.04%                 | 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        |    4171688 | PA      | $3910703.45    | 0.01%             | 2061-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #462434                                                                          | CUSIP: 36208VV36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2076 | PA      | $2132.60       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #734392                                                                           | CUSIP: 3620AM2Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102336 | PA      | $102766.15     | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/39 #710683                                                                           | CUSIP: 36297FRC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2718 | PA      | $2675.38       | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                               | BARCLAYS PLC (UNGTD) 2.894%/VAR 11/24/2032                                                        | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   13572000 | PA      | $10336210.18   | 0.03%             | 2032-11-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/40 #AD0732                                                                           | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     544062 | PA      | $569308.61     | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #682568                                                                          | CUSIP: 36295WJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     309122 | PA      | $296934.21     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #520056                                                                           | CUSIP: 36211QWR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1055 | PA      | $1097.93       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #395754                                                                           | CUSIP: 31378DTK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         65 | PA      | $67.64         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13654                                                                  | CUSIP: 3132HQBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78459 | PA      | $75892.86      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #838762                                                                           | CUSIP: 31407RZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        643 | PA      | $653.48        | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 2.25% 11/15/2031                                                                 | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   40000000 | PA      | $31463966.40   | 0.09%             | 2031-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2032#                                                                          | CUSIP: 31287NUQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6178 | PA      | $6364.53       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2041#                                                                          | CUSIP: 3132GEQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11484 | PA      | $11166.34      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/1/42 #AL3046                                                                    | CUSIP: 3138EKL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     614257 | PA      | $556722.61     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#SD0803                                                                    | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300960 | PA      | $265014.73     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 11/15/2042#AB9201                                                                    | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51192 | PA      | $49091.85      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC                            | EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC 3ML+125 01/15/2034 144A                   | CUSIP: 27830BBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $5851938.00    | 0.02%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033                                                    | CUSIP: 31394KF41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     283883 | PA      | $285469.26     | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #460810                                                                           | CUSIP: 36208T3T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         63 | PA      | $65.29         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2044#Q30272                                                                  | CUSIP: 3132QLJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16441 | PA      | $16344.00      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 10/15/2040#705890                                                                  | CUSIP: 36297AF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     271736 | PA      | $261001.09     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                        | VIATRIS INC 4% 06/22/2050                                                                         | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   16712000 | PA      | $10296895.75   | 0.03%             | 2050-06-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2052#FS3083                                                                    | CUSIP: 3140XJM91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28562079 | PA      | $26946756.59   | 0.08%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.375% 08/15/2042                                                     | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  485600000 | PA      | $434005000.00  | 1.26%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #445661                                                                           | CUSIP: 36207YB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        652 | PA      | $674.40        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 12/41 #005259                                                                       | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1232713 | PA      | $1187645.04    | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #678655                                                                           | CUSIP: 36295R5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139434 | PA      | $137255.91     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2048#BJ2763                                                                  | CUSIP: 3140H4B94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15550472 | PA      | $15240716.01   | 0.04%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 4/32 #C01343                                                                           | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4210 | PA      | $4402.02       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 10/29 #515956                                                                          | CUSIP: 36211LE57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        228 | PA      | $241.01        | 0.00%             | 2029-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                         | CIGNA CORP 4.8% 07/15/2046                                                                        | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    9700000 | PA      | $8653603.19    | 0.03%             | 2046-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.252% 08/01/2041#                                                                      | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     791416 | PA      | $793797.45     | 0.00%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #449782                                                                          | CUSIP: 36208FUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        140 | PA      | $140.71        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 03/01/2041#RB5104                                                                  | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2089602 | PA      | $1708766.72    | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.5% 03/01/2028                                                           | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $2844250.00    | 0.01%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 09/01/2052#CB4682                                                                    | CUSIP: 3140QQFY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22922360 | PA      | $22908966.89   | 0.07%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 9/41 #783403                                                                           | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2723 | PA      | $2558.12       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5.5% 02/15/2035                                                    | CUSIP: 31395MRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1060166 | PA      | $1089662.61    | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                      | AIA GROUP LTD 3.2% 09/16/2040 144A                                                                | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   15222000 | PA      | $10864466.25   | 0.03%             | 2040-09-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #667416                                                                           | CUSIP: 36295DN96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20948 | PA      | $21001.00      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AL5059                                                                  | CUSIP: 3138EMTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1047812 | PA      | $953365.20     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/36 #745154                                                                           | CUSIP: 31403CZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12278 | PA      | $12772.49      | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 10/25 #409616                                                                          | CUSIP: 36206FAR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        792 | PA      | $808.96        | 0.00%             | 2025-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #407933                                                                          | CUSIP: 31378TEE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2220 | PA      | $2303.24       | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2031#V61246                                                                  | CUSIP: 3132KFL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1573955 | PA      | $1476709.46    | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 10/24 #383287                                                                          | CUSIP: 36204XXQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        156 | PA      | $157.43        | 0.00%             | 2024-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H07 FA 1ML+63 3/20/62                                                                    | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     440095 | PA      | $436493.68     | 0.00%             | 2062-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 5% 04/48#784805                                                                           | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3910362 | PA      | $3968878.28    | 0.01%             | 2048-04-20      | Fixed         | 0.05%                 | 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        |   12876000 | PA      | $12568078.19   | 0.04%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                                                    | CUSIP: 31394EWW4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    1008712 | PA      | $1017432.29    | 0.00%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H18 AF 1ML+30 9/60                                                                       | CUSIP: 38375BER9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     357804 | PA      | $353951.22     | 0.00%             | 2060-09-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #555999                                                                          | CUSIP: 36213JUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1232 | PA      | $1290.30       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2044#AW5937                                                                  | CUSIP: 3138XVS35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6908 | PA      | $6863.19       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 04/15/2043#AA6309                                                                  | CUSIP: 36178EAJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259409 | PA      | $243024.65     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #678648                                                                          | CUSIP: 36295R5H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164327 | PA      | $161751.88     | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 08/15/2040#747723                                                                  | CUSIP: 3620C3VQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17212 | PA      | $17279.00      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 4.5% 06/01/2050                                                    | CUSIP: 035240AT7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $26239142.70   | 0.08%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #251500                                                                           | CUSIP: 31371GKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        241 | PA      | $247.48        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/25 #413425                                                                           | CUSIP: 36206KHA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         72 | PA      | $73.01         | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/28 #313947                                                                           | CUSIP: 31374GWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        767 | PA      | $789.62        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/47#BH4269                                                                         | CUSIP: 3140GSW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189289 | PA      | $182015.09     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2048#BJ9357                                                                    | CUSIP: 3140HBMF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384803 | PA      | $367609.62     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029                                                | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   24028000 | PA      | $21482504.92   | 0.06%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2042#AK6744                                                                    | CUSIP: 3138EBP66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118893 | PA      | $114964.08     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 10/41 #005202                                                                       | CUSIP: 36202FX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12699 | PA      | $11926.90      | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 7/40 #A93142                                                                           | CUSIP: 312941P35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124158 | PA      | $123098.47     | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2044#G07922                                                                  | CUSIP: 3128MAD30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4813517 | PA      | $4513046.99    | 0.01%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2051#                                                                        | CUSIP: 3140QLJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61398293 | PA      | $56130989.00   | 0.16%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 08/45#AS5634                                                                            | CUSIP: 3138WFHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4065882 | PA      | $3671441.82    | 0.01%             | 2045-08-01      | Fixed         | 0.03%                 | 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        |   47312880 | PA      | $40953196.48   | 0.12%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #441653                                                                           | CUSIP: 36207TTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        522 | PA      | $538.91        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #722204                                                                           | CUSIP: 3620A8KR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76624 | PA      | $75398.21      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #591551                                                                           | CUSIP: 36201SEY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2560 | PA      | $2692.00       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #468613                                                                           | CUSIP: 36209DSA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1800 | PA      | $1885.53       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | 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        |   65272390 | PA      | $58305946.28   | 0.17%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.417% 12/01/2040#848392                                                                 | CUSIP: 31300LKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     462971 | PA      | $463381.05     | 0.00%             | 2040-12-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #578193                                                                           | CUSIP: 36201BKE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8123 | PA      | $8370.61       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #476632                                                                           | CUSIP: 36209NPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         81 | PA      | $82.96         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.65% 5/35 #1B2900                                                                       | CUSIP: 3128JNDE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81811 | PA      | $82282.68      | 0.00%             | 2035-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2010-139 NI 4.5% 2/40                                                                         | CUSIP: 31398SVQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     111677 | PA      | $2917.51       | 0.00%             | 2040-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 04/20/2044#MA1838                                                                    | CUSIP: 36179QBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5972 | PA      | $5617.44       | 0.00%             | 2044-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.25% 04/15/2029                                                               | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   10158000 | PA      | $9822338.54    | 0.03%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 339 5 5.5% 8/33                                                                               | CUSIP: 3136FAZ78<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      63984 | PA      | $10609.53      | 0.00%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 8/45#AZ5626                                                                             | CUSIP: 3138YXHC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     521045 | PA      | $501998.47     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 10/20/2050#MA6930                                                                      | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10767219 | PA      | $9094606.99    | 0.03%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2% 08/15/2051                                                         | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1412404000 | PA      | $924793580.75  | 2.68%             | 2051-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2357 ZB 6.5% 9/31                                                                             | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     216774 | PA      | $222050.36     | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720075                                                                           | CUSIP: 3620A56L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14614 | PA      | $14379.97      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 05/01/2051#SD7540                                                                  | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28266734 | PA      | $24298994.42   | 0.07%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                        | BOSTON PPTYS LTD PARTNERSHIP 6.75% 12/01/2027                                                     | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   24397000 | PA      | $25155901.38   | 0.07%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2101 PD 6% 11/28                                                                              | CUSIP: 3133TGPD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7747 | PA      | $7867.57       | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | 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        |  109642055 | PA      | $6663199.84    | 0.02%             | 2053-03-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AE6390                                                                           | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3345708 | PA      | $3237930.67    | 0.01%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/23 #050765                                                                           | CUSIP: 313615MN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.07          | 0.00%             | 2023-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 01/01/2043#Q15247                                                                  | CUSIP: 3132J6HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163296 | PA      | $148715.99     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2044#Q30263                                                                  | CUSIP: 3132QLJH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98373 | PA      | $97453.08      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | 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        |   39949000 | PA      | $29724730.59   | 0.09%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/48#G61343                                                                         | CUSIP: 31335BP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1977230 | PA      | $1897445.87    | 0.01%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #Q00114                                                                           | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     181499 | PA      | $179979.50     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/26 #250440                                                                           | CUSIP: 31371FEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1429 | PA      | $1451.29       | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 11/27 #780795                                                                          | CUSIP: 36225A3C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        166 | PA      | $173.37        | 0.00%             | 2027-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #403301                                                                          | CUSIP: 31378NAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $133.14        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                    | FOX CORP 5.576% 01/25/2049                                                                        | CUSIP: 35137LAK1<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    5934000 | PA      | $5294261.81    | 0.02%             | 2049-01-25      | Fixed         | 0.06%                 | 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        |   31096767 | PA      | $24411895.26   | 0.07%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#FS3295                                                                    | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7254511 | PA      | $7227601.83    | 0.02%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#Q01212                                                                  | CUSIP: 3132GEKZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27432 | PA      | $27214.72      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2043#AD5680                                                                  | CUSIP: 36180HJZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39930 | PA      | $38357.27      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #457336                                                                          | CUSIP: 36208QBD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        982 | PA      | $1009.87       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | 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        |   28366000 | PA      | $27877284.46   | 0.08%             | 2024-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE9416                                                                          | CUSIP: 31419LPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22811 | PA      | $22055.71      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2044#Q26388                                                                  | CUSIP: 3132M6XR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11127 | PA      | $11030.87      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #399562                                                                           | CUSIP: 31378HZ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        214 | PA      | $218.93        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE9771                                                                    | CUSIP: 31419L2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222626 | PA      | $215371.34     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB6821                                                                  | CUSIP: 36178TSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18640 | PA      | $17442.63      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #430604                                                                           | CUSIP: 36207FKR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $54.71         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03561                                                                           | CUSIP: 3132GJTS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     211297 | PA      | $204835.72     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #485866                                                                          | CUSIP: 36209YW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1279 | PA      | $1341.12       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781019                                                                           | CUSIP: 36225BDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        170 | PA      | $175.16        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2042#AP8794                                                                  | CUSIP: 3138MCXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51795 | PA      | $48413.35      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #466882                                                                           | CUSIP: 36209BUF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        733 | PA      | $755.63        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #608317                                                                           | CUSIP: 31388LYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        213 | PA      | $225.69        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/24 #390038                                                                           | CUSIP: 36205GHP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        173 | PA      | $175.37        | 0.00%             | 2024-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2049#ZA6262                                                                    | CUSIP: 31329P5X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3119452 | PA      | $2972520.37    | 0.01%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2050#BR8995                                                                    | CUSIP: 3617M77G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45893 | PA      | $42362.32      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2048#BK3214                                                                    | CUSIP: 3140HGSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120029 | PA      | $115115.96     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 7/27 #256821                                                                      | CUSIP: 31371NG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84678 | PA      | $85946.26      | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | 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        |   18323000 | PA      | $15097341.39   | 0.04%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC41                                                    | CITIGROUP COML MTG TR 2019-GC41 CSTR 08/10/2056                                                   | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   51493327 | PA      | $2378935.07    | 0.01%             | 2056-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                           | UTAH ACQUISITION SUB INC 3.95% 06/15/2026                                                         | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |   12375000 | PA      | $11568951.03   | 0.03%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1458                                                                  | CUSIP: 3138NXTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199936 | PA      | $181914.27     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2035#G01853                                                                  | CUSIP: 3128LXBW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        578 | PA      | $572.11        | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/40 #G05898                                                                           | CUSIP: 3128M73F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140663 | PA      | $142447.63     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 11/31 #C01258                                                                          | CUSIP: 31292HMF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8746 | PA      | $9013.20       | 0.00%             | 2031-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/26 #430778                                                                           | CUSIP: 36207FQ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        636 | PA      | $652.94        | 0.00%             | 2026-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15107                                                                  | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87782 | PA      | $84870.84      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #724389                                                                          | CUSIP: 3620AAXS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8728 | PA      | $8591.61       | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 08/01/2034#C91782                                                                  | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1866427 | PA      | $1788387.42    | 0.01%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 12/37 #A69706                                                                          | CUSIP: 3128L1YB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116288 | PA      | $121961.84     | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                         | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   28439000 | PA      | $29263446.61   | 0.08%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-C26                                                   | WELLS FARGO COML MTG TR 2015-C26 A4 3.166% 02/15/2048                                             | CUSIP: 94989CAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16246000 | PA      | $15451312.29   | 0.04%             | 2048-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2041#AJ0855                                                                  | CUSIP: 3138AR5R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81121 | PA      | $80696.97      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2047#BJ4279                                                                    | CUSIP: 3140H5XH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393229 | PA      | $377380.26     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR 1ML+88 03/15/2036 144A                                                       | CUSIP: 53218CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7331974 | PA      | $7005360.55    | 0.02%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2046#AL9515                                                                  | CUSIP: 3138ERSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2163422 | PA      | $2016359.79    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 01/01/2039#K94441                                                                    | CUSIP: 3132LQZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141280 | PA      | $136941.48     | 0.00%             | 2039-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q33724                                                                  | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     290890 | PA      | $272187.02     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2047#BH2621                                                                  | CUSIP: 3140GQ4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25113 | PA      | $24660.17      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 07/15/2045#AN5744                                                                  | CUSIP: 36186NLZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140173 | PA      | $134039.67     | 0.00%             | 2045-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2039#AS3482                                                                    | CUSIP: 3138WC2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553745 | PA      | $534021.82     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 1/24 #266169                                                                           | CUSIP: 31371YT27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $40.91         | 0.00%             | 2024-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/40 #A92350                                                                           | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162492 | PA      | $164554.05     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #604620                                                                           | CUSIP: 31388GVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        515 | PA      | $544.70        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2043#AD7475                                                                    | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66568 | PA      | $63988.23      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 06/01/2027#                                                                        | CUSIP: 31283GZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        604 | PA      | $622.51        | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE7472                                                                          | CUSIP: 31419JJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21073 | PA      | $20401.55      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2041#738107                                                                    | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43088 | PA      | $41373.06      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | 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        |      11239 | PA      | $9919.14       | 0.00%             | 2034-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2047#AS9990                                                                  | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     411056 | PA      | $403895.94     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AC2222                                                                  | CUSIP: 36179BPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47769 | PA      | $43599.71      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.228% 7/41#AI3469                                                                       | CUSIP: 3138AG2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23962 | PA      | $24324.06      | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE T1Y 3.337%/VAR 01/21/2033 144A                                            | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   17500000 | PA      | $13780714.15   | 0.04%             | 2033-01-21      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720064                                                                           | CUSIP: 3620A55Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105378 | PA      | $103663.95     | 0.00%             | 2039-06-15      | Fixed         | 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        |   40100000 | PA      | $1076544.65    | 0.00%             | 2042-10-10      | Variable      | 0.00%                 | 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        |   30867000 | PA      | $27132127.26   | 0.08%             | 2030-04-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AC9633                                                                  | CUSIP: 36179KV27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20710 | PA      | $19395.78      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 9/26 #G30299                                                                      | CUSIP: 3128CUKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18724 | PA      | $19072.40      | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE4598                                                                  | CUSIP: 36180XDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70554 | PA      | $66075.83      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 11/01/2048#CA2656                                                                  | CUSIP: 3140Q95S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2167747 | PA      | $2228101.78    | 0.01%             | 2048-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2042#AQ3314                                                                  | CUSIP: 3138MJVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201440 | PA      | $200197.43     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/23 #355712                                                                           | CUSIP: 36203QDR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        520 | PA      | $521.29        | 0.00%             | 2023-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                     | MAGALLANES INC 3.428% 03/15/2024 144A                                                             | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   18446000 | PA      | $17906791.51   | 0.05%             | 2024-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2040#A93375                                                                  | CUSIP: 312941XC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8557 | PA      | $8486.31       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2048#BK5363                                                                    | CUSIP: 3140HJ5Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30642 | PA      | $29273.30      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5857                                                                    | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     494516 | PA      | $472416.12     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 07/15/2040#739708                                                                  | CUSIP: 3620ATYD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3861 | PA      | $3876.42       | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2052#CB3174                                                                  | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9960631 | PA      | $9074212.12    | 0.03%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH4471                                                                           | CUSIP: 3138A56H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54364 | PA      | $52608.58      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.3% 08/15/2031                                                                         | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    6610000 | PA      | $7176475.88    | 0.02%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#AL9776                                                                  | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10380596 | PA      | $9668470.16    | 0.03%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0739                                                                  | CUSIP: 3138NWZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191857 | PA      | $174563.73     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #448957                                                                           | CUSIP: 36208EWS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        410 | PA      | $423.95        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 6.50% 1/27 #D97164                                                                      | CUSIP: 3128E35Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8267 | PA      | $8383.83       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #413298                                                                           | CUSIP: 36206KDB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1365 | PA      | $1406.61       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 02/15/2045#777576                                                                  | CUSIP: 36176VT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     254945 | PA      | $232216.35     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 04/01/2041#AI1360                                                                  | CUSIP: 3138AEQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139368 | PA      | $141017.92     | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605721                                                                          | CUSIP: 36200N4E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1747 | PA      | $1832.80       | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/40 #723739                                                                           | CUSIP: 3620AABG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95317 | PA      | $91502.34      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/40#V81744                                                                       | CUSIP: 3132L65D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     620407 | PA      | $580516.23     | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 10/01/2045#AL7413                                                                  | CUSIP: 3138EQGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230950 | PA      | $223012.71     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13121                                                                  | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     325445 | PA      | $315029.68     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG 3.091%/VAR 05/14/2032 144A                                                   | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   13398000 | PA      | $9257300.40    | 0.03%             | 2032-05-14      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                        | BOSTON PPTYS LTD PARTNERSHIP 3.25% 01/30/2031                                                     | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   16564000 | PA      | $13693105.66   | 0.04%             | 2031-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 4.5% 04/15/2050                                                                  | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   10830000 | PA      | $8903749.56    | 0.03%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #475908                                                                           | CUSIP: 36209MU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1494 | PA      | $1536.14       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 09/15/2039#713871                                                                  | CUSIP: 36297KCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80202 | PA      | $78925.71      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #450614                                                                          | CUSIP: 36208GSB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        291 | PA      | $299.06        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                           | CHC COML MTG TR 2019-CHC 1ML+175 06/15/2034 144A                                                  | CUSIP: 162665AJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8364836 | PA      | $7763171.03    | 0.02%             | 2034-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #738106                                                                           | CUSIP: 3620ASAF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47517 | PA      | $47719.55      | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/24 #377223                                                                           | CUSIP: 36204RAY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $54.27         | 0.00%             | 2024-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #550440                                                                           | CUSIP: 36213CPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        160 | PA      | $167.71        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43#AR5355                                                                      | CUSIP: 3138W25R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66140 | PA      | $61953.65      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 7/40 #004923                                                                        | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     305069 | PA      | $301961.19     | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #476062                                                                           | CUSIP: 36209MZ31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        133 | PA      | $134.91        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19606                                                                  | CUSIP: 3132JBDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128912 | PA      | $124596.39     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 3/25 #780075                                                                           | CUSIP: 36225ACL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $18.42         | 0.00%             | 2025-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#727029                                                                  | CUSIP: 31402EVW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9567 | PA      | $9441.46       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2018                                                       | DRSLF 2020-78A A 3ML+118 04/17/2033 144A                                                          | CUSIP: 26253LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20000000 | PA      | $19574060.00   | 0.06%             | 2033-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AD8779                                                                          | CUSIP: 31418WXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3317 | PA      | $3223.74       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 7.55% 03/15/2028                                                   | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   33242000 | PA      | $32599739.96   | 0.09%             | 2028-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/39 #935695                                                                          | CUSIP: 31412U7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48950 | PA      | $48501.30      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#AZ2035                                                                  | CUSIP: 3138YTHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205780 | PA      | $198258.06     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/36 #888342                                                                           | CUSIP: 31410F5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273475 | PA      | $283029.84     | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG 3.8% 06/09/2023                                                              | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   43060000 | PA      | $41929675.00   | 0.12%             | 2023-06-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2171                                                                  | CUSIP: 3138MHMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160562 | PA      | $145320.19     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 5.5% 09/13/2025                                                                     | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   42579000 | PA      | $42839613.71   | 0.12%             | 2025-09-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/24 #365072                                                                           | CUSIP: 36204BQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        394 | PA      | $397.76        | 0.00%             | 2024-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                        | BAMLL COML MTG SECS TR 2019 3.287% 11/05/2032 144A                                                | CUSIP: 05492PAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38000000 | PA      | $35179636.20   | 0.10%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 10/1/41 #AL1697                                                                    | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38843 | PA      | $37585.10      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2013-133 IB 3% 04/32                                                                          | CUSIP: 3136AHQ94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     331904 | PA      | $10558.93      | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2045#AN5671                                                                  | CUSIP: 36186NJQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51886 | PA      | $49680.54      | 0.00%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #513746                                                                           | CUSIP: 36211HWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         29 | PA      | $30.31         | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 09/01/2033#                                                                          | CUSIP: 31283HX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96734 | PA      | $99896.09      | 0.00%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2051#                                                                        | CUSIP: 3140L0K55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4865344 | PA      | $4447950.51    | 0.01%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3366 FD 1ML+25 5/37                                                                           | CUSIP: 31397KMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     321445 | PA      | $316560.49     | 0.00%             | 2037-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60561                                                                  | CUSIP: 31335ATS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35490 | PA      | $33164.17      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #482687                                                                           | CUSIP: 36209VF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        188 | PA      | $192.55        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #520559                                                                          | CUSIP: 31384DJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4178 | PA      | $4413.88       | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2050#BR8994                                                                    | CUSIP: 3617M77F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38751 | PA      | $35770.07      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #778681                                                                          | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     238138 | PA      | $228366.75     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2348                                                                    | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12732585 | PA      | $10454410.82   | 0.03%             | 2051-12-01      | 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        |      62071 | PA      | $64920.55      | 0.00%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2047#Q48759                                                                  | CUSIP: 3132WNWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2623147 | PA      | $2586433.91    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7382                                                                    | CUSIP: 31419JFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101724 | PA      | $98542.86      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GESV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109431 | PA      | $108562.34     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/43#AQ1113                                                                      | CUSIP: 3138MGGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378904 | PA      | $344751.05     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #833016                                                                           | CUSIP: 31407KN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        831 | PA      | $853.95        | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 5/45#Q33470                                                                             | CUSIP: 3132QP2C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72283 | PA      | $65535.74      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 6/41 #005082                                                                        | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1756028 | PA      | $1738087.61    | 0.01%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #773365                                                                           | CUSIP: 36176Q6A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45433 | PA      | $42573.22      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/24 #388655                                                                           | CUSIP: 36205EWQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        184 | PA      | $186.16        | 0.00%             | 2024-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CRPT 2021                                                                          | CRPT 2021 1ML+220 07/15/2034 144A                                                                 | CUSIP: 12566BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     352146 | PA      | $348908.82     | 0.00%             | 2036-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19690                                                                  | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     273079 | PA      | $263936.92     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/32 #643194                                                                           | CUSIP: 31390DRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3188 | PA      | $3296.37       | 0.00%             | 2032-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 5/27 #256738                                                                      | CUSIP: 31371NEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14000 | PA      | $14203.78      | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                                                   | UPSTART SECURITIZATION TR 2021-1 0.91% 06/20/2031 144A                                            | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6567707 | PA      | $6455915.14    | 0.02%             | 2031-06-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/29 #323704                                                                           | CUSIP: 31374TRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        454 | PA      | $470.36        | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2051#                                                                        | CUSIP: 3133AFYY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     721942 | PA      | $661586.90     | 0.00%             | 2051-02-01      | Fixed         | 0.04%                 | 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        |    9552000 | PA      | $9256064.52    | 0.03%             | 2024-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #416921                                                                           | CUSIP: 31379ED20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $159.06        | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 12/15/2041#778657                                                                  | CUSIP: 36176WZW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23259 | PA      | $21828.77      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 11/01/2032#C73584                                                                    | CUSIP: 31288B6V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71923 | PA      | $74161.19      | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #780551                                                                           | CUSIP: 36225ATG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         35 | PA      | $36.20         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/46#AS7008                                                                         | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182750 | PA      | $169775.93     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 2/41 #AH5581                                                                           | CUSIP: 3138A7FX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17436 | PA      | $17276.27      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/40 #723743                                                                           | CUSIP: 3620AABL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42684 | PA      | $41014.45      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 2/27 #256628                                                                      | CUSIP: 31371NA54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7571 | PA      | $7667.84       | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A                                                   | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   10574000 | PA      | $8377138.99    | 0.02%             | 2030-10-01      | Fixed         | 0.03%                 | 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 3.625% 01/15/2032 144A                         | CUSIP: 46590XAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18075000 | PA      | $14640750.00   | 0.04%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #474767                                                                           | CUSIP: 36209LMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        897 | PA      | $936.53        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                              | 3M CO 3.7% 04/15/2050                                                                             | CUSIP: 88579YBP5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    1875000 | PA      | $1435262.14    | 0.00%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 9/33 #C01622                                                                           | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42454 | PA      | $42658.89      | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/23 #780738                                                                          | CUSIP: 36225AZB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        369 | PA      | $369.84        | 0.00%             | 2023-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2046#AS6486                                                                    | CUSIP: 3138WGF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357152 | PA      | $344654.85     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #411518                                                                          | CUSIP: 31378XDX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $78.41         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 4/1/43 #AB9017                                                                     | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66374 | PA      | $60391.51      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #339193                                                                           | CUSIP: 31375MXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        374 | PA      | $378.17        | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2041#AI5633                                                                  | CUSIP: 3138AKHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26413 | PA      | $26743.79      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                                           | MHC COML MTG TR 2021-MHC A 1ML+80.096 04/15/2026 144A                                             | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33700000 | PA      | $32682816.05   | 0.09%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/27 #780631                                                                           | CUSIP: 36225AVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        141 | PA      | $143.79        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/25 #412993                                                                           | CUSIP: 36206JXW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2086 | PA      | $2116.61       | 0.00%             | 2025-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2006-62 KP PO 0% 4/36                                                                         | CUSIP: 31395N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     123109 | PA      | $99817.58      | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #451362                                                                           | CUSIP: 36208HMK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        165 | PA      | $170.58        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2040#                                                                          | CUSIP: 312940LA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44565 | PA      | $45065.74      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/31 #551661                                                                           | CUSIP: 36213DZ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3363 | PA      | $3537.15       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | 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        |    4968000 | PA      | $4687342.78    | 0.01%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 09/01/2031#BD6126                                                                  | CUSIP: 3140FDYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1005795 | PA      | $941568.13     | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2029#                                                                        | CUSIP: 31292G6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12915 | PA      | $13596.54      | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 4/34 #574566                                                                           | CUSIP: 36200WJK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3282 | PA      | $3344.67       | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040                                                    | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1059187 | PA      | $1034870.28    | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 10/01/2052#RA7615                                                                  | CUSIP: 3133KPN87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9937576 | PA      | $9993767.66    | 0.03%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 10/24 #385300                                                                          | CUSIP: 36205A7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47 | PA      | $47.22         | 0.00%             | 2024-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2040#V81771                                                                  | CUSIP: 3132L66G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162185 | PA      | $151757.10     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24546                                                                  | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128920 | PA      | $124564.03     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT0648                                                                     | CUSIP: 3138WMWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1771711 | PA      | $1659580.81    | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047                                                      | CUSIP: 38380UVE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3456231 | PA      | $3219814.34    | 0.01%             | 2047-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047 | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   71848000 | PA      | $56360628.33   | 0.16%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2048#MA3307                                                                  | CUSIP: 31418CU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388884 | PA      | $381380.55     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #449061                                                                          | CUSIP: 36208EZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        443 | PA      | $457.91        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 3.352%/VAR 04/24/2025                                                               | CUSIP: 172967MF5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   23697000 | PA      | $22978465.25   | 0.07%             | 2025-04-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 1996-28 PK 6.5% 7/25                                                                          | CUSIP: 31359KKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       6238 | PA      | $6219.42       | 0.00%             | 2025-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #737111                                                                           | CUSIP: 3620AQ3U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101878 | PA      | $100272.49     | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552550                                                                          | CUSIP: 36213EZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     189529 | PA      | $181814.16     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MTR CR CO LLC 5.584% 03/18/2024                                                              | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   30750000 | PA      | $30345637.50   | 0.09%             | 2024-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE2683                                                                          | CUSIP: 31419C6V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21859 | PA      | $21173.21      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.5% 04/04/2025 144A                                                     | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    9337000 | PA      | $8951146.89    | 0.03%             | 2025-04-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2047#AS9602                                                                  | CUSIP: 3138WKU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141084 | PA      | $138670.59     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/26 #303856                                                                           | CUSIP: 31373UQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5104 | PA      | $5184.45       | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#CB1801                                                                    | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35551430 | PA      | $29212620.80   | 0.08%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AS4758                                                                    | CUSIP: 36193PJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     129111 | PA      | $119945.16     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#BC8334                                                                    | CUSIP: 3140F4HL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195004 | PA      | $187875.60     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/26 #323811                                                                          | CUSIP: 31374TVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.92         | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 06/01/2032#                                                                        | CUSIP: 31287T5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6338 | PA      | $6788.41       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #G06719                                                                           | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1121972 | PA      | $1113075.18    | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 7/29 #C29204                                                                           | CUSIP: 31293TGM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        668 | PA      | $681.63        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2032#J36729                                                                    | CUSIP: 31307TPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99959 | PA      | $95131.55      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#BE1526                                                                  | CUSIP: 3140FLVU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58449 | PA      | $54420.82      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #339493                                                                           | CUSIP: 31375NC66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5779 | PA      | $5893.94       | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#AA6286                                                                  | CUSIP: 36178D6X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67954 | PA      | $62023.49      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MTR CR CO LLC 4.063% 11/01/2024                                                              | CUSIP: 345397ZX4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   79422000 | PA      | $76250830.44   | 0.22%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 08/01/2042#Q10217                                                                    | CUSIP: 3132HLG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34975 | PA      | $31743.41      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 12/20/2039#004592                                                                  | CUSIP: 36202FC53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     213377 | PA      | $209534.86     | 0.00%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2037#AB8009                                                                  | CUSIP: 31417E3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23588 | PA      | $23269.26      | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.0% 12/20/2042#AA5872                                                                    | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     831024 | PA      | $751091.04     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | 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        |   13138631 | PA      | $12002386.16   | 0.03%             | 2059-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/27 #427281                                                                          | CUSIP: 36207BUE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        137 | PA      | $142.02        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 04/01/2040#AL0013                                                                  | CUSIP: 3138EGAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67220 | PA      | $70335.28      | 0.00%             | 2040-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #582105                                                                           | CUSIP: 36201FU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2088 | PA      | $2187.84       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #711174                                                                           | CUSIP: 36297GCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47350 | PA      | $46593.67      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/25 #319563                                                                           | CUSIP: 31374N5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        340 | PA      | $343.34        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 11/26 #C91010                                                                     | CUSIP: 3128P7DP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1610 | PA      | $1641.21       | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 04/01/2052#RA7142                                                                    | CUSIP: 3133KN5B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8113611 | PA      | $6651743.54    | 0.02%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #446830                                                                           | CUSIP: 36208CLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1011 | PA      | $1046.24       | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21835                                                                  | CUSIP: 3132JPBC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250415 | PA      | $242032.05     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/25 #414186                                                                           | CUSIP: 36206LCX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1340 | PA      | $1353.49       | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2050#CA7323                                                                    | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11533486 | PA      | $9559965.99    | 0.03%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 04/01/2045#AX9641                                                                       | CUSIP: 3138YBWB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94306 | PA      | $90917.74      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                          | CUSIP: 31293L6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        441 | PA      | $450.73        | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2043#AD5663                                                                  | CUSIP: 36180HJG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     210507 | PA      | $202217.84     | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/31 #253895                                                                           | CUSIP: 31371J7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        203 | PA      | $214.68        | 0.00%             | 2031-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #451506                                                                          | CUSIP: 36208HR32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        233 | PA      | $240.20        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#C03486                                                                  | CUSIP: 31292K2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53648 | PA      | $53220.75      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22677                                                                  | CUSIP: 3132JP6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142049 | PA      | $137249.51     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2043#AU1335                                                                  | CUSIP: 3138X0PV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132507 | PA      | $124121.22     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552554                                                                          | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     496383 | PA      | $476176.39     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #450582                                                                           | CUSIP: 36208GRB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        428 | PA      | $435.44        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2042#MA1028                                                                  | CUSIP: 31418AEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66837 | PA      | $64618.16      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                        | MOODYS CORP 4.875% 02/15/2024                                                                     | CUSIP: 615369AC9<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   10030000 | PA      | $9997691.97    | 0.03%             | 2024-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H14 FC 1ML+50 5/61                                                                       | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     790893 | PA      | $785115.77     | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.875% 08/14/2024                              | CUSIP: 00774MAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   28486000 | PA      | $26970089.59   | 0.08%             | 2024-08-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8185                                                                    | CUSIP: 31419KCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97512 | PA      | $94287.09      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #735744                                                                           | CUSIP: 31402RLZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6452 | PA      | $6710.10       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 12/01/2027#                                                                        | CUSIP: 31283G6V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $86.90         | 0.00%             | 2027-12-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                     | MAGALLANES INC 4.054% 03/15/2029 144A                                                             | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    6847000 | PA      | $5923490.81    | 0.02%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2047#BJ4340                                                                    | CUSIP: 3140H5ZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363566 | PA      | $347889.98     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2047#Q46222                                                                  | CUSIP: 3132WK4G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     769285 | PA      | $758998.67     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #443819                                                                           | CUSIP: 31380MAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1058 | PA      | $1100.69       | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513681                                                                           | CUSIP: 36211HUE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1332 | PA      | $1367.85       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1ML+620 08/25/2048                                                 | CUSIP: 3136B8ZV4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    8581069 | PA      | $894078.77     | 0.00%             | 2048-08-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/41 #AH8876                                                                           | CUSIP: 3138AA2J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13379 | PA      | $13250.40      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INGERSOLL-RAND GLOBAL HLDG CO LTD                                                  | INGERSOLL RAND GLB HLDG CO LTD 4.25% 06/15/2023                                                   | CUSIP: 45687AAJ1<br>LEI: 549300UCF0D858BIOV83 | Long             | DBT              | CORP              | US        |     249000 | PA      | $248422.83     | 0.00%             | 2023-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.99% 5/34 #725828                                                                       | CUSIP: 31402DLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45828 | PA      | $45459.42      | 0.00%             | 2034-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #508377                                                                           | CUSIP: 31383NXE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5704 | PA      | $6008.46       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | 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        |   18799000 | PA      | $18178356.28   | 0.05%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AB2079                                                                           | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3808690 | PA      | $3685874.04    | 0.01%             | 2041-01-01      | Fixed         | 0.04%                 | 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        |       4287 | PA      | $4476.89       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.625% 03/15/2032 144A                                                                    | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4185000 | PA      | $3541152.73    | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 01/01/2037#932030                                                                  | CUSIP: 31412QPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1817046 | PA      | $1895285.94    | 0.01%             | 2037-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2010-135 LS -1ML+605 12/40                                                                    | CUSIP: 31398SD91<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     437709 | PA      | $33772.77      | 0.00%             | 2040-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR 1ML+140 03/15/2026 144A                                                      | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6416829 | PA      | $6078660.95    | 0.02%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 03/01/2042#MA4570                                                                    | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13965713 | PA      | $11772401.64   | 0.03%             | 2042-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/26 #347952                                                                           | CUSIP: 31375XQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2670 | PA      | $2723.74       | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15893                                                                  | CUSIP: 3132J67F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139018 | PA      | $134407.33     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #829377                                                                           | CUSIP: 31407FM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7351 | PA      | $7662.15       | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/30 #493530                                                                          | CUSIP: 36210JHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2604 | PA      | $2720.42       | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #451321                                                                           | CUSIP: 36208HLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        198 | PA      | $203.40        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H01 FA 1ML+70 11/61                                                                      | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     996914 | PA      | $992386.07     | 0.00%             | 2061-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B28 MTG TR                                                          | BENCHMARK 2021-B28 MTG TR 2.2237% 08/15/2054                                                      | CUSIP: 08163GAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3280000 | PA      | $2627180.62    | 0.01%             | 2054-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/45#AZ5847                                                                       | CUSIP: 3138YXP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     759924 | PA      | $687152.17     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2049#QA3225                                                                    | CUSIP: 31339SSN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147539 | PA      | $131427.70     | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #486846                                                                           | CUSIP: 36210AZK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        130 | PA      | $134.25        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #698387                                                                           | CUSIP: 36296Q2U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2273 | PA      | $2277.93       | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR9195                                                                  | CUSIP: 3138W7GD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30761 | PA      | $27988.21      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 4/45#Q32729                                                                             | CUSIP: 3132QPA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     223853 | PA      | $202536.51     | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4645                                                                          | CUSIP: 31419FET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155532 | PA      | $150616.49     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #251265                                                                           | CUSIP: 31371GCA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4524 | PA      | $4697.55       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                                 | PANAMA REPUBLIC OF 3.298% 01/19/2033                                                              | CUSIP: 698299BR4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   50825000 | PA      | $41130131.25   | 0.12%             | 2033-01-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 12/40 #004881                                                                       | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2968 | PA      | $2791.13       | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/39 #A90185                                                                           | CUSIP: 312938F24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        772 | PA      | $765.21        | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #353838                                                                           | CUSIP: 36203NBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        196 | PA      | $202.58        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#AD1736                                                                  | CUSIP: 36180C4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1405906 | PA      | $1317110.37    | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 10/01/2034#CA4265                                                                    | CUSIP: 3140QBW38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5613454 | PA      | $5309609.83    | 0.02%             | 2034-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/29 #443405                                                                           | CUSIP: 36207VR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        124 | PA      | $128.22        | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7946                                                                  | CUSIP: 31417EZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23238 | PA      | $21143.32      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/29 #477011                                                                          | CUSIP: 36209N3U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        213 | PA      | $219.65        | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/23 #358743                                                                           | CUSIP: 36203TP41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         44 | PA      | $44.10         | 0.00%             | 2023-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28                        | MSBAM 2016-C28 3.272% 01/15/49                                                                    | CUSIP: 61766LBR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25898504 | PA      | $24456830.31   | 0.07%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 08/01/2050#SD0430                                                                  | CUSIP: 3132DMPP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1902460 | PA      | $1631551.82    | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #625027                                                                           | CUSIP: 31389GLG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        371 | PA      | $394.46        | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #844228                                                                          | CUSIP: 31407X4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64302 | PA      | $66428.67      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 08/01/2032#J37406                                                                    | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209452 | PA      | $199073.59     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/23 #352193                                                                           | CUSIP: 36203LGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         16 | PA      | $15.60         | 0.00%             | 2023-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.1% 05/22/2023                                                                    | CUSIP: 61747YDU6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4810000 | PA      | $4792415.22    | 0.01%             | 2023-05-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 02/20/2051#MA7192                                                                      | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22376960 | PA      | $18883372.49   | 0.05%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#AD2180                                                                  | CUSIP: 36180DM53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49123 | PA      | $46020.44      | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/36 #A79236                                                                           | CUSIP: 3128LDHM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     252232 | PA      | $254239.65     | 0.00%             | 2036-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #747153                                                                           | CUSIP: 3620C3BW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78698 | PA      | $78993.72      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/40 #723616                                                                           | CUSIP: 3620A93Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2485 | PA      | $2492.15       | 0.00%             | 2040-01-15      | Fixed         | 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        |   73143000 | PA      | $70114136.67   | 0.20%             | 2025-03-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                            | BAYER US FIN II LLC 4.25% 12/15/2025 144A                                                         | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   63993000 | PA      | $62004459.12   | 0.18%             | 2025-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 6/27 #450879                                                                           | CUSIP: 36208G2L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $15.49         | 0.00%             | 2027-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2042#Q06232                                                                  | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     683000 | PA      | $661196.36     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q12215                                                                  | CUSIP: 3132HNN88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20917 | PA      | $20232.07      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #446822                                                                           | CUSIP: 36208CLB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        144 | PA      | $148.99        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/27 #391692                                                                           | CUSIP: 31377ZC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $102.39        | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/20/2046#AS9183                                                                    | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84838 | PA      | $78815.48      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.21% 3/36 #1G1851                                                                       | CUSIP: 3128QSBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68862 | PA      | $68180.09      | 0.00%             | 2036-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #397053                                                                           | CUSIP: 31378FBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $101.19        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | 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        |    7048000 | PA      | $7007920.42    | 0.02%             | 2023-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/36 #654552                                                                          | CUSIP: 36294NEZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6632 | PA      | $6982.09       | 0.00%             | 2036-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/40 #AE3014                                                                           | CUSIP: 31419DK42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25222 | PA      | $24973.37      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#BA3906                                                                  | CUSIP: 3140E8KU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106615 | PA      | $100100.29     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL CORP                                                                 | STORE CAP CORP 2.75% 11/18/2030                                                                   | CUSIP: 862121AC4<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |    8515000 | PA      | $6535148.48    | 0.02%             | 2030-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2041#AJ1879                                                                  | CUSIP: 3138ATCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19209 | PA      | $18052.78      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #456205                                                                           | CUSIP: 36208NYA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        170 | PA      | $174.23        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569880                                                                           | CUSIP: 36200RCR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        287 | PA      | $297.65        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD                                                                   | FLATIRON CLO LTD 3ML+109 11/16/2034 144A                                                          | CUSIP: 33883JAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27750000 | PA      | $27076119.00   | 0.08%             | 2034-11-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2004-73 AL -1ML+720 8/34                                                                      | CUSIP: 38374H2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      92195 | PA      | $10287.71      | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4113                                                                          | CUSIP: 31419ESB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452925 | PA      | $438601.27     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/40 #AB1379                                                                           | CUSIP: 31416WQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2332 | PA      | $2309.44       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.25% 04/01/2053  | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   28921000 | PA      | $22322469.09   | 0.06%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AON PLC UK                                                                         | AON PLC UK 4% 11/27/2023                                                                          | CUSIP: 00185AAD6<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |   13880000 | PA      | $13742851.16   | 0.04%             | 2023-11-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 02/01/2053 #TBA                                                                        | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -29650000 | PA      | $-24902098.06  | -0.07%            | 2053-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/39 #710714                                                                           | CUSIP: 36297FSB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27027 | PA      | $26595.98      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15062                                                                  | CUSIP: 3132J6B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144371 | PA      | $131480.36     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #678637                                                                           | CUSIP: 36295R4W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25191 | PA      | $24217.47      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/35 #255816                                                                           | CUSIP: 31371MDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1077 | PA      | $1144.62       | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/23 #344038                                                                           | CUSIP: 36203BEK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        101 | PA      | $101.10        | 0.00%             | 2023-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #579718                                                                           | CUSIP: 36201DAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        353 | PA      | $371.22        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01393                                                                           | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171616 | PA      | $170187.53     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2044#Q27067                                                                  | CUSIP: 3132M7QU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106575 | PA      | $103140.85     | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/27 #250853                                                                           | CUSIP: 31371FTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        220 | PA      | $225.94        | 0.00%             | 2027-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                                  | ENTERPRISE PRODS OPER LLC 3.7% 02/15/2026                                                         | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $8288551.77    | 0.02%             | 2026-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 06/01/2045#Q34030                                                                  | CUSIP: 3132QQPQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336766 | PA      | $305855.04     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                                     | WALT DISNEY CO 3.6% 01/13/2051                                                                    | CUSIP: 254687FZ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   25350000 | PA      | $19302401.08   | 0.06%             | 2051-01-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722700                                                                          | CUSIP: 3620A83H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40362 | PA      | $39730.81      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1150                                                                  | CUSIP: 3138NXH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39164 | PA      | $35597.29      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QC8195                                                                    | CUSIP: 3133ATC82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6949816 | PA      | $5708494.49    | 0.02%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9701                                                                           | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258175 | PA      | $249573.04     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01181                                                                           | CUSIP: 3132GEJ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8766 | PA      | $8696.81       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 3.95% 07/15/2030 144A                                                                    | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   42717000 | PA      | $37676394.00   | 0.11%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 06/01/2038#MA3388                                                                  | CUSIP: 31418CXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176219 | PA      | $167049.15     | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2034#805555                                                                  | CUSIP: 31406B5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6198 | PA      | $6124.65       | 0.00%             | 2034-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2046#Q39975                                                                    | CUSIP: 3132QXCM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     232340 | PA      | $223908.68     | 0.00%             | 2046-04-01      | 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        |    9461000 | PA      | $9367382.27    | 0.03%             | 2024-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 10/01/2041#AL4242                                                                  | CUSIP: 3138ELWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     881653 | PA      | $891922.31     | 0.00%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ4047                                                                          | CUSIP: 3138AVP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2198844 | PA      | $2127077.98    | 0.01%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02189                                                                  | CUSIP: 3132GFNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75440 | PA      | $75902.49      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2045#Q32823                                                                  | CUSIP: 3132QPD50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132760 | PA      | $128107.77     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#CB2320                                                                  | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18856394 | PA      | $16091710.65   | 0.05%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUT LIFE INS CO                                                       | NORTHWESTERN MUT LIFE INS CO 6.063% 03/30/2040 144A                                               | CUSIP: 668131AA3<br>LEI: 1DU7IM20QESYGDO4HO54 | Long             | DBT              | CORP              | US        |       2000 | PA      | $2043.08       | 0.00%             | 2040-03-30      | Fixed         | 0.06%                 | 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        |   19532036 | PA      | $18322214.28   | 0.05%             | 2031-10-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/27 #423152                                                                          | CUSIP: 36206WBV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        208 | PA      | $215.20        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2035#                                                                          | CUSIP: 31297TTR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3105 | PA      | $3128.15       | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/24 #436781                                                                          | CUSIP: 31380DFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $319.72        | 0.00%             | 2024-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                                  | CEDAR FUNDING LTD 3ML+110 10/20/2032 144A                                                         | CUSIP: 15033XAJ5<br>LEI: 549300ZKTUZSV15HAV29 | Long             | ABS-CBDO         | CORP              | KY        |   21787000 | PA      | $21259754.60   | 0.06%             | 2032-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/37 #678760                                                                          | CUSIP: 36295SB54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1367 | PA      | $1428.93       | 0.00%             | 2037-11-15      | Fixed         | 0.06%                 | 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        |      50373 | PA      | $47502.85      | 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        |    9485861 | PA      | $8356067.83    | 0.02%             | 2061-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2933 ZM 5.75% 02/15/2035                                                                      | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1285385 | PA      | $1315862.97    | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H14 FB 1ML+50 5/61                                                                       | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1125972 | PA      | $1118100.38    | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AE4585                                                                           | CUSIP: 31419FCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161434 | PA      | $156218.99     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31292HZM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        472 | PA      | $474.54        | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/41 #430360                                                                           | CUSIP: 36207FB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16850 | PA      | $16584.04      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #397084                                                                           | CUSIP: 31378FCV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $93.59         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/40 #941592                                                                           | CUSIP: 31413CRM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12265 | PA      | $12151.99      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 76 CLO LTD                                                                  | DRYDEN 76 CLO LTD 3ML+115 10/20/2034 144A                                                         | CUSIP: 26252WAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18048000 | PA      | $17548196.74   | 0.05%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #455124                                                                           | CUSIP: 36208MSM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        151 | PA      | $153.74        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #710988                                                                          | CUSIP: 36297F2V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6175 | PA      | $6193.42       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2050#SD7512                                                                    | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  102070471 | PA      | $91370954.04   | 0.26%             | 2050-02-01      | Fixed         | 0.03%                 | 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        |   34514000 | PA      | $32071273.38   | 0.09%             | 2026-05-07      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/23 #359412                                                                           | CUSIP: 36203UGV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $4.88          | 0.00%             | 2023-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                              | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  117141000 | PA      | $80973716.25   | 0.23%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                     | MASTERCARD INC 3.35% 03/26/2030                                                                   | CUSIP: 57636QAP9<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    4213000 | PA      | $3862778.91    | 0.01%             | 2030-03-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #353726                                                                           | CUSIP: 36203M4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1870 | PA      | $1933.95       | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1910                                                                  | CUSIP: 3138NYDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273212 | PA      | $248585.58     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/27 #447458                                                                           | CUSIP: 36208DB38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        104 | PA      | $106.15        | 0.00%             | 2027-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #486804                                                                           | CUSIP: 36210AX93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        616 | PA      | $634.91        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2043#AQ9947                                                                  | CUSIP: 3138MSBR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171908 | PA      | $161028.15     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2041#                                                                        | CUSIP: 3132GE5T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62830 | PA      | $62330.51      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2039#                                                                        | CUSIP: 3129342K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2721 | PA      | $2696.80       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 2.2% 06/15/2028                                                                | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    3445000 | PA      | $2950179.46    | 0.01%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #830817                                                                          | CUSIP: 31407HAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1669 | PA      | $1737.37       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036                                                        | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   15883000 | PA      | $16200660.00   | 0.05%             | 2036-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/47#Q47942                                                                       | CUSIP: 3132WMZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     650698 | PA      | $641794.42     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #499337                                                                           | CUSIP: 31383CV69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4906 | PA      | $5158.33       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2041#G06800                                                                  | CUSIP: 3128M83H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     228843 | PA      | $221675.83     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 10/30 #515513                                                                          | CUSIP: 36211KVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14906 | PA      | $15285.14      | 0.00%             | 2030-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #556227                                                                           | CUSIP: 36213J4L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1298 | PA      | $1360.11       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA 1ML+605 01/25/2044                                     | CUSIP: 3136AHTW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     271563 | PA      | $27352.75      | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2050#RA2794                                                                  | CUSIP: 3133KJC75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9740334 | PA      | $8968640.41    | 0.03%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT3659                                                                  | CUSIP: 3138WRB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21157 | PA      | $19210.11      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #848099                                                                          | CUSIP: 31408DGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2350 | PA      | $2431.93       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 10/41 #Q04113                                                                          | CUSIP: 3132GKGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196122 | PA      | $189854.33     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #357040                                                                           | CUSIP: 31376JS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1838 | PA      | $1935.08       | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0851                                                                          | CUSIP: 3138A15M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49875 | PA      | $48238.50      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3% 02/15/2049                                                         | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  794760000 | PA      | $657792174.26  | 1.90%             | 2049-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 8/39 #AC4495                                                                           | CUSIP: 31417N7H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13164 | PA      | $12744.37      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #250736                                                                          | CUSIP: 31371FPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $158.92        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2042#779398                                                                  | CUSIP: 36176XUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9400 | PA      | $8805.06       | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/41 #760147                                                                           | CUSIP: 36176AHY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        464 | PA      | $457.27        | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/24 #380423                                                                           | CUSIP: 36204USL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         49 | PA      | $49.49         | 0.00%             | 2024-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/48#CA1199                                                                         | CUSIP: 3140Q8KM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26380 | PA      | $25300.44      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293S6T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        499 | PA      | $509.23        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/32 #593212                                                                           | CUSIP: 36201UAM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101337 | PA      | $105764.51     | 0.00%             | 2032-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2029#                                                                          | CUSIP: 31293JRN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        478 | PA      | $483.46        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #711533                                                                           | CUSIP: 36297GPS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14016 | PA      | $14084.56      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                                                  | BENCHMARK 2020-B18 MORTGAGE TRUST CSTR 07/15/2053                                                 | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   51074792 | PA      | $4011480.59    | 0.01%             | 2053-07-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 5.25% 03/14/2044                                                                | CUSIP: 404280AQ2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2847000 | PA      | $2398086.52    | 0.01%             | 2044-03-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726956                                                                           | CUSIP: 31402ETM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32307 | PA      | $31912.09      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                   | BAMLL COML MTG SECS TR 2022-DKLX C VAR 01/15/2039 144A                                            | CUSIP: 05530SAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2780000 | PA      | $2637387.67    | 0.01%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.280% 3/35 #843014                                                                      | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29642 | PA      | $29525.91      | 0.00%             | 2035-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/24 #404012                                                                          | CUSIP: 36205XYH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         75 | PA      | $76.07         | 0.00%             | 2024-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #711450                                                                           | CUSIP: 36297GL73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15425 | PA      | $14813.70      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #529408                                                                           | CUSIP: 36212CDM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1499 | PA      | $1566.99       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2041#Q04636                                                                  | CUSIP: 3132GKY91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11869 | PA      | $11498.18      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2049#BN6567                                                                  | CUSIP: 3140JPJM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6365 | PA      | $5891.07       | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 11/20/2049#BL1666                                                                    | CUSIP: 3617JDZ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     381551 | PA      | $352198.46     | 0.00%             | 2049-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.81% 1/36 #1J1262                                                                       | CUSIP: 3128NHMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15805 | PA      | $15569.96      | 0.00%             | 2036-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #590407                                                                           | CUSIP: 36201Q3Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1920 | PA      | $2005.88       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2047#Q45635                                                                  | CUSIP: 3132WKHM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     210761 | PA      | $207942.85     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #461493                                                                           | CUSIP: 36208UUS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        117 | PA      | $119.04        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.16% 9/35 #850124                                                                       | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7723 | PA      | $7766.72       | 0.00%             | 2035-09-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1270                                                                  | CUSIP: 3138NXMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35185 | PA      | $32013.97      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2031#                                                                          | CUSIP: 31292HJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5620 | PA      | $5775.09       | 0.00%             | 2031-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#BE7834                                                                  | CUSIP: 3140FTV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18885 | PA      | $17595.65      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/31 #548452                                                                           | CUSIP: 36213AH56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10368 | PA      | $10838.64      | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | 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        |   21765000 | PA      | $20291698.86   | 0.06%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2047#BH0937                                                                  | CUSIP: 3140GPBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56086 | PA      | $55354.16      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 08/01/2042#Q10538                                                                  | CUSIP: 3132HLS38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24115 | PA      | $21814.02      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2044#Q29656                                                                  | CUSIP: 3132MAMD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16240 | PA      | $16145.06      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2050#BR8996                                                                    | CUSIP: 3617M77H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56248 | PA      | $51921.19      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 4.35% 06/01/2040                                                   | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $8787479.00    | 0.03%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #589983                                                                           | CUSIP: 36201QM83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2717 | PA      | $2841.78       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                                 | TEACHERS INS and ANNUITY ASSN AMER 3.3% 05/15/2050 144A                                           | CUSIP: 878091BG1<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |   16941000 | PA      | $11712216.76   | 0.03%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2042#AB1531                                                                  | CUSIP: 36178LVY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16751 | PA      | $16064.02      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2890                                                                  | CUSIP: 3138EKF83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9033 | PA      | $8172.49       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#A95324                                                                  | CUSIP: 3129434H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3066 | PA      | $3040.58       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #734148                                                                           | CUSIP: 3620AMTD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4844 | PA      | $4648.78       | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2033#720240                                                                  | CUSIP: 31401WEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4252 | PA      | $4197.47       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/24 #386199                                                                           | CUSIP: 36205B7L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        466 | PA      | $469.19        | 0.00%             | 2024-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2051#                                                                        | CUSIP: 31418D5A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3258414 | PA      | $2975823.03    | 0.01%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AD5457                                                                  | CUSIP: 36180HB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34561 | PA      | $32367.71      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35579                                                                             | CUSIP: 3132QSFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162177 | PA      | $146886.00     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                                   | PACIFIC LIFECORP 5.125% 01/30/2043 144A                                                           | CUSIP: 694476AD4<br>LEI: VFN8KLUEIK7XMVX1JM30 | Long             | DBT              | CORP              | US        |   15610000 | PA      | $14063265.35   | 0.04%             | 2043-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                         | CORPORATE OFFICE PPTYS LP 2.75% 04/15/2031                                                        | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    7105000 | PA      | $5317392.66    | 0.02%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #582151                                                                           | CUSIP: 36201FWL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1275 | PA      | $1335.22       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 12/44#AX8317                                                                            | CUSIP: 3138YAG33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46101 | PA      | $41772.71      | 0.00%             | 2044-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AJ5385                                                                          | CUSIP: 3138AW6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559284 | PA      | $540999.21     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AE8843                                                                          | CUSIP: 31419KZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7738 | PA      | $7666.81       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 05/01/2041#Q00557                                                                  | CUSIP: 3132GDTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97978 | PA      | $99325.49      | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-12 BO 0% 10/35                                                                           | CUSIP: 31394VS43<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     206986 | PA      | $176750.91     | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | 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        |   60000000 | PA      | $56238958.80   | 0.16%             | 2027-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.61% 3/35 #1L0297                                                                       | CUSIP: 3128Q2KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     184173 | PA      | $186989.59     | 0.00%             | 2035-03-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #439558                                                                           | CUSIP: 36207RJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         16 | PA      | $16.59         | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/44#Q28495                                                                    | CUSIP: 3132M9C85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114087 | PA      | $110125.48     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/01/43#AT3347                                                                      | CUSIP: 3138WQWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3683 | PA      | $3344.31       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2011-83 DI 6% 9/26                                                                            | CUSIP: 3136A0U39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        310 | PA      | $3.15          | 0.00%             | 2026-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.293% 3/35 #815586                                                                      | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17690 | PA      | $17929.24      | 0.00%             | 2035-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #409486                                                                           | CUSIP: 31378U2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2775 | PA      | $2875.89       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                      | BX TRUST 2019-XL B 1ML+110 10/15/2036 144A                                                        | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16514650 | PA      | $16223538.02   | 0.05%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 10/31/2029                                                                           | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1962000 | PA      | $1962613.13    | 0.01%             | 2029-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  521300000 | PA      | $441964656.25  | 1.28%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #452939                                                                           | CUSIP: 36208KEL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        117 | PA      | $120.35        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/23 #352217                                                                           | CUSIP: 36203LG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         23 | PA      | $22.78         | 0.00%             | 2023-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 10/40 #004834                                                                       | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64898 | PA      | $64237.67      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #832175                                                                           | CUSIP: 31407JQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3375 | PA      | $3521.28       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2045#Q31307                                                                  | CUSIP: 3132QMNZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58433 | PA      | $54675.97      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033                                                 | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   50000000 | PA      | $47469596.50   | 0.14%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #743801                                                                           | CUSIP: 3620AYKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23102 | PA      | $23214.15      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2045#AX9831                                                                  | CUSIP: 3138YB4R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156329 | PA      | $141309.98     | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #AC1446                                                                           | CUSIP: 31417KTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3599 | PA      | $3566.45       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 3/1/43#AR6743                                                                      | CUSIP: 3138W4P54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428085 | PA      | $400991.86     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723248                                                                          | CUSIP: 3620A9P96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11316 | PA      | $11345.23      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4% 01/01/2053 #TBA                                                                      | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -6400000 | PA      | $-6007996.80   | -0.02%            | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #581664                                                                           | CUSIP: 36201FFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        755 | PA      | $779.98        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 3.75% 05/01/2024                                                      | CUSIP: 92277GAD9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $7721877.44    | 0.02%             | 2024-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2042#792254                                                                    | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74206 | PA      | $71147.32      | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/25 #780250                                                                           | CUSIP: 36225AH37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13 | PA      | $13.45         | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/51#RA6435                                                                       | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31900416 | PA      | $27203309.35   | 0.08%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 3.5% 05/01/2049#Q63646                                                                  | CUSIP: 3132VQBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1519227 | PA      | $1410744.20    | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/41 #738006                                                                           | CUSIP: 3620AR3P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8229 | PA      | $7900.50       | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2051#RA5746                                                                  | CUSIP: 3133KML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5090970 | PA      | $4695584.68    | 0.01%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 6/42 #AB5423                                                                           | CUSIP: 31417CAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1061252 | PA      | $992900.62     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.875% 02/01/2029                                                                         | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   21003000 | PA      | $20937378.02   | 0.06%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AE9338                                                                           | CUSIP: 31419LLU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100866 | PA      | $97636.48      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/43 #MA1012                                                                        | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7553593 | PA      | $7107039.21    | 0.02%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#666342                                                                  | CUSIP: 36295CHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74657 | PA      | $68140.77      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2052#BW0733                                                                  | CUSIP: 3140MRY76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     574999 | PA      | $554714.08     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.3% 01/11/2023                                                       | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   32511000 | PA      | $32499877.99   | 0.09%             | 2023-01-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 12/33 #G03583                                                                          | CUSIP: 3128M5J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40817 | PA      | $43585.67      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/36 #839064                                                                           | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4245 | PA      | $4422.50       | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #530585                                                                           | CUSIP: 36212DNA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        461 | PA      | $465.73        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #468593                                                                           | CUSIP: 36209DRN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        400 | PA      | $418.67        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.47% 3/40 #AD0820                                                                       | CUSIP: 31418M4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37306 | PA      | $37547.36      | 0.00%             | 2040-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2037#BM1257                                                                  | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11233512 | PA      | $10264000.47   | 0.03%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                                                | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                                                       | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8851417 | PA      | $7799337.81    | 0.02%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/23 #353125                                                                           | CUSIP: 36203MHA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         92 | PA      | $91.87         | 0.00%             | 2023-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-3 LTD / VOYA CLO 2020-3 LLC                                          | VOYA CLO 2020-3 LTD / LLC 3ML+115 10/20/2034 144A                                                 | CUSIP: 92918NAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   36484000 | PA      | $35495903.83   | 0.10%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP 1ML+132.9 11/15/2038 144A                                                       | CUSIP: 78472UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12543000 | PA      | $11913885.77   | 0.03%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479596                                                                          | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21058 | PA      | $20252.22      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 10/20/2047                                                      | CUSIP: 38380UAT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2681741 | PA      | $2456662.70    | 0.01%             | 2047-10-20      | Fixed         | 0.03%                 | 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        |   10113000 | PA      | $9681183.29    | 0.03%             | 2024-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32328                                                                  | CUSIP: 3132QNSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     571895 | PA      | $535123.65     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #565867                                                                           | CUSIP: 36213VTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2503 | PA      | $2627.45       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH D 1ML+225 07/15/2038 144A                                          | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13802382 | PA      | $13213784.75   | 0.04%             | 2038-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 09/01/2040#AE3951                                                                  | CUSIP: 31419EL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62611 | PA      | $60565.79      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 3.6% 07/01/2030                                                                    | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    8445000 | PA      | $7745388.67    | 0.02%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB2330                                                                  | CUSIP: 36178MST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34063 | PA      | $31896.36      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2045#AY1700                                                                    | CUSIP: 3138YE3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88314 | PA      | $85140.50      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 10/01/2042#AB6493                                                                  | CUSIP: 31417DGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202387 | PA      | $183223.62     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 6/33 #003401                                                                        | CUSIP: 36202DX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14843 | PA      | $14647.56      | 0.00%             | 2033-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2047#CA1780                                                                  | CUSIP: 3140Q86S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89339 | PA      | $87782.54      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 6.75% 06/15/2039                                                            | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   10675000 | PA      | $10109268.45   | 0.03%             | 2039-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #392407                                                                          | CUSIP: 31377Z3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1043 | PA      | $1073.60       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2043#AQ9328                                                                  | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1079372 | PA      | $1011059.82    | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 4/42 #MA0023                                                                        | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     862869 | PA      | $831122.73     | 0.00%             | 2042-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2042#AA0565                                                                  | CUSIP: 36177WTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2358 | PA      | $2259.33       | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | 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        |    4920987 | PA      | $4832915.88    | 0.01%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 02/43 #Q15871                                                                           | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     479291 | PA      | $449372.26     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/27 #356391                                                                           | CUSIP: 31376H2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1470 | PA      | $1511.57       | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.625% 05/15/2026                                                                       | CUSIP: 912828R36<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  708147900 | PA      | $651745024.48  | 1.89%             | 2026-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #728319                                                                          | CUSIP: 3620AFDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20500 | PA      | $20564.68      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5% 05/15/2050                                                                  | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   29826000 | PA      | $23828910.94   | 0.07%             | 2050-05-15      | Fixed         | 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        |   20703000 | PA      | $20573351.60   | 0.06%             | 2039-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2047#BJ5376                                                                  | CUSIP: 3140H66N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39360 | PA      | $38686.85      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2046#AX5803                                                                    | CUSIP: 36196HNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80253 | PA      | $76666.78      | 0.00%             | 2046-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 18-4765 IB 4% 03/15/2048                                           | CUSIP: 3137FEPF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    8128180 | PA      | $1573813.95    | 0.00%             | 2048-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 8/29 #781078                                                                           | CUSIP: 36225BFT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4913 | PA      | $5102.33       | 0.00%             | 2029-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AE2144                                                                  | CUSIP: 36180ULZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44564 | PA      | $41735.35      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                            | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.1% 02/15/2030                                           | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    6066000 | PA      | $5064892.53    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 LTD                                                                   | AIMCO CLO 11 LTD 3ML+113 10/17/2034 144A                                                          | CUSIP: 00140NAN0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |   17910000 | PA      | $17433755.19   | 0.05%             | 2034-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/32 #647416                                                                           | CUSIP: 31390JGZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3651 | PA      | $3893.80       | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #463090                                                                           | CUSIP: 36208WNF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        197 | PA      | $203.24        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2043#AT2887                                                                  | CUSIP: 3138WQF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43048 | PA      | $40323.19      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                      | BX TRUST 2019-IMC A 1ML+105 04/15/34 144A                                                         | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29901000 | PA      | $29201860.80   | 0.08%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #733919                                                                           | CUSIP: 3620AMK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77889 | PA      | $78191.35      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2045#AV2191                                                                  | CUSIP: 3138XDNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82941 | PA      | $80012.82      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2042#AK9692                                                                    | CUSIP: 3138EEXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77556 | PA      | $74952.45      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/26 #250609                                                                           | CUSIP: 31371FKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        248 | PA      | $253.13        | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 03/01/2052#SD0931                                                                  | CUSIP: 3132DNA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19278865 | PA      | $16440190.98   | 0.05%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2050#FM3897                                                                    | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4942334 | PA      | $4082740.21    | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #452535                                                                          | CUSIP: 36208JV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1659 | PA      | $1718.59       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #757489                                                                           | CUSIP: 36230SKA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170910 | PA      | $160233.04     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | 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        |   11306467 | PA      | $10901029.64   | 0.03%             | 2032-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/37 #940208                                                                           | CUSIP: 31413BAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4826 | PA      | $5225.30       | 0.00%             | 2037-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #842152                                                                          | CUSIP: 31407VTH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26873 | PA      | $27737.84      | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2041#                                                                          | CUSIP: 3132GEVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85579 | PA      | $82888.18      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 05/01/2041#MA4333                                                                    | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5224616 | PA      | $4425316.87    | 0.01%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 8% 11/01/2031                                                                       | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   11577000 | PA      | $11951472.77   | 0.03%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #832126                                                                           | CUSIP: 31407JPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2668 | PA      | $2774.10       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2039#AB0050                                                                  | CUSIP: 31416VBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     601020 | PA      | $593560.51     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP B 1ML+107.98 11/15/2038 144A                                                    | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20195000 | PA      | $19232712.29   | 0.06%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #571901                                                                           | CUSIP: 36200TKN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2278 | PA      | $2387.68       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #757488                                                                           | CUSIP: 36230SJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     219853 | PA      | $205916.88     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #733607                                                                           | CUSIP: 3620AMAG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9111 | PA      | $8968.08       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 06/01/2038#K94293                                                                    | CUSIP: 3132LQUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109651 | PA      | $106352.82     | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 3/25 #780089                                                                           | CUSIP: 36225AC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $16.90         | 0.00%             | 2025-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297RYP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        778 | PA      | $784.33        | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT2721                                                                  | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1685887 | PA      | $1532345.50    | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #778796                                                                           | CUSIP: 36176W7H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2969 | PA      | $2784.46       | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.5% 11/15/2023                                                                  | CUSIP: 96950FAL8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    6265000 | PA      | $6218781.65    | 0.02%             | 2023-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/33 #734922                                                                           | CUSIP: 31402QPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24234 | PA      | $23933.44      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2045#Q34458                                                                  | CUSIP: 3132QQ5U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     750613 | PA      | $725485.31     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                                  | BX COMMERCIAL MORTGAGE TRUST 2021 SR1M+156.27 02/15/2039 144A                                     | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14618429 | PA      | $13765760.57   | 0.04%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #460697                                                                          | CUSIP: 36208TX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2626 | PA      | $2704.75       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | 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        |   26610000 | PA      | $25090785.07   | 0.07%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MILOS CLO LTD                                                                      | MILOS CLO LTD 3ML+107 10/20/2030 144A                                                             | CUSIP: 60162PAE2<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |   34207000 | PA      | $33717908.31   | 0.10%             | 2030-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.48% 6/47 #939994                                                                       | CUSIP: 31413AXX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26383 | PA      | $26642.75      | 0.00%             | 2047-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 9/40 #004801                                                                        | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1159079 | PA      | $1147287.98    | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/39 #AC5442                                                                          | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     669146 | PA      | $662641.69     | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/37 #889506                                                                           | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74534 | PA      | $77647.09      | 0.00%             | 2037-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/26 #256384                                                                           | CUSIP: 31371MXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1453 | PA      | $1471.82       | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #710771                                                                           | CUSIP: 36297FT44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29899 | PA      | $29983.56      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2040#A90709                                                                  | CUSIP: 312938YE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76917 | PA      | $76241.26      | 0.00%             | 2040-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 7/45#Q34956                                                                             | CUSIP: 3132QRQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39898 | PA      | $36111.32      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.875% 04/15/2030                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   36970000 | PA      | $33487971.31   | 0.10%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15786                                                                  | CUSIP: 3132J62U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140711 | PA      | $128235.33     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -457100000 | PA      | $-387535093.75 | -1.12%            | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MSCCG TR 2018-SELF                                                                 | MSCCG TR 2018-SELF 1ML+90 10/15/2037 144A                                                         | CUSIP: 55358PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4569358 | PA      | $4480334.68    | 0.01%             | 2037-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                   | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   19219000 | PA      | $15032524.85   | 0.04%             | 2032-01-07      | Fixed         | 0.03%                 | 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        |    2784000 | PA      | $2731093.42    | 0.01%             | 2046-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2020-IV                                                            | BARINGS CLO LTD 2020-IV 3ML+122 01/20/2032 144A                                                   | CUSIP: 06762BAC4<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |   28600000 | PA      | $28145002.60   | 0.08%             | 2032-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 05/01/2033#G18687                                                                  | CUSIP: 3128MMXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     213213 | PA      | $198707.03     | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #439214                                                                           | CUSIP: 36207Q3X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $25.60         | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9238                                                                  | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83715 | PA      | $76169.58      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/39 #710513                                                                          | CUSIP: 36297FK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30392 | PA      | $29212.59      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2346                                                                    | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7314166 | PA      | $6019195.25    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #824358                                                                           | CUSIP: 31406YZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4478 | PA      | $4663.54       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO LTD                                                                    | INVESCO CLO LTD 3ML+113 10/22/2034 144A                                                           | CUSIP: 46146JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   19246000 | PA      | $18671160.47   | 0.05%             | 2034-10-22      | 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        |   18114000 | PA      | $15175461.60   | 0.04%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 02/01/2053 #TBA                                                                      | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  122200000 | PA      | $105940837.86  | 0.31%             | 2053-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #713471                                                                           | CUSIP: 36297JT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97391 | PA      | $95819.28      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7280                                                                  | CUSIP: 31417ECS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283783 | PA      | $257046.10     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33801                                                                  | CUSIP: 3132QQGK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34714 | PA      | $32481.95      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | 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        |        969 | PA      | $995.31        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 02/01/2030#J30717                                                                  | CUSIP: 31307LYN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72935 | PA      | $70743.18      | 0.00%             | 2030-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738404                                                                           | CUSIP: 3620ASKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12303 | PA      | $12355.77      | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2035#                                                                          | CUSIP: 3128LXFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70488 | PA      | $71066.83      | 0.00%             | 2035-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/40 #A93367                                                                           | CUSIP: 312941W45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9113 | PA      | $9226.66       | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 07/01/2043#AL3931                                                                  | CUSIP: 3138ELLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36999 | PA      | $35727.64      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042                                       | CUSIP: 3136AA2T1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     363322 | PA      | $327819.56     | 0.00%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/28 #252084                                                                          | CUSIP: 31371G6V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $164.78        | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/23 #125245                                                                          | CUSIP: 31365EBN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.08         | 0.00%             | 2023-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 3% 03/22/2027                                                          | CUSIP: 92343VFF6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5629000 | PA      | $5230410.79    | 0.02%             | 2027-03-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#                                                                        | CUSIP: 3133ATPG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1342013 | PA      | $1223946.82    | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH9771                                                                           | CUSIP: 3138AB2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32252 | PA      | $31193.45      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/24 #376533                                                                           | CUSIP: 36204QHJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.46          | 0.00%             | 2024-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 01/01/2053 #TBA                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  355200000 | PA      | $307689584.64  | 0.89%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #412301                                                                           | CUSIP: 36206JAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2691 | PA      | $2776.06       | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                      | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    7819398 | PA      | $7018195.53    | 0.02%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2032#BM5345                                                                    | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8280992 | PA      | $7884516.22    | 0.02%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/37 #995073                                                                          | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     543325 | PA      | $566932.45     | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIX LTD / MAGNETITE XXIX LLC                                            | MAGNETITE CLO LTD 2021-29A A 3ML+100 01/15/2034 144A                                              | CUSIP: 55955KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   26100000 | PA      | $25599036.60   | 0.07%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 12/26 #C91019                                                                     | CUSIP: 3128P7DY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12126 | PA      | $12345.41      | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #594813                                                                           | CUSIP: 36201VYJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69456 | PA      | $72718.48      | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/26 #426127                                                                           | CUSIP: 36207ALG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        598 | PA      | $610.70        | 0.00%             | 2026-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 03/01/2048#Q54622                                                                    | CUSIP: 3132XXD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34219 | PA      | $32838.60      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2802 OB 6% 5/34                                                                               | CUSIP: 31394YPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     104508 | PA      | $106449.43     | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #745000                                                                          | CUSIP: 31403CUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2365 | PA      | $2458.89       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | 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        |   21204000 | PA      | $19619338.99   | 0.06%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 02/20/2049#MA5763                                                                      | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15958767 | PA      | $15261532.95   | 0.04%             | 2049-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/47#AL9779                                                                         | CUSIP: 3138ER2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412830 | PA      | $397996.89     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/45#Q31029                                                                         | CUSIP: 3132QMEB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1802064 | PA      | $1738921.38    | 0.01%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK7441                                                                           | CUSIP: 3138ECHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147972 | PA      | $143064.91     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/41 #748183                                                                           | CUSIP: 3620C4FY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9838 | PA      | $9458.63       | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/31#G05173                                                                       | CUSIP: 3128M7CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22494 | PA      | $22217.51      | 0.00%             | 2031-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2048#BM3532                                                                    | CUSIP: 3140J74S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     747562 | PA      | $715329.60     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #477158                                                                           | CUSIP: 36209PB30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        473 | PA      | $487.21        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.35% 3/36 #920831                                                                       | CUSIP: 31412CA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47532 | PA      | $48308.41      | 0.00%             | 2036-03-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #631463                                                                           | CUSIP: 31389PQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        644 | PA      | $685.41        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT3073                                                                     | CUSIP: 3138WQMX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134525 | PA      | $126010.70     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNE 2020-27A AR                                                                  | MAGNE 2020-27A AR 3ML+114 10/20/2034 144A                                                         | CUSIP: 55955EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6442000 | PA      | $6270391.56    | 0.02%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/27 #401771                                                                          | CUSIP: 31378LJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        261 | PA      | $267.57        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2% 05/31/2024                                                                           | CUSIP: 912828XT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  191790000 | PA      | $184785169.44  | 0.53%             | 2024-05-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2046#AS7822                                                                  | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     647515 | PA      | $603297.04     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2043#Q16131                                                                  | CUSIP: 3132J7HH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43049 | PA      | $41621.14      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #772072                                                                          | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156654 | PA      | $150216.14     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 10/01/2052#FS3047                                                                    | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13874479 | PA      | $13823014.16   | 0.04%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#CB2376                                                                  | CUSIP: 3140QMUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16573840 | PA      | $14133461.08   | 0.04%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                          | SAPPHIRE AVIATION FINANCE 4.335% 03/15/2040 144A                                                  | CUSIP: 80307AAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2308845 | PA      | $1351869.88    | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2052#QD5085                                                                  | CUSIP: 3133B2UJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     495002 | PA      | $451414.88     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2051#                                                                        | CUSIP: 3140XBR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     797508 | PA      | $730087.43     | 0.00%             | 2051-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                          | CUSIP: 31293LG40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $147.20        | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #447102                                                                           | CUSIP: 36208CU39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        597 | PA      | $614.97        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #930854                                                                           | CUSIP: 31412PE31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11860 | PA      | $11742.73      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2021-TY                                                                  | BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A                                                   | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   72926000 | PA      | $71175571.81   | 0.21%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #780580                                                                           | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3176 | PA      | $3267.22       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-66 SB -1ML+3960 7/37                                                                     | CUSIP: 31396WYZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      24326 | PA      | $28232.59      | 0.00%             | 2037-07-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#                                                                        | CUSIP: 3133KNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10506927 | PA      | $9621143.59    | 0.03%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 4.25% 03/15/2023                                                               | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4861000 | PA      | $4849112.04    | 0.01%             | 2023-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AC9627                                                                  | CUSIP: 36179KVU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51440 | PA      | $48174.86      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2048#BK2527                                                                    | CUSIP: 3140HFYZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134880 | PA      | $129274.77     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.25% 04/30/2028                                                                        | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 2172413000 | PA      | $1884992571.48 | 5.45%             | 2028-04-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/29 #252981                                                                          | CUSIP: 31371H6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1561 | PA      | $1643.74       | 0.00%             | 2030-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2052#CB4843                                                                  | CUSIP: 3140QQLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12763349 | PA      | $12835519.62   | 0.04%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 5.45% 01/23/2039                                                   | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   23200000 | PA      | $23149154.88   | 0.07%             | 2039-01-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 1/42 #005279                                                                        | CUSIP: 36202F2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18398 | PA      | $17279.15      | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 9/33 #003442                                                                           | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     606912 | PA      | $608552.86     | 0.00%             | 2033-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #323336                                                                          | CUSIP: 31374TEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35096 | PA      | $36181.59      | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 06/01/2042#MA4630                                                                    | CUSIP: 31418EEC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4663563 | PA      | $3931152.10    | 0.01%             | 2042-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #455561                                                                           | CUSIP: 36208NB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        277 | PA      | $283.22        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 3.668% 10/25/2049 144A                                               | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   21083800 | PA      | $18201981.88   | 0.05%             | 2049-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 5/41 #AI0974                                                                           | CUSIP: 3138AECL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        342 | PA      | $332.19        | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #780545                                                                           | CUSIP: 36225ATA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1921 | PA      | $1975.89       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2046#BC4754                                                                    | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3589917 | PA      | $3468784.83    | 0.01%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #457919                                                                          | CUSIP: 36208QVL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        138 | PA      | $140.24        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #573657                                                                           | CUSIP: 36200VJA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1275 | PA      | $1335.86       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | 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        |   17500000 | PA      | $15283008.30   | 0.04%             | 2027-02-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                                 | ESSEX PORTFOLIO LP 3.875% 05/01/2024                                                              | CUSIP: 29717PAN7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    5285000 | PA      | $5174565.38    | 0.01%             | 2024-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2042#778869                                                                  | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134619 | PA      | $129156.75     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 04/01/2041#Q00334                                                                  | CUSIP: 3132GDLP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54820 | PA      | $55569.94      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2050#CA7616                                                                    | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6082557 | PA      | $5022749.09    | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029                                                   | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5964000 | PA      | $5171180.31    | 0.01%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 09/01/2042#AP9959                                                                  | CUSIP: 3138MEB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126247 | PA      | $116946.36     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #415757                                                                          | CUSIP: 36206MZW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         76 | PA      | $77.35         | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #495896                                                                           | CUSIP: 36210L3D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        728 | PA      | $752.02        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | 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        |   23836305 | PA      | $22971714.36   | 0.07%             | 2032-02-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/32 #254613                                                                          | CUSIP: 31371KYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        406 | PA      | $432.49        | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #254240                                                                           | CUSIP: 31371KLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16166 | PA      | $17132.55      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                         | CIGNA CORP 4.8% 08/15/2038                                                                        | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   18087000 | PA      | $16785328.71   | 0.05%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 10/01/2032#                                                                          | CUSIP: 31283HTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6031 | PA      | $6223.47       | 0.00%             | 2032-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                           | TOYOTA MOTOR CREDIT CORP 3% 04/01/2025                                                            | CUSIP: 89236TGX7<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   29531000 | PA      | $28357219.53   | 0.08%             | 2025-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2046#G08687                                                                  | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     711157 | PA      | $664542.59     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                             | DISCOVER FINANCIAL SVS 6.7% 11/29/2032                                                            | CUSIP: 254709AS7<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    7907000 | PA      | $8037280.00    | 0.02%             | 2032-11-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/26 #429349                                                                           | CUSIP: 36207D5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        220 | PA      | $223.38        | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 2.85% 12/15/2032                                                               | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    4238000 | PA      | $3436855.39    | 0.01%             | 2032-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #554210                                                                          | CUSIP: 36213GVB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        336 | PA      | $338.88        | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#CB1799                                                                    | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26947020 | PA      | $22201320.92   | 0.06%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2052#QE9929                                                                    | CUSIP: 3133BLA64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1728095 | PA      | $1727085.36    | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                                | EMERA US FINANCE LP 3.55% 06/15/2026                                                              | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6732000 | PA      | $6305865.48    | 0.02%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2044#AL5512                                                                  | CUSIP: 3138ENDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605509 | PA      | $599691.70     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #589476                                                                           | CUSIP: 36201P2H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        501 | PA      | $526.70        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AJ4287                                                                           | CUSIP: 3138AVXR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34594 | PA      | $33455.15      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 7/31 #003107                                                                         | CUSIP: 36202DNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        533 | PA      | $554.02        | 0.00%             | 2031-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2044#AY0510                                                                  | CUSIP: 3138YDR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140153 | PA      | $135160.96     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR3691                                                                  | CUSIP: 3138W1C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105124 | PA      | $95648.60      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 03/01/2045#Q31980                                                                  | CUSIP: 3132QNFW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30082 | PA      | $27217.27      | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 02/01/2041#MA4266                                                                  | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2052016 | PA      | $1678031.18    | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 02/01/2027#                                                                        | CUSIP: 31283GXZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        209 | PA      | $213.88        | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #250912                                                                           | CUSIP: 31371FVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        195 | PA      | $200.96        | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02020                                                                  | CUSIP: 3132GFG50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51094 | PA      | $51768.05      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031                                                         | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   29749000 | PA      | $31785914.03   | 0.09%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #473563                                                                           | CUSIP: 36209KB80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        235 | PA      | $242.09        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #560462                                                                           | CUSIP: 36213PTT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        783 | PA      | $815.13        | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #567305                                                                          | CUSIP: 36213XGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        787 | PA      | $823.28        | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3002 NE 5% 7/35                                                                               | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     300779 | PA      | $301884.08     | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9340                                                                  | CUSIP: 31417GLW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24783 | PA      | $22549.17      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2045#AS4972                                                                  | CUSIP: 3138WEQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1976029 | PA      | $1786182.15    | 0.01%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#AS9422                                                                  | CUSIP: 3138WKPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139622 | PA      | $137233.06     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/37 #G02667                                                                           | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18938 | PA      | $19088.38      | 0.00%             | 2037-01-01      | Fixed         | 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        |         60 | NC      | $22828.42      | 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        |   20613000 | PA      | $19945128.49   | 0.06%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/29 #524241                                                                          | CUSIP: 31384HLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        441 | PA      | $465.56        | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 14 LTD / AIMCO CLO 14 LLC                                                | AIMCO CLO 14 LTD / AIMCO CLO 14 LLC 21-14A A 3ML+99 04/20/2034 144A                               | CUSIP: 00144GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   43014000 | PA      | $41693900.34   | 0.12%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                         | ABBVIE INC 3.2% 11/21/2029                                                                        | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $15775795.00   | 0.05%             | 2029-11-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 01/01/2037#FS2747                                                                  | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15863775 | PA      | $13827085.42   | 0.04%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 08/01/2052#                                                                          | CUSIP: 3133KPQD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34065351 | PA      | $32213309.63   | 0.09%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 11/01/2038#991909                                                                  | CUSIP: 31415W3S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1278 | PA      | $1338.66       | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/27 #313644                                                                           | CUSIP: 31374GLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5890 | PA      | $6040.21       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #727160                                                                           | CUSIP: 31402EZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11706 | PA      | $11558.82      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #404665                                                                          | CUSIP: 36205YQS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        569 | PA      | $580.84        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #790493                                                                           | CUSIP: 36177JRP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58723 | PA      | $55074.83      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H07 FA 1ML+50 3/61                                                                       | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     648296 | PA      | $643310.59     | 0.00%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/32 #552938                                                                          | CUSIP: 36213FHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        726 | PA      | $723.89        | 0.00%             | 2032-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 9/35 #A47784                                                                           | CUSIP: 3128K8UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74687 | PA      | $79315.52      | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 3/27 #256653                                                                      | CUSIP: 31371NBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1807 | PA      | $1831.07       | 0.00%             | 2027-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #840937                                                                           | CUSIP: 31407UHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12163 | PA      | $12629.43      | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.45% 07/15/2028                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   32380000 | PA      | $27303538.72   | 0.08%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2039#A90245                                                                  | CUSIP: 312938HW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1295 | PA      | $1284.43       | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2030#                                                                        | CUSIP: 31298CPJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13860 | PA      | $14583.01      | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745088                                                                           | CUSIP: 3620C0XR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95353 | PA      | $93841.89      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/44#Q27794                                                                    | CUSIP: 3132M8KF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79648 | PA      | $76882.36      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #757487                                                                           | CUSIP: 36230SJ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     268216 | PA      | $251154.08     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #737454                                                                           | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144164 | PA      | $144666.93     | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 01/01/2053#MA4868                                                                    | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4861211 | PA      | $4794567.20    | 0.01%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/25 #410104                                                                           | CUSIP: 36206FRZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $22.59         | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | 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        |   18322000 | PA      | $17479768.81   | 0.05%             | 2036-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #444774                                                                           | CUSIP: 36207XCK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        751 | PA      | $772.40        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | 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        |    3955000 | PA      | $3885628.90    | 0.01%             | 2046-11-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2050#                                                                        | CUSIP: 3133KHWP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24235 | PA      | $22329.76      | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.691% 02/01/2042#AK2344                                                                 | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46542 | PA      | $46870.23      | 0.00%             | 2042-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#G61047                                                                  | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     704236 | PA      | $695480.08     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 01/01/2031#                                                                          | CUSIP: 31298FZT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        186 | PA      | $188.62        | 0.00%             | 2031-01-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                                          | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    2586726 | PA      | $2513964.09    | 0.01%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                          | CUSIP: 31293LSQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        676 | PA      | $691.36        | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#SD8276                                                                    | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15898412 | PA      | $15680455.71   | 0.05%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/29 #524115                                                                          | CUSIP: 31384HGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        983 | PA      | $1031.59       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #488260                                                                           | CUSIP: 36210CMH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        188 | PA      | $191.94        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2043#AS0076                                                                  | CUSIP: 3138W9CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171149 | PA      | $160317.02     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 03/45#AY2119                                                                       | CUSIP: 3138YFK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5982 | PA      | $6101.91       | 0.00%             | 2045-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #323961                                                                          | CUSIP: 31374TZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1878 | PA      | $1952.97       | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% #BM4385 08/48                                                                      | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2736589 | PA      | $2711512.86    | 0.01%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #713740                                                                           | CUSIP: 36297J4Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162332 | PA      | $159772.97     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A                                         | CUSIP: 92858TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1064203.56    | 0.00%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 3/30 #G02183                                                                           | CUSIP: 3128LXM80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1441 | PA      | $1454.24       | 0.00%             | 2030-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE6348                                                                    | CUSIP: 31419HBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1132 | PA      | $1095.72       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AI2509                                                                           | CUSIP: 3138AFYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25498 | PA      | $24680.01      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H06 FA 1ML+63 1/62                                                                       | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     869489 | PA      | $864324.89     | 0.00%             | 2062-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21258                                                                  | CUSIP: 3132JNMF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     263033 | PA      | $254227.51     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2022                                                                | TOWD PT MTG TR 2022 3.75% 07/25/2062 144A                                                         | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20698511 | PA      | $18695702.67   | 0.05%             | 2062-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 07/01/2024#                                                                          | CUSIP: 31292GL87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $184.48        | 0.00%             | 2024-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #569780                                                                           | CUSIP: 36200Q6R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        694 | PA      | $726.76        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.412%/VAR 03/31/2031                                                               | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   45100000 | PA      | $41415177.11   | 0.12%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIX LTD / SYMPHONY CLO XIX LLC                                        | SYMPHONY CLO XIX LTD / SYMPHONY CLO XIX LLC 3ML+96 04/16/2031 144A                                | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16170000 | PA      | $15903146.49   | 0.05%             | 2031-04-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFILIATED MANAGERS GROUP INC                                                      | AFFILIATED MANAGERS GROUP INC 4.25% 02/15/2024                                                    | CUSIP: 008252AM0<br>LEI: 2JE75BUE3T1BLCYYGK54 | Long             | DBT              | CORP              | US        |   10069000 | PA      | $9943112.83    | 0.03%             | 2024-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2041#                                                                        | CUSIP: 312944YF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51481 | PA      | $51073.15      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                 | AUTONATION INC DEL 3.85% 03/01/2032                                                               | CUSIP: 05329RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21966000 | PA      | $17532750.93   | 0.05%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 03/01/2033#CA1619                                                                  | CUSIP: 3140Q8YR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42128 | PA      | $39318.90      | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 6/39 #670609                                                                           | CUSIP: 36295HAJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        785 | PA      | $799.37        | 0.00%             | 2039-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #733989                                                                          | CUSIP: 3620AMNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27553 | PA      | $26458.25      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #794582                                                                           | CUSIP: 36177PCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     322566 | PA      | $303053.62     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #754005                                                                           | CUSIP: 36230NNW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40507 | PA      | $38966.12      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLT 2021-RPL1 TR                                                                  | COLT 2021-RPL1 TR 1.8808% 09/25/2061 144A                                                         | CUSIP: 12598PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17619805 | PA      | $15419177.81   | 0.04%             | 2061-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 5.95% 01/28/2031                                                              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   16274000 | PA      | $12303144.00   | 0.04%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/25 #421411                                                                          | CUSIP: 36206UDQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        111 | PA      | $111.77        | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 7/42 #AA8273                                                                           | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74098 | PA      | $69442.89      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2042#779220                                                                  | CUSIP: 36176XPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106059 | PA      | $96960.87      | 0.00%             | 2042-05-15      | Fixed         | 0.03%                 | 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        |   51838000 | PA      | $49757004.96   | 0.14%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYC 2004-1 IO 1.25% 4/34                                                                         | CUSIP: 07324SAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400176 | PA      | $15536.53      | 0.00%             | 2034-04-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 2/27 #D97194                                                                      | CUSIP: 3128E37F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2098 | PA      | $2129.72       | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP IND                                                          | LINCOLN NATIONAL CORP IND 3.4% 01/15/2031                                                         | CUSIP: 534187BK4<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |   34132000 | PA      | $28231628.47   | 0.08%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/28 #323297                                                                           | CUSIP: 31374TDA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $71.86         | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-94 SA 1ML+610 07/41                                                                      | CUSIP: 38377WN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     303483 | PA      | $28047.64      | 0.00%             | 2041-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/25 #303450                                                                           | CUSIP: 31373UBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1539 | PA      | $1557.45       | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 3128MJCD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93454 | PA      | $94181.25      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 1/39 #701582                                                                           | CUSIP: 36296UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53041 | PA      | $54494.26      | 0.00%             | 2039-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #836456                                                                          | CUSIP: 31407PH92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1205 | PA      | $1256.22       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 11/01/2050#QB6612                                                                  | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1037249 | PA      | $802179.76     | 0.00%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #458421                                                                          | CUSIP: 36208RG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        261 | PA      | $268.19        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/26 #303887                                                                           | CUSIP: 31373URG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.14         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #487335                                                                          | CUSIP: 36210BLQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1036 | PA      | $1071.29       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 6/25 #409861                                                                           | CUSIP: 36206FJE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        315 | PA      | $320.08        | 0.00%             | 2025-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #581935                                                                           | CUSIP: 36201FPU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1103 | PA      | $1157.95       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 4% 01/15/2025                                                            | CUSIP: 37045XAS5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   14536000 | PA      | $14104177.30   | 0.04%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #576229                                                                           | CUSIP: 36200YEA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1829 | PA      | $1914.39       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 4/42 #C03811                                                                           | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8064928 | PA      | $7560743.17    | 0.02%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/31 #543785                                                                           | CUSIP: 36212UCW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        133 | PA      | $140.49        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #468084                                                                           | CUSIP: 36209C6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        394 | PA      | $404.32        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                     | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  556400000 | PA      | $447814867.76  | 1.30%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/23 #342821                                                                           | CUSIP: 36224YYS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $7.71          | 0.00%             | 2023-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE9065                                                                          | CUSIP: 31419LCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40194 | PA      | $38890.36      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 12/01/2036#BU1384                                                                    | CUSIP: 3140M2RE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2888539 | PA      | $2578303.54    | 0.01%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2051#                                                                        | CUSIP: 3140QHK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128250 | PA      | $117528.10     | 0.00%             | 2051-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #331390                                                                           | CUSIP: 31375DC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         99 | PA      | $99.51         | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2043#BM1167                                                                    | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     734262 | PA      | $709912.30     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#                                                                        | CUSIP: 3132DWCL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11556644 | PA      | $10557986.66   | 0.03%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #479545                                                                           | CUSIP: 31382DWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        480 | PA      | $503.13        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/25 #320060                                                                           | CUSIP: 31374PQM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        192 | PA      | $192.91        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #680498                                                                          | CUSIP: 36295T7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9748 | PA      | $10212.47      | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2996 ZD 5.5% 06/35                                                                            | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     872080 | PA      | $894008.24     | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 4.25% 10/21/2025                                                    | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   22692000 | PA      | $22146180.70   | 0.06%             | 2025-10-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                     | WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052                                                      | CUSIP: 95001RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13797000 | PA      | $13110521.99   | 0.04%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 12/01/2032#ZS8678                                                                  | CUSIP: 3132A9UB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38121 | PA      | $35579.10      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 12/27 #257025                                                                     | CUSIP: 31371NPJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12079 | PA      | $12298.27      | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 10/01/2030#                                                                          | CUSIP: 31298CD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        443 | PA      | $455.65        | 0.00%             | 2030-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #741372                                                                           | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86921 | PA      | $85566.80      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST/FORD CRDT                                             | FORD CR AUTO OWNER TR 2018-REV2 3.61% 01/15/2030 144A                                             | CUSIP: 34528HAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6400000 | PA      | $6312123.52    | 0.02%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/36 #745550                                                                           | CUSIP: 31403DH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3900 | PA      | $4059.79       | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#SD7541                                                                         | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  101281134 | PA      | $83697493.61   | 0.24%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/28 #251615                                                                           | CUSIP: 31371GN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1616 | PA      | $1681.16       | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LII LTD / MADISON PK FDG LII LLC                                    | MADISON PK FDG LII LTD / MADISON PK FDG LII LLC 3ML+110 01/22/2035 144A                           | CUSIP: 55822BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   32026000 | PA      | $31000527.48   | 0.09%             | 2035-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 01/01/2041#A96537                                                                  | CUSIP: 312945HN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24207 | PA      | $24530.74      | 0.00%             | 2041-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2040#004799                                                                    | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13227 | PA      | $12436.90      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/42#890427                                                                       | CUSIP: 31410LHC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6457 | PA      | $6043.40       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/47#BH0885                                                                       | CUSIP: 3140GN6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36673 | PA      | $36079.81      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/40 #737790                                                                          | CUSIP: 3620ARUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25823 | PA      | $24795.11      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP4091                                                                           | CUSIP: 3138M7RM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47205 | PA      | $44156.40      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #554171                                                                          | CUSIP: 36213GT43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2426 | PA      | $2539.78       | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.78% 10/35 #1N0063                                                                      | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31397 | PA      | $32203.54      | 0.00%             | 2035-10-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/39 #711476                                                                          | CUSIP: 36297GMZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147463 | PA      | $141660.38     | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AT7264                                                                  | CUSIP: 3138WVCA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6061 | PA      | $5509.29       | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/26 #349356                                                                           | CUSIP: 31376ABZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1334 | PA      | $1371.29       | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #568707                                                                           | CUSIP: 36213YYC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2563 | PA      | $2693.22       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 12/01/2033#C91737                                                                  | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1008953 | PA      | $966766.04     | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/26 #831587                                                                           | CUSIP: 31407H2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1162 | PA      | $1174.62       | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 01/01/2037#MA2866                                                                    | CUSIP: 31418CFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2506272 | PA      | $2343803.85    | 0.01%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  114900000 | PA      | $115241161.08  | 0.33%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2013-C14                                                    | JPMBB COML MTG SEC TR 2013 C14 AS 4.409% 08/15/2046                                               | CUSIP: 46640LAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6681000 | PA      | $6567878.64    | 0.02%             | 2046-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2051#                                                                        | CUSIP: 3140QKGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     634145 | PA      | $581129.06     | 0.00%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.20% 12/35 #1A0053                                                                      | CUSIP: 3128NEBW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        235 | PA      | $238.27        | 0.00%             | 2035-12-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AL1193                                                                          | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     680968 | PA      | $658732.96     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 3/42 #Q06886                                                                           | CUSIP: 3132GR6X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     384898 | PA      | $372766.32     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                                             | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     277435 | PA      | $17415.81      | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3.75% 04/01/2032                                                                    | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    9454000 | PA      | $8409697.83    | 0.02%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96731                                                                           | CUSIP: 312945PQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     291316 | PA      | $288984.92     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2044#AW9502                                                                  | CUSIP: 3138XZRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150821 | PA      | $145449.52     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | 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        |    2660000 | PA      | $2529777.84    | 0.01%             | 2026-03-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/42#AQ6804                                                                       | CUSIP: 3138MNR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26367 | PA      | $24633.05      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18564                                                                  | CUSIP: 3132J96A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46860 | PA      | $45306.41      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   30660000 | NC      | $376333.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNMA 2017-H06 FA 12ML+35 08/66                                                                    | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6298153 | PA      | $6268854.32    | 0.02%             | 2066-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #448536                                                                           | CUSIP: 36208EHM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        177 | PA      | $182.72        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8603                                                                    | CUSIP: 31419KRZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140053 | PA      | $135483.71     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/27 #405310                                                                          | CUSIP: 31378QGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $14.18         | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                                             | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360250 | PA      | $344317.78     | 0.00%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #787578                                                                           | CUSIP: 31405E6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17575 | PA      | $18294.59      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 4795 FA 1ML+30 05/15/2048                  | CUSIP: 3137F5PW3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    1281532 | PA      | $1240629.37    | 0.00%             | 2048-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #585381                                                                           | CUSIP: 36201KJ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        126 | PA      | $132.47        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                     | HALLIBURTON CO 3.8% 11/15/2025                                                                    | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     207000 | PA      | $201339.69     | 0.00%             | 2025-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 06/01/2041#MA4364                                                                    | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21577 | PA      | $18275.93      | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2007-35 SC -1ML+4020 6/37                                                                     | CUSIP: 38375KVH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       3929 | PA      | $4587.17       | 0.00%             | 2037-06-16      | Variable      | 0.14%                 | 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        |    6097000 | PA      | $5476753.65    | 0.02%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #331338                                                                           | CUSIP: 31375DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1459 | PA      | $1508.33       | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                       | SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030                                                      | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   33855000 | PA      | $31380764.54   | 0.09%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 11/01/2040#AE8265                                                                  | CUSIP: 31419KFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31318 | PA      | $30337.43      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #533932                                                                           | CUSIP: 36212HED8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        277 | PA      | $284.72        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/29 #572495                                                                           | CUSIP: 31386S7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        415 | PA      | $418.60        | 0.00%             | 2029-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2039#AW8233                                                                    | CUSIP: 3138XYEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96557 | PA      | $93147.90      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD                                                                           | RR 7 LTD 3ML+134 01/15/2037 144A                                                                  | CUSIP: 74980EAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   38243000 | PA      | $37295070.76   | 0.11%             | 2037-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #433882                                                                           | CUSIP: 36207J6T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        224 | PA      | $231.06        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2052#SD1863                                                                    | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20974360 | PA      | $20962104.61   | 0.06%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24973                                                                  | CUSIP: 3132M5FN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62887 | PA      | $60762.03      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/25 #313063                                                                          | CUSIP: 31374FWY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        821 | PA      | $833.45        | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RLGH TR 2021-TROT                                                                  | RLGH TR 2021-TROT VAR 04/15/2026 144A                                                             | CUSIP: 74969CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12400000 | PA      | $11954507.68   | 0.03%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2032#BJ0958                                                                  | CUSIP: 3140H2B49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19219 | PA      | $17937.89      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/25 #423436                                                                          | CUSIP: 36206WLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1626 | PA      | $1660.19       | 0.00%             | 2025-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE7364                                                                         | CUSIP: 31419JFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119547 | PA      | $115727.66     | 0.00%             | 2040-11-01      | 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        |   24200358 | PA      | $19350105.43   | 0.06%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 03/01/2043#Q16470                                                                  | CUSIP: 3132J7T44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106458 | PA      | $96952.29      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #353919                                                                          | CUSIP: 36203NDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        157 | PA      | $162.90        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD 2022                                                             | CEDAR FUNDING LTD 2022 TSFR3M+132 04/20/2035 144A                                                 | CUSIP: 15032QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   35314000 | PA      | $34010842.77   | 0.10%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                    | FOX CORP 4.03% 01/25/2024                                                                         | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    6266000 | PA      | $6193334.89    | 0.02%             | 2024-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.05% 04/15/2030                                                                      | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    7291000 | PA      | $6768947.27    | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2040#721759                                                                  | CUSIP: 3620A7ZY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12345 | PA      | $11858.62      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 1.875% 02/28/2027                                                                       | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  570000000 | PA      | $522039846.60  | 1.51%             | 2027-02-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                                         | LEIDOS INC 2.95% 05/15/2023                                                                       | CUSIP: 52532XAB1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   16357000 | PA      | $16226396.22   | 0.05%             | 2023-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AU2854                                                                    | CUSIP: 3138X2E42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145552 | PA      | $140550.10     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.008% 12/05/2051 144A                                     | CUSIP: 72703PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20311512 | PA      | $15864794.31   | 0.05%             | 2051-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 01/01/2042#AJ8357                                                                   | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78656 | PA      | $79172.30      | 0.00%             | 2042-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2031#                                                                          | CUSIP: 31292HJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2266 | PA      | $2334.64       | 0.00%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #432499                                                                           | CUSIP: 36207HNQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        129 | PA      | $133.42        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 4.25% 09/15/2024                                                                   | CUSIP: 00912XAN4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   16843000 | PA      | $16479137.98   | 0.05%             | 2024-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19764                                                                  | CUSIP: 3132JBJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78238 | PA      | $75619.01      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                    | BANK 2019-BN21 A5 2.851% 10/17/2052                                                               | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2858000 | PA      | $2475421.26    | 0.01%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #485009                                                                          | CUSIP: 36209XYE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        590 | PA      | $607.60        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #251569                                                                           | CUSIP: 31371GMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $104.42        | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 04/51#MA7311                                                                           | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3038928 | PA      | $2562577.86    | 0.01%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 8.00% 8/30 #C41636                                                                           | CUSIP: 31297YY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         82 | PA      | $86.75         | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-37 OW 0% 5/36                                                                            | CUSIP: 31395DMG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      23900 | PA      | $18620.50      | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #748112                                                                           | CUSIP: 3620C4DR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29275 | PA      | $28120.56      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #436032                                                                          | CUSIP: 36207MLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        452 | PA      | $469.59        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | 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        |   48618000 | PA      | $42981249.99   | 0.12%             | 2025-09-11      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 5.875% 11/15/2040                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    7566000 | PA      | $6591702.20    | 0.02%             | 2040-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #741227                                                                           | CUSIP: 3620AVPL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6782 | PA      | $6676.42       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/27 #399716                                                                           | CUSIP: 31378JAR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $65.53         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | 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        |   10990000 | PA      | $10372276.94   | 0.03%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 1ML+30 03/01/2061                                                    | CUSIP: 38375UVP2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      10745 | PA      | $10643.69      | 0.00%             | 2065-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2041#AE9509                                                                  | CUSIP: 31419LR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13407 | PA      | $12975.56      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19597                                                                  | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     334053 | PA      | $322870.07     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #711059                                                                          | CUSIP: 36297F5U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20492 | PA      | $20579.73      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #572392                                                                          | CUSIP: 36200T2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3022 | PA      | $3137.82       | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                           | BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051                                                     | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3240000 | PA      | $3088684.55    | 0.01%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0938                                                                  | CUSIP: 3138NXBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12504 | PA      | $11376.73      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2051#                                                                        | CUSIP: 3140LSCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     943222 | PA      | $860829.78     | 0.00%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AQ1181                                                                          | CUSIP: 3138MGJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172030 | PA      | $160727.69     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #560801                                                                           | CUSIP: 36213QAA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        253 | PA      | $263.17        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 04/03/2026                               | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   15328000 | PA      | $14629574.62   | 0.04%             | 2026-04-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2039#AV6581                                                                    | CUSIP: 3138XJJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     427827 | PA      | $412989.82     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AS0205                                                                  | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381544 | PA      | $346437.01     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2044#AS3651                                                                  | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2018290 | PA      | $1993034.56    | 0.01%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #396994                                                                           | CUSIP: 31378E7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        180 | PA      | $186.95        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH1983                                                                          | CUSIP: 3138A3FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4726 | PA      | $4577.43       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2029#                                                                          | CUSIP: 31293JH93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        190 | PA      | $193.57        | 0.00%             | 2029-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35375                                                                             | CUSIP: 3132QR6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186400 | PA      | $168708.82     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2044#AX6333                                                                  | CUSIP: 3138Y8BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24886 | PA      | $24681.13      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #569328                                                                           | CUSIP: 36200QPM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3713 | PA      | $3890.35       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY                                        | MASSACHUSETTS MUTUAL LIFE INS 3.729% 10/15/2070 144A                                              | CUSIP: 575767AN8<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |   20812000 | PA      | $13639239.52   | 0.04%             | 2070-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#AS6201                                                                  | CUSIP: 3138WF3K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9666 | PA      | $9030.13       | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 4/31 #003068                                                                         | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        501 | PA      | $519.83        | 0.00%             | 2031-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/38 #681615                                                                          | CUSIP: 36295VGY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2347 | PA      | $2356.97       | 0.00%             | 2038-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#BC0286                                                                    | CUSIP: 3140EUJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3598389 | PA      | $3466850.86    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 1/34 #609542                                                                           | CUSIP: 36202UEP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        609 | PA      | $621.39        | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                 | AUTONATION INC DEL 4.75% 06/01/2030                                                               | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3310000 | PA      | $2953164.99    | 0.01%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2043#AC3938                                                                  | CUSIP: 36179DLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10109 | PA      | $9470.58       | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #424092                                                                           | CUSIP: 36206XC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1159 | PA      | $1201.06       | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 3.375% 02/15/2030                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   17480000 | PA      | $14777067.60   | 0.04%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 3.8% 09/15/2030                                                    | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15976000 | PA      | $13884440.61   | 0.04%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #678654                                                                           | CUSIP: 36295R5P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     135255 | PA      | $129881.88     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #627296                                                                           | CUSIP: 31389J3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        237 | PA      | $251.83        | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 2.406%/VAR 10/30/2025                                                      | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   19840000 | PA      | $18762213.43   | 0.05%             | 2025-10-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                           | ELANCO ANIMAL HEALTH INC VAR 08/28/2028                                                           | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    6362000 | PA      | $6053506.62    | 0.02%             | 2028-08-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 08/20/2043#MA1225                                                                    | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     409252 | PA      | $397510.96     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/27 #461022                                                                          | CUSIP: 36208UD38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        126 | PA      | $128.80        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/29 #494945                                                                           | CUSIP: 31382WZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9719 | PA      | $10167.54      | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 12/38 #970918                                                                          | CUSIP: 31414NDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79534 | PA      | $83138.09      | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | 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        |   20149000 | PA      | $18006142.77   | 0.05%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/44#Q28991                                                                    | CUSIP: 3132M9UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247383 | PA      | $238792.31     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2046#Q39678                                                                    | CUSIP: 3132QWXG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     239574 | PA      | $230880.33     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 12M+1.75 9/1/41 #1B8787                                                                  | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     183892 | PA      | $184367.63     | 0.00%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/40 #667594                                                                          | CUSIP: 36295DUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18687 | PA      | $17971.67      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3038                                                                    | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3823547 | PA      | $3135835.15    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-2 LTD                                                         | EATON VANCE CLO 2020-2 LTD 3ML+114 01/15/2035 144A                                                | CUSIP: 27829PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   32919000 | PA      | $32122524.80   | 0.09%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #505740                                                                           | CUSIP: 31383KZD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3457 | PA      | $3593.11       | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AJ7139                                                                          | CUSIP: 3138AY4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21902 | PA      | $21167.07      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 04/01/2041#                                                                          | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19239306 | PA      | $16344036.55   | 0.05%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 7/30 #781205                                                                           | CUSIP: 36225BKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13888 | PA      | $14797.43      | 0.00%             | 2030-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 3/41 #004978                                                                        | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104215 | PA      | $103152.77     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18363                                                                  | CUSIP: 3132J9WZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43394 | PA      | $41941.40      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.49% 8/37 #1A1800                                                                       | CUSIP: 3128NF7M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24365 | PA      | $23877.30      | 0.00%             | 2037-08-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2032#MA3154                                                                  | CUSIP: 31418CQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57116 | PA      | $53308.39      | 0.00%             | 2032-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/38 #A78487                                                                           | CUSIP: 3128LCNC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5371 | PA      | $5432.34       | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/40 #748811                                                                           | CUSIP: 3620C43U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20762 | PA      | $20437.93      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/42#G07184                                                                         | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1069676 | PA      | $1035503.97    | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 10/32 #G01766                                                                          | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38319 | PA      | $40153.52      | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 3.9% 01/15/2025                                                                  | CUSIP: 96950FAQ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    4336000 | PA      | $4222528.22    | 0.01%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MID AMERICA APTS LP                                                                | MID AMERICA APTS LP 4% 11/15/2025                                                                 | CUSIP: 59523UAM9<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    3541000 | PA      | $3441130.95    | 0.01%             | 2025-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #452761                                                                           | CUSIP: 36208J5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        405 | PA      | $413.41        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.35% 02/12/2048                                                              | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   14404000 | PA      | $8744128.25    | 0.03%             | 2048-02-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0573                                                                          | CUSIP: 3138A1T76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10411 | PA      | $10079.28      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/47#Q52377                                                                         | CUSIP: 3132XUUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1812606 | PA      | $1737198.73    | 0.01%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/28 #465985                                                                           | CUSIP: 36209AUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        744 | PA      | $770.21        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/23 #765384                                                                          | CUSIP: 31404DJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5990 | PA      | $5996.25       | 0.00%             | 2023-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 11/34 #A45143                                                                          | CUSIP: 3128K5WC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28198 | PA      | $30002.50      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2040#AE9804                                                                    | CUSIP: 31419L3N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536174 | PA      | $518704.68     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#CB2321                                                                  | CUSIP: 3140QMSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18833978 | PA      | $16049039.10   | 0.05%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2041#AH4043                                                                  | CUSIP: 3138A5P55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77405 | PA      | $76660.53      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2218 ZB 6% 3/30                                                                               | CUSIP: 3133TNM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      53166 | PA      | $53990.05      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 1ML+ 01/20/2064                                                      | CUSIP: 38375UEJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     571252 | PA      | $568088.83     | 0.00%             | 2064-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                                | KIMBERLY-CLARK CORP 3.1% 03/26/2030                                                               | CUSIP: 494368CB7<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |    1764000 | PA      | $1586824.12    | 0.00%             | 2030-03-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2046#BC6149                                                                  | CUSIP: 3140F1ZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299850 | PA      | $279467.12     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2045#AZ8288                                                                  | CUSIP: 3140E1F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432664 | PA      | $390690.01     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.484% 10/23/2045 | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9303000 | PA      | $8389204.17    | 0.02%             | 2045-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LUCALI CLO LTD                                                                     | LUCALI CLO LTD 2020-1A A 3ML+121 01/15/2033 144A                                                  | CUSIP: 54929JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13900000 | PA      | $13710668.10   | 0.04%             | 2033-01-15      | Variable      | 0.05%                 | 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        |   32600000 | PA      | $31250858.78   | 0.09%             | 2026-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #513705                                                                           | CUSIP: 36211HU66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2272 | PA      | $2332.98       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783262                                                                           | CUSIP: 36241LTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     304086 | PA      | $299320.43     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 3% 09/15/2023                                                                      | CUSIP: 00912XAT1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    4193000 | PA      | $4121882.57    | 0.01%             | 2023-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 9/39 #710869                                                                           | CUSIP: 36297FW65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156101 | PA      | $160537.48     | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 6.2% 07/15/2030                                                                | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8607000 | PA      | $8750073.56    | 0.03%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/25 #387161                                                                          | CUSIP: 36205DB64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $65.80         | 0.00%             | 2025-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                        | MOODYS CORP 3.25% 01/15/2028                                                                      | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   10681000 | PA      | $9845336.50    | 0.03%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/26 #337532                                                                           | CUSIP: 31375K4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2087 | PA      | $2124.61       | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                        | CUSIP: 31292GTE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $16.85         | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #660494                                                                           | CUSIP: 31390YXX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1050 | PA      | $1083.95       | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  113300000 | PA      | $109210572.46  | 0.32%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #Q03529                                                                           | CUSIP: 3132GJSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86608 | PA      | $86099.97      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #583573                                                                           | CUSIP: 36201HJS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        561 | PA      | $587.10        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.3% 01/30/2032                                | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   19378000 | PA      | $15148960.01   | 0.04%             | 2032-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 11/36 #995606                                                                            | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122682 | PA      | $123226.98     | 0.00%             | 2036-11-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                                      | DISCOVER BANK 4.2% 08/08/2023                                                                     | CUSIP: 25466AAD3<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |     259000 | PA      | $257314.46     | 0.00%             | 2023-08-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404440                                                                          | CUSIP: 31378PHR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $38.13         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG2012-9 SH 1ML+655 06/25/2041                                                       | CUSIP: 3136A3M81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      93243 | PA      | $1013.47       | 0.00%             | 2041-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 08/01/2031#V61273                                                                  | CUSIP: 3132KFMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2657818 | PA      | $2493607.38    | 0.01%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/25 #418746                                                                           | CUSIP: 36206RET9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $51.21         | 0.00%             | 2025-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/33 #614479                                                                           | CUSIP: 36290QUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        368 | PA      | $367.55        | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                                           | MOLSON COORS BEVERAGE CO 5% 05/01/2042                                                            | CUSIP: 60871RAD2<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |    3080000 | PA      | $2731888.94    | 0.01%             | 2042-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727855                                                                           | CUSIP: 3620AETL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17698 | PA      | $17419.14      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #587924                                                                           | CUSIP: 36201ND56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1468 | PA      | $1534.25       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                               | BARCLAYS PLC (UNGTD) 5.2% 05/12/2026                                                              | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   11811000 | PA      | $11486144.59   | 0.03%             | 2026-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG AS GTD RE PTT                                                     | FEDERAL NATL MTG AS GTD RE PTT 18-38 FG 1ML+30 06/25/2048                                         | CUSIP: 3136B1T20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1918936 | PA      | $1860003.24    | 0.01%             | 2048-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 7.00% 12/26 #256589                                                                     | CUSIP: 31371M7A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1880 | PA      | $1910.88       | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                                 | METROPOLITAN LIFE GLBL FDG I 3% 01/10/2023 144A                                                   | CUSIP: 59217GAX7<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |     223000 | PA      | $222924.08     | 0.00%             | 2023-01-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 5/42 #Q08167                                                                           | CUSIP: 3132GTMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     231760 | PA      | $224573.75     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #456947                                                                           | CUSIP: 36208PTC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $56.54         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2045#AS5393                                                                  | CUSIP: 3138WE7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86134 | PA      | $85198.74      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/40 #G05969                                                                           | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     318446 | PA      | $322126.67     | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/25 #317259                                                                           | CUSIP: 31374LMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        344 | PA      | $350.89        | 0.00%             | 2025-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG 6.537%/VAR 08/12/2033 144A                                                   | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   30000000 | PA      | $26321799.60   | 0.08%             | 2033-08-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #723234                                                                          | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5102 | PA      | $5020.98       | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2029#                                                                          | CUSIP: 31293RTS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $158.25        | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#FS3248                                                                    | CUSIP: 3140XJTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12313447 | PA      | $12306251.88   | 0.04%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.753% 10/33 #746320                                                                     | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34099 | PA      | $34791.52      | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 01/01/2036#G30933                                                                    | CUSIP: 3132J4HK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6079639 | PA      | $5904349.25    | 0.02%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #458370                                                                           | CUSIP: 36208RFK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47 | PA      | $46.96         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AP4325                                                                  | CUSIP: 3138M7YX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29859 | PA      | $27102.38      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #780931                                                                          | CUSIP: 36225BA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        961 | PA      | $988.42        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND                                                            | DRYDEN SENIOR LOAN FUND 3ML+113 02/20/2035 144A                                                   | CUSIP: 262484AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14569000 | PA      | $14129773.79   | 0.04%             | 2035-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 4.3% 04/15/2052                                                          | CUSIP: 02666TAF4<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    9909000 | PA      | $7262536.88    | 0.02%             | 2052-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #465971                                                                           | CUSIP: 36209AT42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2046 | PA      | $2105.18       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2095 PE 6% 11/28                                                                              | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      95384 | PA      | $96887.32      | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 01/20/2043#MA0852                                                                    | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     255555 | PA      | $240447.24     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 05/15/2039#783724                                                                  | CUSIP: 3622A2D58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124034 | PA      | $124359.16     | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/26 #345614                                                                           | CUSIP: 36203C3X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         60 | PA      | $61.07         | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB9016                                                                       | CUSIP: 31417GAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23742 | PA      | $21602.27      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #460758                                                                           | CUSIP: 36208TZX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         36 | PA      | $36.66         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745083                                                                           | CUSIP: 3620C0XL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190936 | PA      | $187943.45     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                            | SIMON PROPERTY GROUP LP 2.65% 02/01/2032                                                          | CUSIP: 828807DT1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $24014032.50   | 0.07%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #313182                                                                          | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        236 | PA      | $242.97        | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.89% 3/33 #725130                                                                       | CUSIP: 31402CST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18264 | PA      | $18242.91      | 0.00%             | 2033-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP OHIO                                                              | PROGRESSIVE CORP OHIO 3.2% 03/26/2030                                                             | CUSIP: 743315AW3<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |    3815000 | PA      | $3423112.10    | 0.01%             | 2030-03-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                  | EVERSOURCE ENERGY 2.8% 05/01/2023                                                                 | CUSIP: 664397AK2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     435000 | PA      | $432786.03     | 0.00%             | 2023-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+132.21 10/15/2036 144A                                  | CUSIP: 05609PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7201000 | PA      | $6699850.01    | 0.02%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2044#Q27069                                                                  | CUSIP: 3132M7QW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9526 | PA      | $9443.43       | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.45% 02/15/2031 144A                                                                | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   61131000 | PA      | $48147924.86   | 0.14%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #474002                                                                           | CUSIP: 36209KRX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        988 | PA      | $1017.07       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03295                                                                           | CUSIP: 3132GJKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     331780 | PA      | $321317.16     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-HB7 LLC                                                                  | CFMT 2021-HB7 LLC 3.3574% 07/25/2054 144A                                                         | CUSIP: 12527QAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15095562 | PA      | $14574902.33   | 0.04%             | 2054-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #510192                                                                           | CUSIP: 31383QXV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4864 | PA      | $5080.52       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3% 02/01/2037#C91917                                                                    | CUSIP: 3128P8DW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     883412 | PA      | $826891.17     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/47#BE3749                                                                       | CUSIP: 3140FPEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3012193 | PA      | $2967252.62    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2013-GC17                                                    | CITIGROUP COML MTG TR 13-GC17 4.544% 11/10/2046                                                   | CUSIP: 17321RAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6842492.30    | 0.02%             | 2046-11-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #830899                                                                           | CUSIP: 31407HDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1270 | PA      | $1320.77       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5.00% 7/23 #987206                                                                      | CUSIP: 31415RU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $46.98         | 0.00%             | 2023-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                               | LXP INDUSTRIAL TRUST 2.7% 09/15/2030                                                              | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    7890000 | PA      | $6284788.26    | 0.02%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2049#CA4536                                                                    | CUSIP: 3140QCBE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12203564 | PA      | $10870936.99   | 0.03%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 07/01/2042#AP1818                                                                  | CUSIP: 3138M5AU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38011 | PA      | $35181.65      | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.358% 10/33 #754672                                                                     | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3131 | PA      | $3164.74       | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #570662                                                                          | CUSIP: 36200R5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2731 | PA      | $2820.30       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0493                                                                          | CUSIP: 3138A1RP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19567 | PA      | $18959.31      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                        | MOODYS CORP 3.25% 05/20/2050                                                                      | CUSIP: 615369AT2<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    9704000 | PA      | $6700353.78    | 0.02%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2048#Q58998                                                                  | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     443528 | PA      | $434686.65     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/27 #399910                                                                          | CUSIP: 31378JGT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $72.04         | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | 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        |    5509000 | PA      | $5474420.50    | 0.02%             | 2023-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/24 #250030                                                                           | CUSIP: 31371EVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $57.66         | 0.00%             | 2024-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #372445                                                                           | CUSIP: 36204KWE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        104 | PA      | $107.87        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 6/25 #380195                                                                           | CUSIP: 36204UKG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        114 | PA      | $115.88        | 0.00%             | 2025-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR5360                                                                  | CUSIP: 3138W25W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87504 | PA      | $79616.65      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 5.5% 02/15/2049                                                                           | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   16108000 | PA      | $14157181.38   | 0.04%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043                                                                         | CUSIP: 31417GAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67077 | PA      | $60968.07      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | 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        |   23106000 | PA      | $22334419.26   | 0.06%             | 2026-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/42#AB5369                                                                       | CUSIP: 31417B6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44239 | PA      | $41391.92      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5815                                                                    | CUSIP: 36196HN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     397618 | PA      | $379848.37     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/24 #401000                                                                           | CUSIP: 36205UNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        198 | PA      | $199.59        | 0.00%             | 2024-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #692780                                                                           | CUSIP: 36296JUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19950 | PA      | $19986.12      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#737704                                                                  | CUSIP: 3620ARRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10141 | PA      | $9728.42       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2045#AL7147                                                                  | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     681646 | PA      | $675097.61     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2046#784232                                                                    | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4010400 | PA      | $3839949.40    | 0.01%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2044#G60271                                                                  | CUSIP: 31335AJQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2412500 | PA      | $2261906.82    | 0.01%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.717% 7/35 #735778                                                                      | CUSIP: 31402RM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77194 | PA      | $77752.66      | 0.00%             | 2035-07-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #863262                                                                          | CUSIP: 31408XB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2178 | PA      | $2272.27       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                                           | DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 1.625% 12/13/2024 144A                                   | CUSIP: 233853AD2<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   28773000 | PA      | $26702459.82   | 0.08%             | 2024-12-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/28 #593829                                                                          | CUSIP: 31387TVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3038 | PA      | $3040.62       | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 01/47#MA4263                                                                           | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64485 | PA      | $62090.68      | 0.00%             | 2047-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AQ9868                                                                  | CUSIP: 3138MR6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39986 | PA      | $36344.34      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #513757                                                                           | CUSIP: 36211HWS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        122 | PA      | $123.92        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR4275                                                                  | CUSIP: 3138W1XD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19906 | PA      | $18112.17      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#FS0631                                                                    | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28966017 | PA      | $25569847.51   | 0.07%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #641860                                                                           | CUSIP: 31390CB54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $67.69         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #558746                                                                           | CUSIP: 36213MWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1866 | PA      | $1949.43       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#QC1514                                                                         | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3192886 | PA      | $2628584.24    | 0.01%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2040#AE7856                                                                  | CUSIP: 31419JWS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119151 | PA      | $115324.89     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #424845                                                                           | CUSIP: 36206X5E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        619 | PA      | $635.07        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 04/39#FM1039                                                                       | CUSIP: 3140X4EM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275789 | PA      | $261437.32     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                        | ILLINOIS ST BUILD AMERICA BONDS-IL ST                                                             | CUSIP: 452152BM2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   45930000 | PA      | $46559608.44   | 0.13%             | 2035-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                               | BARCLAYS PLC (UNGTD) 5.088%/VAR 06/20/2030                                                        | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   35020000 | PA      | $32255538.01   | 0.09%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD/CAYMAN ISLANDS                                                      | BABSON CLO LTD/CAYMAN ISLANDS 2020-1A AR 3ML+115 10/15/2036 144A                                  | CUSIP: 06762LAM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17946000 | PA      | $17461691.30   | 0.05%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                           | TOYOTA MOTOR CREDIT CORP 2.9% 03/30/2023                                                          | CUSIP: 89236TGW9<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   32287000 | PA      | $32158856.45   | 0.09%             | 2023-03-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2043#AU6807                                                                  | CUSIP: 3138X6R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124428 | PA      | $123427.08     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #504525                                                                           | CUSIP: 31383JPJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $84.21         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #499386                                                                           | CUSIP: 31383CXP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1069 | PA      | $1122.24       | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | 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        |   31384000 | PA      | $30737782.10   | 0.09%             | 2026-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 09/01/2051#BT0233                                                                    | CUSIP: 3140LNHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7395620 | PA      | $6090849.74    | 0.02%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB9033                                                                       | CUSIP: 31417GBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53915 | PA      | $49055.08      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THORNBURG MTG SECS TR                                                              | TMST 2003-4 A1 1ML+64 9/43                                                                        | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     753455 | PA      | $700560.81     | 0.00%             | 2043-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PEACHTREE CORNERS FDG TR                                                           | PEACHTREE CORNERS FDG TR 3.976% 02/15/2025 144A                                                   | CUSIP: 70466WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25500000 | PA      | $24614629.04   | 0.07%             | 2025-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #556294                                                                          | CUSIP: 36213J7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4777 | PA      | $5003.62       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/25 #387165                                                                          | CUSIP: 36205DCA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        203 | PA      | $206.00        | 0.00%             | 2025-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #711491                                                                           | CUSIP: 36297GNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     217840 | PA      | $209218.45     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #589934                                                                           | CUSIP: 36201QLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2318 | PA      | $2435.99       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AL3181                                                                  | CUSIP: 3138EKRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2252412 | PA      | $2049385.51    | 0.01%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 08/01/2052#BW7825                                                                    | CUSIP: 3140N0VT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2491646 | PA      | $2490969.13    | 0.01%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2013-H07 BA 1ML+36 03/63                                                                      | CUSIP: 38375BQ54<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      31779 | PA      | $31468.23      | 0.00%             | 2063-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #555696                                                                           | CUSIP: 36213JKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        450 | PA      | $471.81        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 5/42 #766750                                                                           | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     330464 | PA      | $309976.08     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 3/32 #C64888                                                                           | CUSIP: 31287QND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $74.38         | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | 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        |   28285000 | PA      | $26674132.48   | 0.08%             | 2050-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2039#AX5330                                                                    | CUSIP: 3138Y64Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276879 | PA      | $267017.28     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #379219                                                                           | CUSIP: 31377KG41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        286 | PA      | $295.28        | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 06/20/2049#MA5986                                                                      | CUSIP: 36179UUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3155508 | PA      | $3011974.94    | 0.01%             | 2049-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2048#Q54499                                                                    | CUSIP: 3132XW7M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92646 | PA      | $88936.21      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.349% 12/34 #843013                                                                     | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19726 | PA      | $19638.64      | 0.00%             | 2034-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6308                                                                    | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2314037 | PA      | $1899998.31    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8186                                                                    | CUSIP: 31419KCY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203567 | PA      | $197083.53     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                  | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   14471000 | PA      | $11154678.33   | 0.03%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #412134                                                                          | CUSIP: 36206HY77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        237 | PA      | $241.46        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #711188                                                                           | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7489 | PA      | $7370.85       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.37% 6/36 #916726                                                                       | CUSIP: 31411WPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42501 | PA      | $43223.70      | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/28 #251755                                                                           | CUSIP: 31371GTL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2089 | PA      | $2164.56       | 0.00%             | 2028-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/47#BJ2132                                                                         | CUSIP: 3140H3LN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     638104 | PA      | $612385.82     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DR HORTON INC                                                                      | DR HORTON INC 2.6% 10/15/2025                                                                     | CUSIP: 23331ABN8<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |   34514000 | PA      | $32133365.44   | 0.09%             | 2025-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2046#BC1216                                                                  | CUSIP: 3140EVK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3598663 | PA      | $3354037.92    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | 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        |    4456790 | PA      | $4376370.00    | 0.01%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#BT9493                                                                    | CUSIP: 3140LYRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5639133 | PA      | $4630153.17    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/25 #412507                                                                          | CUSIP: 36206JGQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        106 | PA      | $107.38        | 0.00%             | 2025-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2047#Q47935                                                                  | CUSIP: 3132WMY99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1277180 | PA      | $1259703.22    | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AH1986                                                                          | CUSIP: 3138A3F44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13905 | PA      | $13777.14      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #487575                                                                           | CUSIP: 36210BT88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        615 | PA      | $636.19        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 5/46#Q40310                                                                          | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     918354 | PA      | $828321.82     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2170                                                                  | CUSIP: 3138MHMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13889 | PA      | $12576.48      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   13100000 | NC      | $160794.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/23 #337471                                                                           | CUSIP: 36224S2C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $8.00          | 0.00%             | 2023-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/27 #313828                                                                          | CUSIP: 31374GSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $51.73         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2045#G07949                                                                    | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3350429 | PA      | $3242456.96    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #728314                                                                          | CUSIP: 3620AFDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21749 | PA      | $21409.21      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13381                                                                  | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10489 | PA      | $10172.44      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#BC0919                                                                  | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440232 | PA      | $412670.43     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 3.8% 04/15/2024                                                       | CUSIP: 136385AT8<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     619000 | PA      | $606590.42     | 0.00%             | 2024-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #552575                                                                           | CUSIP: 36213E2G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2441 | PA      | $2551.27       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/34 #A19922                                                                           | CUSIP: 31296VAX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16377 | PA      | $16472.93      | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.25% 12/01/2041#AK9124                                                                 | CUSIP: 3138EED63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18646 | PA      | $17206.06      | 0.00%             | 2041-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRIMA CAPITAL LTD 2021                                                             | PRIMA CAPITAL LTD 2021-9A A 1ML+145 12/15/2037 144A                                               | CUSIP: 74167CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1920692 | PA      | $1896841.97    | 0.01%             | 2037-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 6/37 #617570                                                                           | CUSIP: 36290UCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9630 | PA      | $10148.36      | 0.00%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2051#MA4347                                                                  | CUSIP: 31418DZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43223 | PA      | $39569.12      | 0.00%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2046#AS7241                                                                  | CUSIP: 3138WHBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1523066 | PA      | $1420009.18    | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-60 FV 1ML+100 4/32                                                                       | CUSIP: 31392EVD9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      15313 | PA      | $15464.52      | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #506694                                                                           | CUSIP: 36210Y3B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         84 | PA      | $87.21         | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/31 #570320                                                                           | CUSIP: 31386QSH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1112 | PA      | $1182.78       | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/20/2051#MA7135                                                                      | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2314861 | PA      | $1954178.30    | 0.01%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/24 #390034                                                                           | CUSIP: 36205GHK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         39 | PA      | $39.25         | 0.00%             | 2024-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #433528                                                                           | CUSIP: 36207JSR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        359 | PA      | $367.94        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 1993-165SH -2.81ML+2K 9/23                                                                    | CUSIP: 31359D5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        591 | PA      | $588.69        | 0.00%             | 2023-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 1.5% 01/01/2038 #TBA                                                                    | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  140550000 | PA      | $122005088.09  | 0.35%             | 2038-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 07/01/2035#SB8065                                                                  | CUSIP: 3132D56A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14896147 | PA      | $12997652.12   | 0.04%             | 2035-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 05/01/2025#                                                                        | CUSIP: 31283GY92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $14.19         | 0.00%             | 2025-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ8098                                                                          | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536290 | PA      | $518650.85     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2031#AS8246                                                                  | CUSIP: 3138WJEU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116540 | PA      | $109098.52     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #738886                                                                          | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149288 | PA      | $143356.86     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2044#AX5347                                                                  | CUSIP: 3138Y65H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     933653 | PA      | $900398.70     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6.25% 04/15/2049                                                               | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    7637000 | PA      | $7101451.02    | 0.02%             | 2049-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    4980000 | NC      | $61126.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #560279                                                                           | CUSIP: 36213PM40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        572 | PA      | $590.04        | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/28 #437140                                                                           | CUSIP: 31380DS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        513 | PA      | $533.38        | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511096                                                                           | CUSIP: 31383RXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         60 | PA      | $63.56         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2048#BK0200                                                                  | CUSIP: 3140HDGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61205 | PA      | $60023.71      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #748144                                                                           | CUSIP: 3620C4ER7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21856 | PA      | $20955.92      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | 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        |    2000000 | PA      | $1865000.56    | 0.01%             | 2029-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 7/37 #G03508                                                                           | CUSIP: 3128M5GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18350 | PA      | $19204.44      | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/42 #AL2128                                                                           | CUSIP: 3138EJLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53319 | PA      | $56000.72      | 0.00%             | 2042-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 3/27 #928256                                                                      | CUSIP: 31412LH94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1290 | PA      | $1310.13       | 0.00%             | 2027-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7755                                                                  | CUSIP: 31417ETM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     449844 | PA      | $409296.35     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 6/24 #389982                                                                           | CUSIP: 36205GFX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        108 | PA      | $108.77        | 0.00%             | 2024-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/28 #251409                                                                           | CUSIP: 31371GGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $96.82         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/24 #190295                                                                          | CUSIP: 31368HKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1334 | PA      | $1339.58       | 0.00%             | 2024-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2046#BC8622                                                                  | CUSIP: 3140F4SL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87141 | PA      | $85813.58      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #372408                                                                           | CUSIP: 36204KU92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        186 | PA      | $192.17        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX 2021-SOAR                                                                       | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                                  | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   36675951 | PA      | $35894885.67   | 0.10%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #412145                                                                           | CUSIP: 31378XZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $34.49         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE6951                                                                          | CUSIP: 31419HWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26410 | PA      | $25537.63      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 4.411/VAR 04/23/2039                                                | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2592087.72    | 0.01%             | 2039-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 06/01/2031#G18604                                                                  | CUSIP: 3128MMU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     891961 | PA      | $836852.03     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | 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        |        174 | PA      | $178.98        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP VAR 05/15/2024                                                                 | CUSIP: 292480AH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6444000 | PA      | $6275949.24    | 0.02%             | 2024-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2041#                                                                        | CUSIP: 312946BR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208561 | PA      | $206910.27     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                                     | CSMC 2019-ICE4 1ML+98.535 05/15/2036 144A                                                         | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   50240000 | PA      | $49685687.01   | 0.14%             | 2036-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2050#FM4595                                                                    | CUSIP: 3140X8C96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26922 | PA      | $23738.28      | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE7533                                                                          | CUSIP: 31419JLP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44406 | PA      | $42967.05      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2022-1 LTD                                                                   | AASET 2022-1 LTD 6% 05/16/2047 144A                                                               | CUSIP: 00255EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   31063892 | PA      | $28778900.91   | 0.08%             | 2047-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 05/15/2045#AN1263                                                                  | CUSIP: 36185GML6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     191465 | PA      | $183326.93     | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #250551                                                                           | CUSIP: 31371FH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1488 | PA      | $1517.75       | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #464855                                                                           | CUSIP: 36208YMC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         52 | PA      | $53.47         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/34 #A30369                                                                          | CUSIP: 31297KMS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2530 | PA      | $2550.63       | 0.00%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/32 #555144                                                                          | CUSIP: 31385WWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        754 | PA      | $794.37        | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5.00% 6/23 #984809                                                                      | CUSIP: 31415PAJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        377 | PA      | $376.27        | 0.00%             | 2023-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                     | MAGALLANES INC 5.05% 03/15/2042 144A                                                              | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   14442000 | PA      | $11049317.13   | 0.03%             | 2042-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AT3989                                                                  | CUSIP: 3138WRNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     892358 | PA      | $835881.29     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 02/01/2034#G16752                                                                  | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6535847 | PA      | $6286352.02    | 0.02%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 3225 EO 0% 10/36                                                                              | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      89425 | PA      | $70208.99      | 0.00%             | 2036-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2042#                                                                          | CUSIP: 3132GSMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40903 | PA      | $39570.61      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 3.375% 07/01/2025                                                                  | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   28656000 | PA      | $27103441.42   | 0.08%             | 2025-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    8990000 | NC      | $110346.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/29 #793986                                                                           | CUSIP: 31405NCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31336 | PA      | $32076.48      | 0.00%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC                                            | ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC TSFR3M+150 07/20/2035 144A                                | CUSIP: 01749WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |   25047000 | PA      | $24365596.37   | 0.07%             | 2035-07-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 1999-57 PH 6.5% 12/29                                                                         | CUSIP: 31359XGQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     220562 | PA      | $223410.77     | 0.00%             | 2029-12-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 09/01/2029#AS3260                                                                  | CUSIP: 3138WCTS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43110 | PA      | $40706.99      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | 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        |     212925 | PA      | $211202.42     | 0.00%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/28 #468222                                                                           | CUSIP: 36209DD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1290 | PA      | $1334.19       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                        | BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A                                                | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3878000 | PA      | $3427609.08    | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#FM7352                                                                  | CUSIP: 3140XBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35595152 | PA      | $30487503.78   | 0.09%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2029#                                                                          | CUSIP: 31292GZX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        316 | PA      | $322.80        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #728315                                                                          | CUSIP: 3620AFDU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44269 | PA      | $43554.68      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/30 #477030                                                                           | CUSIP: 36209N4P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        810 | PA      | $842.57        | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 3.8% 12/01/2057                                                                      | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  106127000 | PA      | $73220551.33   | 0.21%             | 2057-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 2.5% 09/01/2031                                                       | CUSIP: 92277GAW7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   53031000 | PA      | $41614337.30   | 0.12%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 11/20/2043#MA1448                                                                    | CUSIP: 36179NTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11194 | PA      | $10532.63      | 0.00%             | 2043-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 02/20/2050#BT1983                                                                    | CUSIP: 3617MQFY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     750451 | PA      | $692717.99     | 0.00%             | 2050-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC                                    | VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC 1A A TSFR3M+240 10/20/2034 144A                   | CUSIP: 92013AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   34250000 | PA      | $34129371.50   | 0.10%             | 2034-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #447688                                                                           | CUSIP: 36208DJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        181 | PA      | $184.75        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | 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        |        709 | PA      | $725.47        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 3.8% 01/31/2028                                                        | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   29870000 | PA      | $27918693.26   | 0.08%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2041#AI5034                                                                  | CUSIP: 3138AJSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81259 | PA      | $82212.42      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2045#AY5316                                                                  | CUSIP: 3138YJ4A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99440 | PA      | $98360.29      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                                                     | SYNCHRONY BANK 5.4% 08/22/2025                                                                    | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |   29530000 | PA      | $28982250.69   | 0.08%             | 2025-08-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2046#BC2276                                                                    | CUSIP: 3140EWQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72193 | PA      | $69508.91      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 02/01/2040#                                                                          | CUSIP: 312939LZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41731 | PA      | $42272.92      | 0.00%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 08/15/2041#768109                                                                    | CUSIP: 36176KDN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45245 | PA      | $43440.67      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 07/15/2042#AA8275                                                                  | CUSIP: 36178GFQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16567 | PA      | $15520.50      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 6.02% 06/15/2026                                                               | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7709000 | PA      | $7864381.37    | 0.02%             | 2026-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.50% 6/31 #003095                                                                        | CUSIP: 36202DNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        419 | PA      | $435.29        | 0.00%             | 2031-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 7/35 #635384                                                                           | CUSIP: 36291Q2R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1768 | PA      | $1857.85       | 0.00%             | 2035-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.125% 03/15/2033                                                                       | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    4791000 | PA      | $5160167.34    | 0.01%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 02/01/2030#                                                                          | CUSIP: 31292HAX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        271 | PA      | $285.31        | 0.00%             | 2030-02-01      | Fixed         | 0.08%                 | 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        |   19471000 | PA      | $19334913.87   | 0.06%             | 2023-07-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/39 #935009                                                                           | CUSIP: 31412UGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8119 | PA      | $8496.55       | 0.00%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #836839                                                                          | CUSIP: 31407PV88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        788 | PA      | $820.30        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8634                                                                  | CUSIP: 3138MQSY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122133 | PA      | $111123.96     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2049#CA4792                                                                    | CUSIP: 3140QCKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25278 | PA      | $22501.61      | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781006                                                                           | CUSIP: 36225BDK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        452 | PA      | $466.05        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2046#G60440                                                                  | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3408083 | PA      | $3187887.86    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464692                                                                           | CUSIP: 36208YF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        384 | PA      | $392.74        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 8.125% 09/15/2030                                                                     | CUSIP: 012873AH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13383000 | PA      | $14685932.34   | 0.04%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 06/15/2040#741262                                                                  | CUSIP: 3620AVQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7404 | PA      | $7287.13       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2042#AQ8878                                                                  | CUSIP: 3138MQ2L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100373 | PA      | $94020.53      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2035#AB8198                                                                  | CUSIP: 31417FDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151817 | PA      | $149984.59     | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 05/44#AW4672                                                                       | CUSIP: 3138XUFN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34346 | PA      | $34883.84      | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#BE6673                                                                  | CUSIP: 3140FSMX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        521 | PA      | $487.01        | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/30 #710936                                                                           | CUSIP: 31401KY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5962 | PA      | $6215.23       | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                | SYNCHRONY FINANCIAL 5.15% 03/19/2029                                                              | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   40161000 | PA      | $38003163.53   | 0.11%             | 2029-03-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 1/41 #004946                                                                        | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1563839 | PA      | $1547905.69    | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2047#Q51124                                                                    | CUSIP: 3132XTHA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61209 | PA      | $58834.94      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   10170000 | NC      | $124830.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 12/20/2040#004880                                                                  | CUSIP: 36202FM52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123213 | PA      | $120998.30     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 05/01/2045#Q33441                                                                  | CUSIP: 3132QPZF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64538 | PA      | $58613.87      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2046#AL9489                                                                  | CUSIP: 3138ERRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     628054 | PA      | $584968.43     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464005                                                                           | CUSIP: 36208XNW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        199 | PA      | $205.23        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 1ML+50 10/20/2049                                                  | CUSIP: 38382AFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1800094 | PA      | $1756363.06    | 0.01%             | 2049-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #533785                                                                           | CUSIP: 36212G6W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18800 | PA      | $19596.78      | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/45#BM1415                                                                       | CUSIP: 3140J5SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     505248 | PA      | $500608.93     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/44#AW6973                                                                       | CUSIP: 3138XWXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52839 | PA      | $53666.41      | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2046#BD0711                                                                  | CUSIP: 3140F7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11458 | PA      | $10682.49      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35367                                                                             | CUSIP: 3132QR6D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139587 | PA      | $126425.84     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2042#Q09230                                                                    | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2676869 | PA      | $2590559.53    | 0.01%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 8/39 #931836                                                                           | CUSIP: 31412QHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15248 | PA      | $14767.26      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 9/38 #677307                                                                           | CUSIP: 36295QNY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114716 | PA      | $117688.45     | 0.00%             | 2038-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/46#BC1776                                                                         | CUSIP: 3140EV6N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199498 | PA      | $192205.04     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/23 #359750                                                                           | CUSIP: 36203UTF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         16 | PA      | $16.10         | 0.00%             | 2023-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #473871                                                                           | CUSIP: 36209KMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $54.96         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #456279                                                                           | CUSIP: 36208N2L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        655 | PA      | $660.39        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG 4.194/VAR 04/01/2031 144A                                                    | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   40079000 | PA      | $31113097.65   | 0.09%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34677                                                                    | CUSIP: 31307RFS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80243 | PA      | $76543.29      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8830                                                                  | CUSIP: 31417FY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88123 | PA      | $80179.62      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2041#AI3724                                                                  | CUSIP: 3138AHD60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56320 | PA      | $56990.79      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 5.012% 04/15/2049                                                      | CUSIP: 92343VDS0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3772000 | PA      | $3426131.78    | 0.01%             | 2049-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KEYBANK NATL ASSN                                                                  | KEYBANK NATL ASSN 6.95% 02/01/2028                                                                | CUSIP: 49306CAB7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |     850000 | PA      | $895600.92     | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/39 #706762                                                                           | CUSIP: 36297BFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38623 | PA      | $37156.19      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A                                                | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   40199000 | PA      | $34939494.29   | 0.10%             | 2026-12-14      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2044#AV6341                                                                  | CUSIP: 3138XJBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23259 | PA      | $22994.49      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.25% MAC 03/15/53                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |    2572000 | NC      | $-179819.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EMPRESA NACIONAL DEL PETROLEO                                                      | EMPRESA NACIONAL DEL PETROLEO 4.375% 10/30/2024 144A                                              | CUSIP: 29245JAH5<br>LEI: 549300YP3P0JZBLIV197 | Long             | DBT              | CORP              | CL        |   10510000 | PA      | $10193386.25   | 0.03%             | 2024-10-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AO0513                                                                           | CUSIP: 3138LQSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40478 | PA      | $39190.30      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AA8111                                                                           | CUSIP: 31416SAM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17388 | PA      | $17214.34      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2034#781041                                                                  | CUSIP: 31404WWA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        586 | PA      | $578.47        | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#BQ6772                                                                    | CUSIP: 3140KSQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6809078 | PA      | $5588637.97    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 1/32 #003188                                                                         | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        749 | PA      | $779.37        | 0.00%             | 2032-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/34 #A24424                                                                           | CUSIP: 31297B4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        302 | PA      | $304.40        | 0.00%             | 2034-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4% 09/01/2039#CA4213                                                                    | CUSIP: 3140QBVF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     836164 | PA      | $808733.46     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP9735                                                                          | CUSIP: 3138MDY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2102782 | PA      | $1967015.35    | 0.01%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 4% 09/01/2040#                                                                          | CUSIP: 312942ME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16854 | PA      | $16340.83      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/24 #377920                                                                           | CUSIP: 36204RYR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $17.42         | 0.00%             | 2024-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#723124                                                                  | CUSIP: 31402ALD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15017 | PA      | $14831.19      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT8809                                                                  | CUSIP: 3138WWYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14855 | PA      | $13502.08      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BM3700                                                                    | CUSIP: 3140J8DE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3298739 | PA      | $3173000.45    | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE8271                                                                          | CUSIP: 31419KFM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21403 | PA      | $20714.22      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2519 ZD 5.50% 11/32                                                                           | CUSIP: 31393FCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      79278 | PA      | $80877.37      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 10/01/2052#BW9483                                                                    | CUSIP: 3140N2RD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138289 | PA      | $136425.74     | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV4.5% MAC 03/15/25                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |  195825000 | NC      | $-1062859.77   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 6.55% 05/01/2037                                                            | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   73937000 | PA      | $70392529.72   | 0.20%             | 2037-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AR3125                                                                    | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     194466 | PA      | $180660.23     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2042#AJ6217                                                                    | CUSIP: 3138AX4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170690 | PA      | $165126.20     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                    | FOX CORP 4.709% 01/25/2029                                                                        | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    9069000 | PA      | $8763167.29    | 0.03%             | 2029-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2051#MA4380                                                                    | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281148 | PA      | $248294.04     | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2042#AL5881                                                                  | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1141403 | PA      | $1130940.24    | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2041#769621                                                                  | CUSIP: 36176LYS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82484 | PA      | $79094.48      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/37 #670380                                                                          | CUSIP: 36295GXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15222 | PA      | $15263.66      | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 12/01/2050#QB7301                                                                  | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     679151 | PA      | $525236.98     | 0.00%             | 2050-12-01      | Fixed         | 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        |   16112000 | PA      | $15440943.58   | 0.04%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #664574                                                                           | CUSIP: 36295AJT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17577 | PA      | $17611.18      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2045#Q33138                                                                  | CUSIP: 3132QPPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255753 | PA      | $246791.38     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #729514                                                                           | CUSIP: 3620AGN76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6388 | PA      | $6410.76       | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2048#CA1713                                                                  | CUSIP: 3140Q83X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268370 | PA      | $263191.66     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 10YR 2.5% 10/01/2029#FM1701                                                                  | CUSIP: 3140X43K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66134 | PA      | $62241.86      | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #736596                                                                           | CUSIP: 3620AQKH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22459 | PA      | $22105.00      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DNKN 2017-1A A2II 4.03% 11/20/2047 144A                                                           | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |   25144095 | PA      | $22842404.54   | 0.07%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #647513                                                                           | CUSIP: 31390JK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        487 | PA      | $517.96        | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297RXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1574 | PA      | $1588.10       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 11/01/2041#MA4473                                                                  | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21375627 | PA      | $17359627.39   | 0.05%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/35 #G06928                                                                           | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     408058 | PA      | $410234.42     | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/29 #477007                                                                           | CUSIP: 36209N3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        239 | PA      | $248.40        | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #782989                                                                           | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     209121 | PA      | $205843.48     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                                          | CGDBB COML MTG TR 2019-MOB B 1ML+125 11/15/36 144A                                                | CUSIP: 125284AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6900000 | PA      | $6665526.96    | 0.02%             | 2036-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2040#                                                                          | CUSIP: 312944H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64058 | PA      | $62092.70      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q34311                                                                  | CUSIP: 3132QQYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6202627 | PA      | $5803815.32    | 0.02%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP D 1ML+157.82 11/15/2038 144A                                                    | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8243000 | PA      | $7788227.10    | 0.02%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60603                                                                  | CUSIP: 31335AU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10199 | PA      | $9517.29       | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 07/01/2030#                                                                          | CUSIP: 31297XWP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1236 | PA      | $1320.93       | 0.00%             | 2030-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/31 #529791                                                                           | CUSIP: 36212CRL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1501 | PA      | $1569.01       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2046#AL9058                                                                  | CUSIP: 3138ERB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8016183 | PA      | $7473775.34    | 0.02%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 08/01/2031#AS7695                                                                  | CUSIP: 3138WHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2757967 | PA      | $2585299.15    | 0.01%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738229                                                                           | CUSIP: 3620ASEA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26066 | PA      | $26147.89      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                | SYNCHRONY FINANCIAL 4.375% 03/19/2024                                                             | CUSIP: 87165BAN3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   24886000 | PA      | $24437961.91   | 0.07%             | 2024-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 1/45#Q30720                                                                          | CUSIP: 3132QLYS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155114 | PA      | $149727.05     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2042#AL6997                                                                  | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5344479 | PA      | $5295466.48    | 0.02%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 07/01/2045#AZ0833                                                                  | CUSIP: 3138YR4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74711 | PA      | $72026.67      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AT3042                                                                  | CUSIP: 3138WQLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72372 | PA      | $66007.12      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/29 #481600                                                                           | CUSIP: 36209T7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        444 | PA      | $462.68        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/30 #531078                                                                           | CUSIP: 31384Q6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1118 | PA      | $1170.13       | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 06/45#AZ3703                                                                            | CUSIP: 3138YVDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115708 | PA      | $104627.86     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #323318                                                                          | CUSIP: 31374TDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18641 | PA      | $19218.16      | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/45#G60412                                                                         | CUSIP: 31335AN53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22905 | PA      | $22088.06      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783295                                                                           | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2281172 | PA      | $2245326.62    | 0.01%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3133KMR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3676915 | PA      | $3358029.11    | 0.01%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#FM9501                                                                  | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31381575 | PA      | $26780477.92   | 0.08%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/25 #780194                                                                           | CUSIP: 36225AGB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         30 | PA      | $30.56         | 0.00%             | 2025-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 12/01/43#AL5959                                                                    | CUSIP: 3138ENTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10687 | PA      | $10784.68      | 0.00%             | 2043-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2003-28 KG 5.5% 4/23                                                                          | CUSIP: 31393ADJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1380 | PA      | $1376.99       | 0.00%             | 2023-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #754197                                                                           | CUSIP: 36230NUW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15727 | PA      | $15091.37      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/35 #A32122                                                                           | CUSIP: 31297MLB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32351 | PA      | $32632.86      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43 #AR5859                                                                     | CUSIP: 3138W3QM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166422 | PA      | $155889.50     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #465748                                                                           | CUSIP: 36209AL57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        382 | PA      | $393.91        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/43#Q22414                                                                       | CUSIP: 3132JPVF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83183 | PA      | $82539.12      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/31 #689547                                                                           | CUSIP: 31400KBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4022 | PA      | $4113.33       | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2047#RA7212                                                                  | CUSIP: 3133KPAM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6330689 | PA      | $5777198.65    | 0.02%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK5316                                                                           | CUSIP: 3138E94A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55721 | PA      | $53839.59      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                       | COCA COLA CO 3.375% 03/25/2027                                                                    | CUSIP: 191216CR9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |   24531000 | PA      | $23525984.80   | 0.07%             | 2027-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 01/01/2033#MA3246                                                                  | CUSIP: 31418CTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493790 | PA      | $459789.26     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 05/20/2048#MA5192                                                                      | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2877990 | PA      | $2756748.54    | 0.01%             | 2048-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#                                                                          | CUSIP: 3140XFNP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10494478 | PA      | $9232060.50    | 0.03%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                        | CUSIP: 31283G3U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2989 | PA      | $3109.30       | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | 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        |        101 | PA      | $105.84        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.864%/VAR 07/23/2024                                                 | CUSIP: 06051GHL6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   46066000 | PA      | $45648642.04   | 0.13%             | 2024-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 12/38 #701116                                                                          | CUSIP: 36296T3Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34346 | PA      | $35247.98      | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#BC4777                                                                  | CUSIP: 3140F0JX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11685 | PA      | $10938.66      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6075                                                                           | CUSIP: 3138A7XD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40984 | PA      | $39646.92      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                         | CIGNA CORP 4.9% 12/15/2048                                                                        | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   18071000 | PA      | $16282184.42   | 0.05%             | 2048-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/44#AW7942                                                                       | CUSIP: 3138XXZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20068 | PA      | $20381.98      | 0.00%             | 2044-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 7.00% 4/32 #781432                                                                        | CUSIP: 36225BSV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76316 | PA      | $79780.70      | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #313835                                                                          | CUSIP: 31374GSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1566 | PA      | $1619.27       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 1/1/43 #Q14696                                                                       | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169568 | PA      | $154427.57     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2019-67 SA 1ML+605 11/25/2049                                      | CUSIP: 3136B64Q3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |   23103320 | PA      | $2474451.01    | 0.01%             | 2049-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                         | ZOETIS INC 3.25% 02/01/2023                                                                       | CUSIP: 98978VAB9<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    2327000 | PA      | $2323605.98    | 0.01%             | 2023-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK3548                                                                           | CUSIP: 3138E75J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49443 | PA      | $47815.19      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    5020000 | NC      | $61617.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2052#CB5049                                                                    | CUSIP: 3140QQTF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20795476 | PA      | $21186763.19   | 0.06%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/29 #502245                                                                           | CUSIP: 36210T5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        237 | PA      | $243.00        | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2044#AX6510                                                                  | CUSIP: 3138Y8GU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242981 | PA      | $240494.72     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                     | CREDIT SUISSE MORTGAGE TRUST 2017-RPL3 4.5349% 04/15/2036 144A                                    | CUSIP: 12690CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5603000 | PA      | $5274060.76    | 0.02%             | 2036-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/40 #756928                                                                          | CUSIP: 36230RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38781 | PA      | $36439.80      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2032#BJ0036                                                                  | CUSIP: 3140H1BE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44059 | PA      | $41121.97      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8610                                                                  | CUSIP: 31417FR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135333 | PA      | $123134.30     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 3/35 #640208                                                                           | CUSIP: 36291WGR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3452 | PA      | $3634.08       | 0.00%             | 2035-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #357843                                                                           | CUSIP: 31376KP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79314 | PA      | $82556.25      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 03/01/2037#AS9292                                                                    | CUSIP: 3138WKKE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3085068 | PA      | $2877366.20    | 0.01%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 09/01/2033#AL7521                                                                  | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7003546 | PA      | $7031425.85    | 0.02%             | 2039-06-01      | Fixed         | 0.05%                 | 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        |   15685559 | PA      | $12953283.57   | 0.04%             | 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        |   25589000 | PA      | $21954916.24   | 0.06%             | 2028-01-06      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #611797                                                                           | CUSIP: 31388QUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14337 | PA      | $15269.45      | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #757490                                                                           | CUSIP: 36230SKB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     193759 | PA      | $181609.03     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #733871                                                                           | CUSIP: 3620AMJQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2215 | PA      | $2180.47       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/23 #246330                                                                          | CUSIP: 31371AST1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        391 | PA      | $392.14        | 0.00%             | 2023-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #510166                                                                           | CUSIP: 31383QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9314 | PA      | $9804.97       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                        | BAMLL COML MTG SECS TR 2019-BPR CNM CSTR 11/05/2032 144A                                          | CUSIP: 05492PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1604000 | PA      | $1343627.49    | 0.00%             | 2032-11-05      | Variable      | 0.04%                 | 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        |   14468000 | PA      | $14385821.76   | 0.04%             | 2023-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #436794                                                                           | CUSIP: 36207NGB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        175 | PA      | $178.63        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 351 13 6% 3/34                                                                                | CUSIP: 3136FCJC1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      37492 | PA      | $7005.20       | 0.00%             | 2034-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/24 #351387                                                                           | CUSIP: 36203KJ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        102 | PA      | $102.13        | 0.00%             | 2024-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/40 #AL2129                                                                           | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     747097 | PA      | $781409.05     | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 4.50% 7/25 #G13844                                                                      | CUSIP: 3128MCP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152542 | PA      | $151458.75     | 0.00%             | 2025-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #680497                                                                          | CUSIP: 36295T7J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2561 | PA      | $2679.83       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2006-45 OP 0 6/36                                                                             | CUSIP: 31395NEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      78261 | PA      | $61555.29      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/30 #493516                                                                           | CUSIP: 36210JGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        928 | PA      | $939.95        | 0.00%             | 2030-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AT5610                                                                  | CUSIP: 3138WTGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364907 | PA      | $331672.98     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#Q49499                                                                  | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     319532 | PA      | $315658.61     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 1997-41 J 7.5% 6/27                                                                           | CUSIP: 31359PQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      14774 | PA      | $15092.49      | 0.00%             | 2027-06-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 3.6% 05/01/2030                                                                      | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   22835000 | PA      | $20332741.61   | 0.06%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745232                                                                           | CUSIP: 3620C04R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     173947 | PA      | $171236.85     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AT2011                                                                  | CUSIP: 3138WPGV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23899 | PA      | $21744.45      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738218                                                                           | CUSIP: 3620ASDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36890 | PA      | $37055.79      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #646736                                                                           | CUSIP: 31390HPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2930 | PA      | $3119.98       | 0.00%             | 2032-05-01      | 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        |    8457719 | PA      | $7560740.87    | 0.02%             | 2037-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1680                                                                  | CUSIP: 3138NX2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11466 | PA      | $10422.64      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #723339                                                                           | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107961 | PA      | $108273.42     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2032#BJ2973                                                                  | CUSIP: 3140H4JT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25019 | PA      | $23351.26      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/40 #AE4923                                                                           | CUSIP: 31419FPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23052 | PA      | $22291.22      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #459211                                                                           | CUSIP: 36208SDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        912 | PA      | $945.69        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 06/01/2050#CA5966                                                                  | CUSIP: 3140QDTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27668495 | PA      | $23884164.09   | 0.07%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.8% 06/15/2038                                                                | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   10481000 | PA      | $9595470.37    | 0.03%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.75% 02/15/2028                                                               | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   29291000 | PA      | $27787425.01   | 0.08%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 1/36 #G03506                                                                           | CUSIP: 3128M5GP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     470429 | PA      | $490881.79     | 0.00%             | 2036-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK1510                                                                           | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167441 | PA      | $161908.67     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2051#                                                                        | CUSIP: 3140QKTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406593 | PA      | $372219.71     | 0.00%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 07/20/2043#635118                                                                    | CUSIP: 36291QSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     367302 | PA      | $342718.69     | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 12/29 #510858                                                                          | CUSIP: 36211EQK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        255 | PA      | $270.26        | 0.00%             | 2029-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5.50% 9/24 #AE0037                                                                      | CUSIP: 31419ABF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.54          | 0.00%             | 2024-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2046#G61420                                                                  | CUSIP: 31335BSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14010979 | PA      | $13101355.52   | 0.04%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #780798                                                                          | CUSIP: 36225A3F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        135 | PA      | $139.16        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 03/01/2051#SD8133                                                                  | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10987598 | PA      | $8490638.87    | 0.02%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/23 #246876                                                                          | CUSIP: 31371BFR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $29.97         | 0.00%             | 2023-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 03/01/2042#                                                                          | CUSIP: 3132GR7A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22000 | PA      | $21281.48      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                               | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   39755000 | PA      | $30846249.97   | 0.09%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR3682                                                                  | CUSIP: 3138W1CU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49760 | PA      | $45274.44      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #616878                                                                           | CUSIP: 36290TJX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     381640 | PA      | $357842.23     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/40 #AE6932                                                                          | CUSIP: 31419HV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3249 | PA      | $3218.92       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#MA3240                                                                  | CUSIP: 31418CS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     652884 | PA      | $640286.87     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/42#AK8632                                                                       | CUSIP: 3138EDSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23183 | PA      | $21686.20      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 6.50% 5/26 #C90975                                                                      | CUSIP: 3128P7CL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3560 | PA      | $3601.63       | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/36 #897984                                                                           | CUSIP: 31410UUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        588 | PA      | $597.40        | 0.00%             | 2036-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/27 #250911                                                                           | CUSIP: 31371FVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $65.08         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 01/01/2027#                                                                        | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19445 | PA      | $19966.69      | 0.00%             | 2027-01-01      | 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        | 2076418937 | NS      | $2076834220.76 | 6.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WFRBS COML MTG TR 2014-C24                                                         | WFRBS COML MTG TR 2014-C24 3.343% 11/15/2047                                                      | CUSIP: 92939KAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27181000 | PA      | $25916028.88   | 0.07%             | 2047-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2274 ZM 6.5% 1/31                                                                             | CUSIP: 3133TR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      27432 | PA      | $27782.81      | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.625% 09/01/2028                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   19094000 | PA      | $19010247.80   | 0.06%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.452%/VAR 12/05/2029                                                       | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   46000000 | PA      | $43210413.26   | 0.13%             | 2029-12-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 12/01/2042#Q13420                                                                  | CUSIP: 3132HPYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143755 | PA      | $139065.47     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 1/32 #C62372                                                                           | CUSIP: 31287MT59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55329 | PA      | $57934.08      | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #406771                                                                          | CUSIP: 36206B2C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        631 | PA      | $641.48        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-20 Z 6% 5/31                                                                             | CUSIP: 31359SXB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      83964 | PA      | $85375.92      | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2046#BD7792                                                                  | CUSIP: 3140FFUS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33695 | PA      | $31414.69      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AL1521                                                                           | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1542716 | PA      | $1491633.24    | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG AS GTD RE PTT                                                     | FEDERAL NATL MTG AS GTD RE PTT 1ML+30 05/25/2048                                                  | CUSIP: 3136B1C51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     823841 | PA      | $799797.02     | 0.00%             | 2048-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/33 #G04895                                                                          | CUSIP: 3128M6XY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5641 | PA      | $5668.71       | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 07/20/2051#MA7472                                                                    | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32424451 | PA      | $28198672.40   | 0.08%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2041#AI9672                                                                  | CUSIP: 3138APXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65159 | PA      | $64560.06      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+254.191 05/15/2039 144A                                 | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17119000 | PA      | $16392767.51   | 0.05%             | 2039-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #545934                                                                           | CUSIP: 36212WPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32225 | PA      | $31720.60      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3140XCWJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500502 | PA      | $457564.09     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | 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        |   37043000 | PA      | $35556442.18   | 0.10%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 3.5% 02/01/2025                                                       | CUSIP: 92277GAE7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    7488000 | PA      | $7191483.74    | 0.02%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2030#                                                                        | CUSIP: 31298C2P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        395 | PA      | $421.06        | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/26 #422649                                                                           | CUSIP: 36206VQA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        176 | PA      | $178.26        | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 2% 01/01/2038 #TBA                                                                      | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  246650000 | PA      | $219703512.17  | 0.64%             | 2038-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #743665                                                                           | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89509 | PA      | $89821.40      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 4.25% 05/15/2023                                                         | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    9840000 | PA      | $9799303.43    | 0.03%             | 2023-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #737559                                                                          | CUSIP: 3620ARMG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     281007 | PA      | $269843.66     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/40 #004833                                                                       | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1059117 | PA      | $1021174.82    | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 4.5% 10/01/2040#                                                                        | CUSIP: 3129424K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34791 | PA      | $34475.52      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 06/25/2035                                                    | CUSIP: 31394D4V9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     358053 | PA      | $28655.48      | 0.00%             | 2035-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP7882                                                                          | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     745853 | PA      | $697507.96     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #709863                                                                          | CUSIP: 36297ETU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3571 | PA      | $3707.68       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2520 BE 6% 11/32                                                                              | CUSIP: 31392XV96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     128719 | PA      | $132550.11     | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/26 #334042                                                                           | CUSIP: 31375GBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1573 | PA      | $1600.68       | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | 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        |       6113 | PA      | $6383.70       | 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        |    9655000 | PA      | $9359650.17    | 0.03%             | 2023-10-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/28 #427211                                                                           | CUSIP: 36207BR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        971 | PA      | $1003.04       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2035#                                                                          | CUSIP: 31297P2R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4589 | PA      | $4611.06       | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3168                                                                    | CUSIP: 3133B0QV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4447939 | PA      | $3652092.71    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 7.00% 3/32 #003216                                                                        | CUSIP: 36202DSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10411 | PA      | $10905.97      | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 06/01/2038#K94286                                                                    | CUSIP: 3132LQUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80880 | PA      | $78447.29      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #528852                                                                           | CUSIP: 36212BQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1258 | PA      | $1315.73       | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/26 #344561                                                                           | CUSIP: 31375TWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $91.68         | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2047#BJ0993                                                                    | CUSIP: 3140H2C71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48149 | PA      | $46072.65      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/27 #398669                                                                           | CUSIP: 31378G2A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         21 | PA      | $21.96         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #462175                                                                           | CUSIP: 36208VMY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        524 | PA      | $528.52        | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #AB0043                                                                           | CUSIP: 31416VBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1023238 | PA      | $1010645.67    | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                   | COMCAST CORP NEW 4.65% 07/15/2042                                                                 | CUSIP: 20030NBE0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   11795000 | PA      | $10649225.56   | 0.03%             | 2042-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #545331                                                                           | CUSIP: 31385HY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $62.85         | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2040#A92181                                                                  | CUSIP: 312940M63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5683 | PA      | $5629.55       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 10/39#004553                                                                       | CUSIP: 36202FBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37813 | PA      | $37132.54      | 0.00%             | 2039-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-136 WI 4.5% 5/40                                                                         | CUSIP: 38377YTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      58455 | PA      | $4224.03       | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#G07579                                                                  | CUSIP: 3128M9XG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43670 | PA      | $42262.96      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                     | CSMC 2018-SITE D CSTR 04/15/2036 144A                                                             | CUSIP: 12690CAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7560000 | PA      | $6967038.20    | 0.02%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.75% 04/01/2048  | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11687000 | PA      | $9568031.67    | 0.03%             | 2048-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #447982                                                                           | CUSIP: 36208DUF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $15.73         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP3391                                                                           | CUSIP: 3138M6XV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92181 | PA      | $86344.36      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297R6H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        506 | PA      | $510.61        | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 12/01/2042#Q15249                                                                  | CUSIP: 3132J6H31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219515 | PA      | $199915.09     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2039#G05645                                                                  | CUSIP: 3128M7TA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39450 | PA      | $39112.06      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 3.35% 03/15/2032                                                                      | CUSIP: 30161NBE0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    7920000 | PA      | $6878467.25    | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                     | CSMC 2018-SITE C CSTR 04/15/2036 144A                                                             | CUSIP: 12690CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3781000 | PA      | $3545574.14    | 0.01%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #565982                                                                           | CUSIP: 36213VXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1324 | PA      | $1392.67       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #705835                                                                           | CUSIP: 36297AEG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9577 | PA      | $9600.08       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.60% 2/35 #779905                                                                       | CUSIP: 31404VNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48845 | PA      | $48978.01      | 0.00%             | 2035-02-01      | Variable      | 0.02%                 | 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        |   13124928 | PA      | $12329363.00   | 0.04%             | 2050-11-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32124                                                                  | CUSIP: 3132QNLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129337 | PA      | $121021.01     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.875% 01/16/2024                              | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   28044000 | PA      | $27776454.35   | 0.08%             | 2024-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                                  | MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A                                        | CUSIP: 61771LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5415000 | PA      | $4891345.13    | 0.01%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.45% 09/29/2027                                                                    | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   69500000 | PA      | $66261881.02   | 0.19%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #677235                                                                           | CUSIP: 36295QLQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77615 | PA      | $76400.59      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2042#Q11138                                                                  | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185153 | PA      | $179525.88     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #555867                                                                           | CUSIP: 36213JQU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        694 | PA      | $725.56        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 02/43 #Q15869                                                                           | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     953526 | PA      | $894004.99     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2042#AB8144                                                                    | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28521 | PA      | $27350.76      | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7497                                                                  | CUSIP: 31417EKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34217 | PA      | $31132.93      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |   10351000 | PA      | $9570715.12    | 0.03%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                                           | DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 1.125% 12/14/2023 144A                                   | CUSIP: 233853AB6<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $28820710.50   | 0.08%             | 2023-12-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#BU1269                                                                    | CUSIP: 3140M2MT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11404983 | PA      | $9382170.06    | 0.03%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2043#AE7264                                                                  | CUSIP: 36181BB90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16111 | PA      | $15476.13      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2044#Q25226                                                                  | CUSIP: 3132M5PK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140765 | PA      | $135965.02     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3.35% 04/01/2027                                                                    | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    3072000 | PA      | $2883882.95    | 0.01%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 12/01/2042#Q13899                                                                  | CUSIP: 3132HQKL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95351 | PA      | $92402.84      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/25 #413424                                                                           | CUSIP: 36206KG96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         52 | PA      | $52.65         | 0.00%             | 2025-08-15      | Fixed         | 0.07%                 | 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        |   35261000 | PA      | $33912379.59   | 0.10%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55720                                                                    | CUSIP: 3132XYLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148281 | PA      | $142158.37     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                         | CIGNA CORP 3.05% 10/15/2027                                                                       | CUSIP: 125523AZ3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   67800000 | PA      | $62034065.62   | 0.18%             | 2027-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/33 #616015                                                                          | CUSIP: 36290SK42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3327 | PA      | $3320.15       | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/24 #354826                                                                           | CUSIP: 36203PD75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.40          | 0.00%             | 2024-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3297 BI 1ML+676 4/37                                                                          | CUSIP: 31397GRY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     810312 | PA      | $94120.05      | 0.00%             | 2037-04-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/26 #256507                                                                          | CUSIP: 31371M3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8135 | PA      | $8266.46       | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #778863                                                                           | CUSIP: 36176XB81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     176381 | PA      | $165424.99     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ECO DEV AUTH ST PEN                                                     | NEW JERSEY ECO DEV AUTH ST PENSER A MBIA                                                          | CUSIP: 645913AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   32466000 | PA      | $34949730.17   | 0.10%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #427792                                                                          | CUSIP: 36207CF94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        104 | PA      | $106.12        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #538328                                                                           | CUSIP: 36212NA56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        796 | PA      | $834.57        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC                        | ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.9% 02/01/2046                       | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17500000 | PA      | $15908816.35   | 0.05%             | 2046-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/41 #005280                                                                       | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1637084 | PA      | $1577143.00    | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/40 #AE8447                                                                          | CUSIP: 31419KL52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10722 | PA      | $10602.06      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/25 #319648                                                                           | CUSIP: 31374PBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $87.58         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 7.3% 07/01/2038                                                             | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   16247000 | PA      | $16116571.03   | 0.05%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                                 | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   80000000 | PA      | $61608545.60   | 0.18%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #473923                                                                           | CUSIP: 36209KPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        545 | PA      | $554.81        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FGLMC 30YR 3.5% 09/46#Q43176                                                                      | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1639336 | PA      | $1528808.52    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 05/01/2030#J31647                                                                  | CUSIP: 31307MZL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165173 | PA      | $160209.96     | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/45#AX3256                                                                    | CUSIP: 3138Y4TN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196837 | PA      | $177926.07     | 0.00%             | 2045-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2050#FM7147                                                                  | CUSIP: 3140XA5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10794556 | PA      | $10007649.17   | 0.03%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AC9654                                                                  | CUSIP: 36179KWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78172 | PA      | $73210.40      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AI9685                                                                           | CUSIP: 3138APXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20704 | PA      | $20039.60      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 12/01/2040#RB5089                                                                  | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1204938 | PA      | $985335.28     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 1.375% 01/15/2026                                                                        | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   30500000 | PA      | $27083654.44   | 0.08%             | 2026-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QC9113                                                                    | CUSIP: 3133AUDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5036339 | PA      | $4143083.01    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #931777                                                                           | CUSIP: 31412QFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432238 | PA      | $428264.91     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5% 11/24/2025                                                                      | CUSIP: 6174467X1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  102478000 | PA      | $102169103.64  | 0.30%             | 2025-11-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3110 OP PO 0% 9/35                                                                            | CUSIP: 31396HU49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      78389 | PA      | $71468.48      | 0.00%             | 2035-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 29 LTD / COLUMBIA CENT CLO 29 CORP                               | CENT CLO 20 LTD / CENT CLO 20-29A AR 3ML+117 10/20/2034 144A                                      | CUSIP: 197363AU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27352000 | PA      | $26532287.91   | 0.08%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/25 #324193                                                                           | CUSIP: 31374UC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $276.97        | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 5/41 #757612                                                                           | CUSIP: 36230SN59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1759 | PA      | $1687.90       | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #560426                                                                           | CUSIP: 36213PSP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1480 | PA      | $1503.60       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO IL                                                                         | CHICAGO IL 6.05% 1/1/2029                                                                         | CUSIP: 167486M71<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     195000 | PA      | $192567.49     | 0.00%             | 2029-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 04/32#BD9809                                                                         | CUSIP: 3140FH3T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210234 | PA      | $199905.39     | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2050#                                                                          | CUSIP: 3132DV5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11215 | PA      | $9972.72       | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.65% 08/01/2042#AP5088                                                                 | CUSIP: 3138M8UN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85395 | PA      | $80410.00      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95088 | PA      | $94292.20      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 06/01/2045#Q34104                                                                  | CUSIP: 3132QQR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146330 | PA      | $132533.40     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 03/01/2033#G18681                                                                    | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195114 | PA      | $185202.64     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 04/15/2043#AC1092                                                                  | CUSIP: 36179AF92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     203294 | PA      | $195416.29     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97686                                                                  | CUSIP: 312946RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170820 | PA      | $173142.79     | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE1110                                                                          | CUSIP: 31419BGU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22338 | PA      | $21637.90      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                              | SPGN 2022-TFLM C TSFR1M+265 02/15/2039 144A                                                       | CUSIP: 78473HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4854000 | PA      | $4532499.68    | 0.01%             | 2039-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #564867                                                                           | CUSIP: 36213UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        181 | PA      | $189.50        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | 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        |   23154563 | PA      | $17135015.72   | 0.05%             | 2039-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 4.4% 04/05/2052 144A                                                     | CUSIP: 21871XAL3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   10459000 | PA      | $8289600.29    | 0.02%             | 2052-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/25 #324623                                                                          | CUSIP: 31374USL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        297 | PA      | $301.95        | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES XLI CLO LTD / ARES XLI CLO LLC                                                | ARES XLI CLO LTD / ARES XLI CLO LLC 1ML+107 04/15/2034 144A                                       | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |   29947000 | PA      | $29063413.77   | 0.08%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 01/01/2041#MA4231                                                                  | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2023685 | PA      | $1654863.03    | 0.00%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                                    | ALLEGRO CLO LTD 3ML+114 07/20/2034 144A                                                           | CUSIP: 01750WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   21007000 | PA      | $20416409.20   | 0.06%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A                                                    | CUSIP: 05609WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18696006 | PA      | $18098799.65   | 0.05%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.409% 5/35 #829985                                                                      | CUSIP: 31407GCW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20781 | PA      | $21185.54      | 0.00%             | 2035-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2044#G61831                                                                    | CUSIP: 31335CA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     221172 | PA      | $214277.46     | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 11/15/2042#AB9211                                                                  | CUSIP: 36178WGU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     776403 | PA      | $727449.29     | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 10/20/2043#MA1375                                                                    | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5390 | PA      | $5071.02       | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #432988                                                                           | CUSIP: 36207H6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1647 | PA      | $1697.00       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726316                                                                           | CUSIP: 3620AC3Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38821 | PA      | $38933.16      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 7/40 #004746                                                                        | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124326 | PA      | $123059.99     | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #492695                                                                           | CUSIP: 31382UKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        379 | PA      | $394.11        | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #190289                                                                          | CUSIP: 31368HKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2427 | PA      | $2497.49       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 12/01/2040#MA4202                                                                  | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2005411 | PA      | $1639919.53    | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2586 MJ 5.5 3/23                                                                              | CUSIP: 31393MSV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1163 | PA      | $1162.12       | 0.00%             | 2023-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2032#MA3217                                                                  | CUSIP: 31418CSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177975 | PA      | $166109.06     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #393409                                                                           | CUSIP: 31378BAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        399 | PA      | $413.61        | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/33 #C01614                                                                           | CUSIP: 31292HYK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19183 | PA      | $18966.98      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 04/20/2043#MA0934                                                                    | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     461718 | PA      | $434422.16     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 04/15/2043#783836                                                                  | CUSIP: 3622A2HM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1636805 | PA      | $1536331.90    | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2047#BH9459                                                                  | CUSIP: 3140GYQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107954 | PA      | $105938.28     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/46#BC9077                                                                       | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2233616 | PA      | $2080386.59    | 0.01%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AC1585                                                                           | CUSIP: 31417KXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13885 | PA      | $13748.25      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/25 #322438                                                                           | CUSIP: 31374SEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        214 | PA      | $217.56        | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #739184                                                                           | CUSIP: 3620ATFZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12827 | PA      | $12626.17      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                  | BERKSHIRE HATHAWAY ENERGY COMPANY 4.05% 04/15/2025                                                | CUSIP: 084659AT8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |   53700000 | PA      | $52873419.53   | 0.15%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 11/31 #781413                                                                          | CUSIP: 36225BSA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        236 | PA      | $251.74        | 0.00%             | 2031-11-15      | Fixed         | 0.09%                 | 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        |        166 | PA      | $169.06        | 0.00%             | 2025-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2033#                                                                          | CUSIP: 31283HYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19515 | PA      | $20164.68      | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #369318                                                                           | CUSIP: 31376YG34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        391 | PA      | $404.14        | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #781469                                                                           | CUSIP: 36225BT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        499 | PA      | $519.26        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727139                                                                  | CUSIP: 31402EZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145139 | PA      | $143336.20     | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #457547                                                                          | CUSIP: 31381DHY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3074 | PA      | $3122.94       | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/46#AS7533                                                                         | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13342048 | PA      | $12022688.56   | 0.03%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 08/47#MA4653                                                                           | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77664 | PA      | $74610.19      | 0.00%             | 2047-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/41 #AH9708                                                                           | CUSIP: 3138ABYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25447 | PA      | $25213.74      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/41 #762904                                                                           | CUSIP: 36176DKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85257 | PA      | $83912.42      | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STRATUS STATIC CLO 2022-1 LTD                                                      | STRATUS STATIC CLO 2022-1 LTD TSFR3M+175 07/20/2030 144A                                          | CUSIP: 86317WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    5967981 | PA      | $5886780.83    | 0.02%             | 2030-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 7/41 #Q02385                                                                           | CUSIP: 3132GFUJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39992 | PA      | $39675.52      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #545813                                                                           | CUSIP: 31385JK23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        513 | PA      | $542.56        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2039#AB0051                                                                  | CUSIP: 31416VBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201467 | PA      | $198981.81     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 10/01/2035#BK5705                                                                    | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11214079 | PA      | $10030688.99   | 0.03%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   16000000 | NC      | $196390.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #457682                                                                           | CUSIP: 36208QM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4247 | PA      | $4370.10       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0910                                                                  | CUSIP: 3138NXAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39090 | PA      | $35566.98      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #835485                                                                          | CUSIP: 31407NF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9274 | PA      | $9664.96       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #780777                                                                           | CUSIP: 36225A2J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        367 | PA      | $376.52        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #733737                                                                           | CUSIP: 3620AMEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10751 | PA      | $10583.03      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 08/01/2031#BC2778                                                                  | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     634210 | PA      | $594503.81     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #769093                                                                           | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59094 | PA      | $56704.43      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #724340                                                                           | CUSIP: 3620AAV96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24596 | PA      | $24201.21      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.5% 03/43 #AR8173                                                                           | CUSIP: 3138W6CK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401768 | PA      | $376340.86     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13653                                                                  | CUSIP: 3132HQBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147043 | PA      | $142283.64     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/26 #442063                                                                          | CUSIP: 36207UB80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        637 | PA      | $649.00        | 0.00%             | 2026-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 10/01/2042#C04268                                                                  | CUSIP: 31292LW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66244 | PA      | $60054.68      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#RA6510                                                                    | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23902214 | PA      | $19625517.40   | 0.06%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2350                                                                    | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18118960 | PA      | $14871368.70   | 0.04%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.5% 07/15/2023                                                                           | CUSIP: 55336VAE0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    9347000 | PA      | $9309197.46    | 0.03%             | 2023-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/47#Q48876                                                                       | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     411382 | PA      | $406395.89     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#BE5530                                                                  | CUSIP: 3140FREC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151191 | PA      | $140771.85     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/28 #251975                                                                           | CUSIP: 31371G2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        294 | PA      | $306.22        | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 01/01/2053 #TBA                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -62700000 | PA      | $-57607506.00  | -0.17%            | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2045#AY7630                                                                  | CUSIP: 3138YMPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163221 | PA      | $147743.76     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q16935                                                                  | CUSIP: 3132J8EH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560433 | PA      | $525449.57     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/34 #A28446                                                                          | CUSIP: 31297GL33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        323 | PA      | $324.06        | 0.00%             | 2034-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029                                                  | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   26970000 | PA      | $22125859.78   | 0.06%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2029#                                                                          | CUSIP: 31293PFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         76 | PA      | $77.80         | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2046#Q43088                                                                  | CUSIP: 3132WGNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170651 | PA      | $159198.22     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 5.6% 04/01/2044                                                             | CUSIP: 23311VAF4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   13506000 | PA      | $12592651.75   | 0.04%             | 2044-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                     | MAGALLANES INC 5.141% 03/15/2052 144A                                                             | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   98717000 | PA      | $71763944.08   | 0.21%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 3% 01/01/2038 #TBA                                                                      | CUSIP: 01F030413<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -13000000 | PA      | $-12181400.40  | -0.04%            | 2038-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #772060                                                                           | CUSIP: 36176PQM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68769 | PA      | $66002.47      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 5YR NOTE (CBT) FUT MAR23 FVH3                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       1477 | NC      | $20113.05      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR5858                                                                  | CUSIP: 3138W3QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277317 | PA      | $252060.00     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-57 SA 4062-6*1ML 6/37                                                                    | CUSIP: 31396WJV9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      55747 | PA      | $72257.25      | 0.00%             | 2037-06-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 1.038/VAR 06/18/2025 144A                                                 | CUSIP: 83368RBE1<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   55000000 | PA      | $50915535.00   | 0.15%             | 2025-06-18      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31292G4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1201 | PA      | $1224.56       | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.15% 4/35 #1N0006                                                                       | CUSIP: 3128QGAF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60085 | PA      | $60627.69      | 0.00%             | 2035-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #415853                                                                           | CUSIP: 31379C5N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        240 | PA      | $248.52        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #450333                                                                           | CUSIP: 36208GHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        188 | PA      | $192.75        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 8.00% 8/30 #C01034                                                                           | CUSIP: 31292HEF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         45 | PA      | $48.38         | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 11/01/2032#G18665                                                                  | CUSIP: 3128MMW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     289555 | PA      | $270489.00     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/39 #697924                                                                           | CUSIP: 36296QLD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48838 | PA      | $48946.03      | 0.00%             | 2039-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745228                                                                           | CUSIP: 3620C04M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     336515 | PA      | $331271.14     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #251286                                                                          | CUSIP: 31371GCX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        695 | PA      | $716.60        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2041#AE3525                                                                    | CUSIP: 31419D4K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2456 | PA      | $2375.09       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #442456                                                                           | CUSIP: 36207UQH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1732 | PA      | $1781.00       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2% 11/15/2041                                                         | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2400000 | PA      | $1713656.26    | 0.00%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #414333                                                                           | CUSIP: 31379BHJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        467 | PA      | $486.29        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #465349                                                                           | CUSIP: 36208Y5J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        234 | PA      | $241.11        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 09/01/2051#QC7496                                                                    | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7924435 | PA      | $6983558.68    | 0.02%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #581406                                                                           | CUSIP: 36201E3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        388 | PA      | $407.11        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/39 #703035                                                                           | CUSIP: 36296WBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54080 | PA      | $51981.69      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                        | BOSTON PPTYS LTD PARTNERSHIP 4.5% 12/01/2028                                                      | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   18628000 | PA      | $17268858.83   | 0.05%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21605                                                                  | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     262292 | PA      | $253511.08     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 03/15/2045#777581                                                                  | CUSIP: 36176VUE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     485638 | PA      | $442342.12     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2031#                                                                        | CUSIP: 31298YTZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        813 | PA      | $862.42        | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8712                                                                  | CUSIP: 31417FVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41461 | PA      | $37724.22      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.947% 07/01/2043#AL5652                                                                 | CUSIP: 3138ENH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327963 | PA      | $330872.03     | 0.00%             | 2043-07-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2019                                                                | BX COML MTG TR 2019-XCALM AL 1ML+88.72 11/25/2286 144A                                            | CUSIP: 05608FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1291448 | PA      | $1270322.31    | 0.00%             | 2032-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 04/01/2033#ZS8692                                                                  | CUSIP: 3132A9UR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     299490 | PA      | $278867.91     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/38 #889219                                                                           | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198114 | PA      | $207347.05     | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 07/01/2051#QC5164                                                                    | CUSIP: 3133APWZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     694519 | PA      | $613359.86     | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.91%/VAR 05/24/2033                                                                | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   47460000 | PA      | $44443110.18   | 0.13%             | 2033-05-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                             | DISCOVER FINANCIAL SVS 4.1% 02/09/2027                                                            | CUSIP: 254709AM0<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    5722000 | PA      | $5384372.07    | 0.02%             | 2027-02-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2051#BT8865                                                                    | CUSIP: 3140LXZ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45767 | PA      | $40376.25      | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2044#Q26541                                                                  | CUSIP: 3132M65A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117978 | PA      | $113954.79     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2047#G61305                                                                    | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3197057 | PA      | $3064054.67    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #453080                                                                           | CUSIP: 36208KJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        446 | PA      | $461.90        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AS4297                                                                    | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     726549 | PA      | $674969.09     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2039#AA7503                                                                    | CUSIP: 31416RKR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2802 | PA      | $2714.14       | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/23 #352113                                                                           | CUSIP: 36203LDS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $32.12         | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #372430                                                                           | CUSIP: 36204KVX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $67.34         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2033#CA1089                                                                    | CUSIP: 3140Q8F75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129972 | PA      | $123383.86     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/28 #428795                                                                           | CUSIP: 31379TKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        272 | PA      | $283.27        | 0.00%             | 2028-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 11/01/2045#Q37297                                                                  | CUSIP: 3132QUDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     846960 | PA      | $765250.63     | 0.00%             | 2045-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 9/35 #255951                                                                           | CUSIP: 31371MH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1298 | PA      | $1378.13       | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #698474                                                                           | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     845067 | PA      | $831571.82     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/40 #A92286                                                                           | CUSIP: 312940RF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9844 | PA      | $9761.88       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02511                                                                           | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59986 | PA      | $59448.25      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/23 #367228                                                                           | CUSIP: 36204D4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $8.70          | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.984% 5/33 #703915                                                                      | CUSIP: 31401CAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1887 | PA      | $1873.81       | 0.00%             | 2033-05-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/39 #G05457                                                                           | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     473815 | PA      | $469566.38     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027                                                   | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   20195000 | PA      | $16950757.87   | 0.05%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/25 #405143                                                                           | CUSIP: 36206ABL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1703 | PA      | $1737.26       | 0.00%             | 2025-09-15      | Fixed         | 0.08%                 | 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        |    2182626 | PA      | $2143241.42    | 0.01%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2029#                                                                          | CUSIP: 31293NPA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        556 | PA      | $560.25        | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK2525                                                                           | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122824 | PA      | $118866.67     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/52#RA6824                                                                         | CUSIP: 3133KNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   46604850 | PA      | $38236963.43   | 0.11%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #935520                                                                           | CUSIP: 31412UYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5301 | PA      | $5249.53       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC 3.691/VAR 06/05/2028                                                      | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   21000000 | PA      | $19511749.74   | 0.06%             | 2028-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #723727                                                                           | CUSIP: 3620AAA40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25933 | PA      | $24900.51      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 3.875% 07/15/2027                                                            | CUSIP: 875484AK3<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |   28881000 | PA      | $26345402.14   | 0.08%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2047#Q47872                                                                    | CUSIP: 3132WMXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174895 | PA      | $167947.34     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.203%/VAR 07/23/2029                                                       | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2795408.61    | 0.01%             | 2029-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #514348                                                                           | CUSIP: 31383VL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1152 | PA      | $1215.45       | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | 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        |   21172000 | PA      | $21002857.95   | 0.06%             | 2023-05-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 05/01/2052#CB3647                                                                    | CUSIP: 3140QPBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3370440 | PA      | $3389535.48    | 0.01%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 10YR 2.5% 10/01/2029#RD5009                                                                  | CUSIP: 3133LPR66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     952860 | PA      | $896777.78     | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2011-4 PZ 5% 2/41                                                                             | CUSIP: 31397QKY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     578357 | PA      | $550536.36     | 0.00%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 02/15/2045#AK7288                                                                  | CUSIP: 36183RCZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     340338 | PA      | $309995.93     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 08/01/2045#Q35845                                                                    | CUSIP: 3132QSP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52147 | PA      | $50286.84      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #490591                                                                           | CUSIP: 36210E7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        146 | PA      | $151.09        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE3764                                                                          | CUSIP: 31419EFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102854 | PA      | $99492.66      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ3485                                                                          | CUSIP: 3138AU2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67666 | PA      | $65410.46      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #405312                                                                          | CUSIP: 31378QGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        527 | PA      | $548.28        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/28 #492905                                                                           | CUSIP: 31382UR24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        109 | PA      | $110.69        | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | 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        |    7556000 | PA      | $7424457.60    | 0.02%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #545140                                                                           | CUSIP: 36212VS59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3735 | PA      | $3901.53       | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2039#AS2599                                                                    | CUSIP: 3138WB3H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     771963 | PA      | $744949.94     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG 3.75% 03/26/2025                                                             | CUSIP: 225433AC5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   24390000 | PA      | $21951965.60   | 0.06%             | 2025-03-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/46#BC0287                                                                       | CUSIP: 3140EUJ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210641 | PA      | $207827.10     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02130                                                                  | CUSIP: 3132GFLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134302 | PA      | $136090.64     | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2042#AO2976                                                                  | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7104 | PA      | $6651.10       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/25 #398255                                                                           | CUSIP: 36205RMC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        633 | PA      | $635.61        | 0.00%             | 2025-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 10/24 #385920                                                                          | CUSIP: 36205BVM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         56 | PA      | $57.20         | 0.00%             | 2024-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 05/01/2030#J31654                                                                  | CUSIP: 31307MZT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24156 | PA      | $23430.26      | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-170 B 4% 12/40                                                                           | CUSIP: 38377NRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     726191 | PA      | $702661.69     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.21%/VAR 04/20/2028                                                               | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   40000000 | PA      | $38043754.40   | 0.11%             | 2028-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2050#FM3742                                                                  | CUSIP: 3140X7EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12927876 | PA      | $11147558.59   | 0.03%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #458547                                                                           | CUSIP: 36208RL44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        233 | PA      | $234.24        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/30 #781130                                                                           | CUSIP: 36225BHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        433 | PA      | $446.35        | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                                | PRUDENTIAL FINL INC 6%/VAR 09/01/2052                                                             | CUSIP: 744320BK7<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   55017000 | PA      | $53172608.99   | 0.15%             | 2052-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                                                   | MORGAN STANLEY CAP I TR 2018-BOP C 1ML+150 06/15/2035 144A                                        | CUSIP: 61768FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1488800 | PA      | $1386913.38    | 0.00%             | 2033-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3336 LI 1ML+658 6/37                                                                          | CUSIP: 31397J7J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     250473 | PA      | $27343.51      | 0.00%             | 2037-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 11/40 #004854                                                                       | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63757 | PA      | $63107.76      | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/27 #313687                                                                           | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3325 | PA      | $3409.19       | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #433689                                                                           | CUSIP: 36207JXS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        394 | PA      | $403.24        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 2/27 #439497                                                                           | CUSIP: 36207RGE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        233 | PA      | $240.05        | 0.00%             | 2027-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2039#AC6492                                                                  | CUSIP: 31417TGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24040 | PA      | $23810.89      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #722270                                                                           | CUSIP: 3620A8MT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4926 | PA      | $4941.98       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 8/32 #C70220                                                                           | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9267 | PA      | $9714.20       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2035#                                                                          | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9188 | PA      | $9256.58       | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/30 #532641                                                                          | CUSIP: 36212FWA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1199 | PA      | $1252.12       | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 06/47#MA4511                                                                           | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2161101 | PA      | $2076137.87    | 0.01%             | 2047-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2039#AW4267                                                                    | CUSIP: 3138XTW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217445 | PA      | $209835.85     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 4.50% 7/26 #AB3303                                                                      | CUSIP: 31416YU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19707 | PA      | $19530.76      | 0.00%             | 2026-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2432 FE 1ML+90 6/31                                                                           | CUSIP: 31339NNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      13385 | PA      | $13469.25      | 0.00%             | 2031-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/39 #713327                                                                           | CUSIP: 36297JPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65529 | PA      | $65682.70      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 7/29 #C47273                                                                           | CUSIP: 31298GCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62502 | PA      | $65358.21      | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNMA 13-149 MA 2.5% 5/20/40                                                                       | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2633982 | PA      | $2515894.28    | 0.01%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2040#749935                                                                  | CUSIP: 3620C6EG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9107 | PA      | $8745.16       | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #486540                                                                           | CUSIP: 36210APZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        190 | PA      | $194.44        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 1.75% 08/15/2041                                                      | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  896321000 | PA      | $613384674.08  | 1.77%             | 2041-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #433788                                                                           | CUSIP: 36207J2V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        237 | PA      | $244.29        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -22700000 | PA      | $-21880670.74  | -0.06%            | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE6588                                                                         | CUSIP: 31419HKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130286 | PA      | $126156.00     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/26 #256310                                                                           | CUSIP: 31371MVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1683 | PA      | $1700.55       | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 8/37 #G06089                                                                           | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     279657 | PA      | $292017.88     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #418913                                                                           | CUSIP: 36206RK21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         78 | PA      | $79.68         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #434101                                                                          | CUSIP: 36207KGJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        132 | PA      | $132.68        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 07/01/2033#709470                                                                    | CUSIP: 31401JFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166697 | PA      | $167304.00     | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#G07345                                                                  | CUSIP: 3128M9P63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4428473 | PA      | $4294062.38    | 0.01%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #474192                                                                           | CUSIP: 36209KXV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        195 | PA      | $196.26        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #723320                                                                           | CUSIP: 3620A9SH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15484 | PA      | $15527.04      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 02/01/2045#AX6813                                                                       | CUSIP: 3138Y8SB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194903 | PA      | $187900.15     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #653555                                                                           | CUSIP: 31390RBY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1817 | PA      | $1937.23       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2046#Q45028                                                                  | CUSIP: 3132WJSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218098 | PA      | $215249.87     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH4404                                                                           | CUSIP: 3138A53N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11467 | PA      | $11094.54      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/41 #489862                                                                          | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     857540 | PA      | $822804.26     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTOWN 2022-STAY MORTGAGE TRUST                                                    | INTOWN 2022-STAY MORTGAGE TRUST TSFR1M+223.92 08/15/2037 144A                                     | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40724000 | PA      | $40456227.48   | 0.12%             | 2039-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/26 #342531                                                                           | CUSIP: 31375RPQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        268 | PA      | $271.72        | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2043#Q23023                                                                  | CUSIP: 3132M3AY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7758 | PA      | $7522.31       | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/47#Q48877                                                                         | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     861256 | PA      | $830270.88     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARCHER DANIELS MIDLAND CO                                                          | ARCHER DANIELS MIDLAND CO 3.25% 03/27/2030                                                        | CUSIP: 039482AB0<br>LEI: 549300LO13MQ9HYSTR83 | Long             | DBT              | CORP              | US        |    6931000 | PA      | $6251023.02    | 0.02%             | 2030-03-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404846                                                                          | CUSIP: 31378PWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        121 | PA      | $126.05        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 3/45#AY0609                                                                             | CUSIP: 3138YDVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300410 | PA      | $271548.01     | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ1978                                                                  | CUSIP: 3138MHFU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85021 | PA      | $76836.92      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20763                                                                  | CUSIP: 3132JMZ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142402 | PA      | $137635.23     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#                                                                        | CUSIP: 312941HS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2543 | PA      | $2522.96       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/40 #736729                                                                           | CUSIP: 3620AQPN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     191873 | PA      | $188882.87     | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/26 #313275                                                                           | CUSIP: 31374F6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        853 | PA      | $869.73        | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   10070000 | NC      | $123603.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745196                                                                           | CUSIP: 3620C03D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134232 | PA      | $132140.65     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | 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        |   41981989 | PA      | $40967977.05   | 0.12%             | 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        |   18350000 | PA      | $15826438.64   | 0.05%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 2/40 #737011                                                                           | CUSIP: 3620AQYG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3928 | PA      | $3941.30       | 0.00%             | 2040-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 04/01/2043#Q16915                                                                  | CUSIP: 3132J8DV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41862 | PA      | $38123.95      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2052#CB3331                                                                  | CUSIP: 3140QNVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23622753 | PA      | $21727211.16   | 0.06%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #449944                                                                           | CUSIP: 36208FZH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3023 | PA      | $3043.21       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 03/01/2033#G18683                                                                  | CUSIP: 3128MMXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     813286 | PA      | $757955.00     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/30 #549602                                                                           | CUSIP: 31385QRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        451 | PA      | $477.81        | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/45#AY3962                                                                         | CUSIP: 3138YHML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78196 | PA      | $75337.75      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 4% 06/15/2029                                                                          | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   21076000 | PA      | $19038680.24   | 0.06%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/29 #323500                                                                           | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        593 | PA      | $610.30        | 0.00%             | 2029-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/1/42 #Q13479                                                                      | CUSIP: 3132HP2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56387 | PA      | $51176.14      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#Q16749                                                                  | CUSIP: 3132J75K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44920 | PA      | $43429.98      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | 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        |   12224000 | PA      | $12102539.89   | 0.04%             | 2024-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| KKR CLO 41 LTD                                                                     | KKR CLO 41 LTD 22-41A A1 TSFR3M+133 04/15/2035 144A                                               | CUSIP: 48255PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   46050000 | PA      | $44354024.55   | 0.13%             | 2035-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/30 #493519                                                                          | CUSIP: 36210JG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        818 | PA      | $849.54        | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/27 #780622                                                                           | CUSIP: 36225AVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        350 | PA      | $361.35        | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/39 #713199                                                                           | CUSIP: 36297JKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8349 | PA      | $8368.33       | 0.00%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/25 #329280                                                                          | CUSIP: 31375AXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $365.49        | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #254379                                                                           | CUSIP: 31371KQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2258 | PA      | $2391.24       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ4198                                                                          | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305670 | PA      | $295744.65     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 2/37 #889116                                                                           | CUSIP: 31410GYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1106 | PA      | $1156.49       | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 4.50% 6/25 #MA0442                                                                      | CUSIP: 31417YP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13013 | PA      | $12903.35      | 0.00%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 3.973/VAR 05/22/2030                                                            | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    9000000 | PA      | $7877556.99    | 0.02%             | 2030-05-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#BE5550                                                                  | CUSIP: 3140FREY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216218 | PA      | $212519.61     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/25 #420846                                                                          | CUSIP: 36206TP71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        175 | PA      | $177.06        | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #433616                                                                           | CUSIP: 36207JVH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        715 | PA      | $730.82        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 3.625% 04/01/2027                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    7479000 | PA      | $7097195.40    | 0.02%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/33 #A12833                                                                           | CUSIP: 31296MEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10911 | PA      | $10974.43      | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/46#Q39901                                                                       | CUSIP: 3132QXAB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103017 | PA      | $96135.73      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/25 #328609                                                                          | CUSIP: 31375AAJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        102 | PA      | $103.44        | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297R4W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2223 | PA      | $2238.95       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/01/2052#RA6622                                                                  | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30605669 | PA      | $26099204.55   | 0.08%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 12-154 F 1ML+30 01/25/2043                                         | CUSIP: 3136AA6R1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     714044 | PA      | $698748.32     | 0.00%             | 2043-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 02/20/2041#004948                                                                  | CUSIP: 36202FP91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13975 | PA      | $13724.37      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #576466                                                                           | CUSIP: 36200YMP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        448 | PA      | $465.45        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044                                             | CUSIP: 38376MAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3596736 | PA      | $3292460.90    | 0.01%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#QD0399                                                                    | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1602487 | PA      | $1315762.54    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 02/01/2053 #TBA                                                                      | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  278100000 | PA      | $227251167.03  | 0.66%             | 2053-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#RA8291                                                                    | CUSIP: 3133KQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2790096 | PA      | $2788465.75    | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #722807                                                                          | CUSIP: 3620A9AG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        953 | PA      | $997.59        | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8135                                                                    | CUSIP: 31419KBD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68729 | PA      | $66459.07      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                      | CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA                                                      | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   28540000 | PA      | $35721577.28   | 0.10%             | 2039-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 11/15/2041#656540                                                                    | CUSIP: 36294QLV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6129 | PA      | $5990.03       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AH4609                                                                           | CUSIP: 3138A6DP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7451 | PA      | $7201.78       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2016-H13 FB T1Y+50 05/20/2066                                                                 | CUSIP: 38376RUU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5112335 | PA      | $5097895.55    | 0.01%             | 2066-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/28 #549726                                                                           | CUSIP: 31385QVT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1390 | PA      | $1417.40       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/40 #A91160                                                                           | CUSIP: 312939JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12430 | PA      | $12323.79      | 0.00%             | 2040-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/27 #368817                                                                           | CUSIP: 31376XVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2960 | PA      | $3051.01       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 04/20/2050#MA6599                                                                      | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22921399 | PA      | $20637430.66   | 0.06%             | 2050-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C21                                                    | JPMBB COML MTG SECS TR 2014-C21 3.4927% 08/15/2047                                                | CUSIP: 46642EAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4528985 | PA      | $4400214.10    | 0.01%             | 2047-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2041#A96822                                                                    | CUSIP: 312945SK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     448353 | PA      | $434228.54     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/33 #G01584                                                                           | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3957 | PA      | $3976.03       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 7.00% 8/26 #256430                                                                      | CUSIP: 31371MY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5914 | PA      | $6019.01       | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #584361                                                                           | CUSIP: 36201JFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        685 | PA      | $711.62        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/23 #343243                                                                           | CUSIP: 36203AHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        296 | PA      | $295.56        | 0.00%             | 2023-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/48#CA1564                                                                       | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264544 | PA      | $259274.13     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 03/01/2033#BM4614                                                                    | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304873 | PA      | $289895.67     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #704995                                                                           | CUSIP: 36296YGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34796 | PA      | $34928.78      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #768770                                                                           | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63617 | PA      | $61031.88      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #427241                                                                           | CUSIP: 36207BS68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $54.19         | 0.00%             | 2028-02-15      | 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        |   16255553 | PA      | $15786567.15   | 0.05%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/37 #942981                                                                           | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50810 | PA      | $53157.38      | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/31 #489936                                                                           | CUSIP: 36210EHM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1588 | PA      | $1681.01       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2035#G02836                                                                  | CUSIP: 3128M4PV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4645 | PA      | $4594.18       | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3% 2/43 #Q15438                                                                              | CUSIP: 3132J6PY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     972366 | PA      | $886154.16     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.5% 03/13/2027                                                               | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   21300000 | PA      | $19356375.00   | 0.06%             | 2027-03-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2046#BE2414                                                                    | CUSIP: 3140FMVG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121736 | PA      | $117171.62     | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-18 FD 1ML+80 2/32                                                                        | CUSIP: 31392CHM9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       7041 | PA      | $7069.10       | 0.00%             | 2032-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 05/01/2029#                                                                          | CUSIP: 31293PXU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1390 | PA      | $1418.13       | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97942                                                                           | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1404141 | PA      | $1393018.59    | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55141                                                                    | CUSIP: 3132XXWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28372 | PA      | $27200.72      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/30 #515361                                                                           | CUSIP: 36211KQN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        711 | PA      | $740.69        | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/23 #353139                                                                           | CUSIP: 36203MHQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.06          | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #781272                                                                           | CUSIP: 36225BMV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        360 | PA      | $370.64        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/29 #323819                                                                           | CUSIP: 31374TVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        802 | PA      | $834.48        | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/26 #256546                                                                          | CUSIP: 31371M5F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        924 | PA      | $942.53        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 03/46#MA3522                                                                           | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19615 | PA      | $19003.22      | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 02/01/2053 #TBA                                                                      | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   62700000 | PA      | $57634448.19   | 0.17%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 12/40 #004882                                                                       | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85769 | PA      | $82693.69      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727060                                                                  | CUSIP: 31402EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58909 | PA      | $58174.61      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #723430                                                                          | CUSIP: 3620A9VX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2495 | PA      | $2455.86       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3140LYWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2450968 | PA      | $2239169.69    | 0.01%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2046#Q39717                                                                    | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     297392 | PA      | $268237.11     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #581860                                                                           | CUSIP: 36201FMH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        887 | PA      | $923.36        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #449600                                                                           | CUSIP: 36208FNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        216 | PA      | $223.04        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #480363                                                                           | CUSIP: 36209STU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9263 | PA      | $9462.03       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA STRIPPED MTG BKD SECS                                                         | FNS 384 6 5% 7/37                                                                                 | CUSIP: 3136FER61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     252873 | PA      | $43642.08      | 0.00%             | 2037-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9633                                                                    | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23131710 | PA      | $20457545.21   | 0.06%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REGENCY CTRS LP                                                                    | REGENCY CTRS LP 3.7% 06/15/2030                                                                   | CUSIP: 75884RBA0<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |   25000000 | PA      | $21808189.25   | 0.06%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #419889                                                                          | CUSIP: 36206SNE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         91 | PA      | $92.67         | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #803376                                                                          | CUSIP: 31405YQ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6478 | PA      | $6758.32       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 11/20/2049#BL1665                                                                    | CUSIP: 3617JDZ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     352642 | PA      | $325513.40     | 0.00%             | 2049-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 1ML+ 06/20/2064                                                      | CUSIP: 38375UKG4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     734166 | PA      | $729046.77     | 0.00%             | 2064-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.24% 9/33 #555935                                                                       | CUSIP: 31385XSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79606 | PA      | $78631.36      | 0.00%             | 2033-09-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/39 #710482                                                                          | CUSIP: 36297FJ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61661 | PA      | $59306.03      | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/37 #670351                                                                           | CUSIP: 36295GWL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2414 | PA      | $2421.12       | 0.00%             | 2037-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 10/01/2041#AI6819                                                                   | CUSIP: 3138ALSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11921 | PA      | $11855.23      | 0.00%             | 2041-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 12/38 #702744                                                                          | CUSIP: 36296VWD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90166 | PA      | $92694.15      | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2043#AL7626                                                                    | CUSIP: 3138EQPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356714 | PA      | $344959.96     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 3.035/VAR 05/28/2032                                               | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    4469000 | PA      | $3387201.82    | 0.01%             | 2032-05-28      | Variable      | 0.03%                 | 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        |        190 | PA      | $197.43        | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34584                                                                    | CUSIP: 31307RCV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115714 | PA      | $110378.07     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2044#Q27007                                                                  | CUSIP: 3132M7NY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26842 | PA      | $25977.19      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2045#AZ3728                                                                  | CUSIP: 3138YVEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182861 | PA      | $165121.20     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/38 #711379                                                                           | CUSIP: 36297GJY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7875 | PA      | $8024.24       | 0.00%             | 2038-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/43#AS0080                                                                       | CUSIP: 3138W9CS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31429 | PA      | $29440.01      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2047#MA3184                                                                  | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26624 | PA      | $26127.13      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 1/36 #A54473                                                                           | CUSIP: 3128KG6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33716 | PA      | $35753.05      | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.95% 03/31/2030                                                                | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    6013000 | PA      | $5734610.55    | 0.02%             | 2030-03-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/40 #AE2970                                                                           | CUSIP: 31419DJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18197 | PA      | $18024.68      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044                                            | CUSIP: 38378YG78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    6541773 | PA      | $5984065.47    | 0.02%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040                                             | CUSIP: 38377LAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     251015 | PA      | $244650.70     | 0.00%             | 2040-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 1/1/43 #AB7568                                                                     | CUSIP: 31417EMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37887 | PA      | $34436.08      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #374580                                                                           | CUSIP: 36204NCR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        346 | PA      | $350.26        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 04/01/2041#                                                                          | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21002 | PA      | $17841.42      | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | 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        |    9936738 | PA      | $6483904.14    | 0.02%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #551116                                                                           | CUSIP: 36213DGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        444 | PA      | $463.99        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE CO                                                         | NEW YORK LIFE INSURANCE CO 3.75% 05/15/2050 144A                                                  | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    7429000 | PA      | $5680669.61    | 0.02%             | 2050-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/39 #704587                                                                           | CUSIP: 36296XXQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16823 | PA      | $16862.62      | 0.00%             | 2039-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2041#769036                                                                    | CUSIP: 36176LEH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15838 | PA      | $15189.55      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #830989                                                                           | CUSIP: 31407HF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8240 | PA      | $8566.11       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT0668                                                                     | CUSIP: 3138WMW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239145 | PA      | $224009.70     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK6409                                                                           | CUSIP: 3138EBDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201550 | PA      | $194806.36     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745094                                                                           | CUSIP: 3620C0XX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     383747 | PA      | $377720.90     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FGLMC 3871 KB 5.5% 06/41                                                                          | CUSIP: 3137AC7K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1508973 | PA      | $1560599.82    | 0.00%             | 2041-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735358                                                                           | CUSIP: 3620AN5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88432 | PA      | $87048.86      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20785                                                                  | CUSIP: 3132JM2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123759 | PA      | $119615.54     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2041#                                                                        | CUSIP: 3129444V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93040 | PA      | $92205.42      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO IL                                                                         | CHICAGO IL 6.05% 1/1/2029 PRE                                                                     | CUSIP: 167486M63<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      10000 | PA      | $10000.00      | 0.00%             | 2029-01-01      | Fixed         | 0.06%                 | 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        |         81 | PA      | $83.33         | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #726467                                                                          | CUSIP: 3620ADCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4108 | PA      | $4042.73       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 31 LTD                                                           | COLUMBIA CENT CLO 31A A1 LTD 3ML+120 04/20/2034 144A                                              | CUSIP: 19737LAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28400000 | PA      | $27581398.40   | 0.08%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/41 #AD1892                                                                           | CUSIP: 31418PC60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2319 | PA      | $2297.56       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.36% 7/36 #1B7105                                                                       | CUSIP: 3128QPH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35702 | PA      | $36103.03      | 0.00%             | 2036-07-01      | Variable      | 0.04%                 | 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        |   17295000 | PA      | $15123468.86   | 0.04%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.625% 08/01/2031                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   15205000 | PA      | $11922619.56   | 0.03%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 4.375% 08/04/2025                                                        | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   36518000 | PA      | $35643482.27   | 0.10%             | 2025-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #710848                                                                           | CUSIP: 36297FWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50356 | PA      | $50501.80      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 348 14 6.5% 8/34                                                                              | CUSIP: 3136FCEU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      41193 | PA      | $8242.63       | 0.00%             | 2034-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#729380                                                                  | CUSIP: 31402HJZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64617 | PA      | $63821.22      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                        | VIATRIS INC 2.7% 06/22/2030                                                                       | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   39716000 | PA      | $31051329.07   | 0.09%             | 2030-06-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                             | EQUITABLE HOLDINGS INC 3.9% 04/20/2023                                                            | CUSIP: 054561AC9<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    3067000 | PA      | $3056875.16    | 0.01%             | 2023-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/34 #357634                                                                          | CUSIP: 31376KHK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79379 | PA      | $82287.70      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #513722                                                                           | CUSIP: 36211HVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $85.79         | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/24 #403965                                                                           | CUSIP: 36205XW26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        241 | PA      | $244.60        | 0.00%             | 2024-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/39 #717129                                                                           | CUSIP: 3620A2VW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3243 | PA      | $3247.83       | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #454375                                                                           | CUSIP: 36208LXC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        426 | PA      | $436.57        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/26 #358481                                                                          | CUSIP: 31376LFW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $135.29        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 05/01/2045#Q33468                                                                  | CUSIP: 3132QP2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157441 | PA      | $142449.05     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGNETITE IX LTD / MAGNETITE IX LLC                                                | MAGNETITE IX LTD /LLC 3ML+113 10/25/2034 144A                                                     | CUSIP: 55953UAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   32900000 | PA      | $32034072.00   | 0.09%             | 2034-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.87% 10/35 #1M1052                                                                      | CUSIP: 3128QFEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32541 | PA      | $32549.05      | 0.00%             | 2035-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 4/39 #711961                                                                           | CUSIP: 36297G5W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4184 | PA      | $4258.66       | 0.00%             | 2039-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 4/42 #AK6572                                                                           | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328476 | PA      | $307263.17     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/41 #Q03643                                                                          | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     816624 | PA      | $812340.16     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/42#AB6934                                                                       | CUSIP: 31417DV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210693 | PA      | $197009.44     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/30 #545022                                                                          | CUSIP: 36212VPF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        420 | PA      | $433.97        | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #443837                                                                           | CUSIP: 36207WBE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        478 | PA      | $489.51        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                        | VIATRIS INC 1.65% 06/22/2025                                                                      | CUSIP: 92556VAB2<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    4370000 | PA      | $3957876.27    | 0.01%             | 2025-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/35 #787562                                                                           | CUSIP: 31405E5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1491 | PA      | $1533.02       | 0.00%             | 2035-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #462916                                                                           | CUSIP: 36208WGZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        122 | PA      | $125.30        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2042#AB7124                                                                  | CUSIP: 31417D4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241403 | PA      | $225783.98     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2046#Q41359                                                                  | CUSIP: 3132WEQM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50905 | PA      | $47505.01      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 12/34 #605777                                                                          | CUSIP: 36200N6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2408 | PA      | $2491.71       | 0.00%             | 2034-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 6/25 #410041                                                                           | CUSIP: 36206FP22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         61 | PA      | $61.61         | 0.00%             | 2025-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21526                                                                  | CUSIP: 3132JNVT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142427 | PA      | $137659.24     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2154 PT 6% 5/29                                                                               | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      74378 | PA      | $75594.86      | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #781129                                                                          | CUSIP: 36225BHE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        128 | PA      | $132.07        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/40 #747264                                                                           | CUSIP: 3620C3FD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11885 | PA      | $11698.90      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AB3687                                                                          | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1354070 | PA      | $1309510.35    | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2045#G61796                                                                  | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560301 | PA      | $555413.28     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/35 #A54855                                                                           | CUSIP: 3128KHMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120726 | PA      | $121385.66     | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #448514                                                                           | CUSIP: 36208EGX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        180 | PA      | $185.85        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   10280000 | NC      | $126180.83     | 0.00%             |  |  |  | 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        |   13106000 | PA      | $12340567.40   | 0.04%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/23 #361832                                                                           | CUSIP: 36203W4R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        128 | PA      | $127.86        | 0.00%             | 2023-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 7/40#V81831                                                                        | CUSIP: 3132L7A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208484 | PA      | $194948.95     | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #443709                                                                           | CUSIP: 36207V3S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        280 | PA      | $285.84        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/42#AO9948                                                                         | CUSIP: 3138M2BS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57634 | PA      | $55709.02      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.7% 10/23/2024                                                                    | CUSIP: 61761JVL0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   15967000 | PA      | $15584084.52   | 0.05%             | 2024-10-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55504                                                                    | CUSIP: 3132XYDJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     381520 | PA      | $365767.78     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 06/01/2032#C91456                                                                  | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11026007 | PA      | $10571876.86   | 0.03%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                                         | CUSIP: 31394FGT6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     586322 | PA      | $591296.55     | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US LONG BOND(CBT) FUT MAR23 USH3                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -2439 | NC      | $1018594.95    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/25 #303555                                                                          | CUSIP: 31373UE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3243 | PA      | $3292.22       | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                             | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+112.02 11/15/2036 144A                                 | CUSIP: 26863LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6300000 | PA      | $5999807.52    | 0.02%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 6/39 #993203                                                                           | CUSIP: 31415YKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2406 | PA      | $2381.57       | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #617454                                                                           | CUSIP: 36290T5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13686 | PA      | $12837.93      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A                                             | CUSIP: 202712BK0<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   12091000 | PA      | $10007965.66   | 0.03%             | 2034-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2050#SD0393                                                                    | CUSIP: 3132DMNJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40912 | PA      | $36342.41      | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH2152                                                                           | CUSIP: 3138A3MA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164833 | PA      | $159659.55     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.75% 02/25/2026                                                    | CUSIP: 38143U8H7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $14438354.10   | 0.04%             | 2026-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.50% 4/28 #G00982                                                                           | CUSIP: 31283HCT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        756 | PA      | $779.60        | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 04/01/2035#                                                                          | CUSIP: 3128MJBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28008 | PA      | $28215.29      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | 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+120 01/22/2031 144A                       | CUSIP: 55817AAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7913000 | PA      | $7669667.34    | 0.02%             | 2031-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 09/01/2030#                                                                          | CUSIP: 31298AYN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $86.52         | 0.00%             | 2030-09-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 2.5% 04/01/2025                                                                       | CUSIP: 68389XBT1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   24552000 | PA      | $23149507.02   | 0.07%             | 2025-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 07/01/2051#RA5574                                                                  | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21550922 | PA      | $18431580.78   | 0.05%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 2.45% 01/15/2031                                                                         | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   28885000 | PA      | $22978631.60   | 0.07%             | 2031-01-15      | Fixed         | 0.02%                 | 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        |        911 | PA      | $952.86        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | 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        |    2896000 | PA      | $2220942.69    | 0.01%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #628119                                                                           | CUSIP: 36291GYQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        497 | PA      | $505.89        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                                 | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33561000 | PA      | $32510044.00   | 0.09%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2050#FM6118                                                                    | CUSIP: 3140X9YQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107251 | PA      | $95170.89      | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2007-37 TS -1ML+669 6/37                                                                      | CUSIP: 38375KNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     160072 | PA      | $16584.29      | 0.00%             | 2037-06-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                                 | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57498000 | PA      | $56057514.11   | 0.16%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.875% 10/01/2029                                                                       | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   20178000 | PA      | $22363903.12   | 0.06%             | 2029-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2030#                                                                        | CUSIP: 31298ASP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $75.77         | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/23 #184077                                                                           | CUSIP: 362165M25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11 | PA      | $11.34         | 0.00%             | 2023-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/45#AZ9583                                                                         | CUSIP: 3140E2UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     373535 | PA      | $359647.34     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 05/15/2042#AA1859                                                                    | CUSIP: 36177YB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46721 | PA      | $44803.39      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1ML+35 05/25/2047                                                  | CUSIP: 3136AWTD9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    1420731 | PA      | $1383363.66    | 0.00%             | 2047-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2044#AX6493                                                                  | CUSIP: 3138Y8GB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34159 | PA      | $33819.72      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 10/40 #AE3832                                                                          | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55007 | PA      | $54502.62      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 3% 08/15/2026                                                                     | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2965000 | PA      | $2769460.92    | 0.01%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #710499                                                                          | CUSIP: 36297FKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60420 | PA      | $59458.36      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #499474                                                                           | CUSIP: 36210Q2F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1602 | PA      | $1652.71       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AD3626                                                                  | CUSIP: 36180FA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71550 | PA      | $65305.66      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/47#V84700                                                                       | CUSIP: 3132LAGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     893020 | PA      | $832810.69     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                     | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                          | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   29185091 | PA      | $22108582.02   | 0.06%             | 2038-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2041#G60405                                                                  | CUSIP: 31335ANW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     879803 | PA      | $872352.71     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES CLO                                                                           | ARES CLO 2019-54A A 3ML+132 10/15/2032 144A                                                       | CUSIP: 04017WAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   24769000 | PA      | $24294326.88   | 0.07%             | 2032-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PINE STR TR I                                                                      | PINE STR TR I 4.572% 02/15/2029 144A                                                              | CUSIP: 722844AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   27943000 | PA      | $25840554.99   | 0.07%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2051#                                                                        | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146717 | PA      | $133889.55     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #731980                                                                           | CUSIP: 3620AKFV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5881 | PA      | $5909.76       | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | 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        |      14565 | PA      | $15025.60      | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2039#                                                                        | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3108 | PA      | $3081.23       | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 0.0% 07/01/2041#1B8505                                                                   | CUSIP: 3128UGZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105169 | PA      | $105922.94     | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 1ML+595 02/16/2040                                                 | CUSIP: 38376WKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     615031 | PA      | $36765.47      | 0.00%             | 2040-02-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 02/01/2037#MA2897                                                                    | CUSIP: 31418CGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2368981 | PA      | $2215412.00    | 0.01%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #762832                                                                           | CUSIP: 36176DHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1458 | PA      | $1435.40       | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 08/01/2030#                                                                          | CUSIP: 31297YK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3109 | PA      | $3298.83       | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #250495                                                                           | CUSIP: 31371FGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        340 | PA      | $345.72        | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.9% 04/01/2042#AO1103                                                                  | CUSIP: 3138LRGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29301 | PA      | $27960.19      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #711223                                                                           | CUSIP: 36297GD49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     371305 | PA      | $365441.23     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD7615                                                                    | CUSIP: 3133B5N81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1194789 | PA      | $1050969.87    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 06/01/2051#QC3131                                                                  | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     631651 | PA      | $488501.75     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722699                                                                          | CUSIP: 3620A83G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24193 | PA      | $23814.23      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#FS0286                                                                    | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31398583 | PA      | $25760976.59   | 0.07%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 2/37 #658285                                                                           | CUSIP: 36294SJ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        268 | PA      | $274.51        | 0.00%             | 2037-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/28 #432548                                                                           | CUSIP: 31379XP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4816 | PA      | $5001.35       | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 05/20/2049#BN2615                                                                      | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262422 | PA      | $250546.62     | 0.00%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/25 #415993                                                                           | CUSIP: 36206NC60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2206 | PA      | $2245.85       | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | 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        |   12634000 | PA      | $12391376.66   | 0.04%             | 2031-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2045#Q37070                                                                  | CUSIP: 3132QT2C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84189 | PA      | $78723.29      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/37 #AE0265                                                                           | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1314807 | PA      | $1359913.60    | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #740919                                                                           | CUSIP: 3620AVDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7493 | PA      | $7374.73       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #931504                                                                           | CUSIP: 31412P3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     513873 | PA      | $508776.26     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 01/20/2050#BR8998                                                                      | CUSIP: 3617M77K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     215098 | PA      | $191883.68     | 0.00%             | 2050-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #452321                                                                           | CUSIP: 36208JPE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1274 | PA      | $1317.78       | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#FM6944                                                                    | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14889591 | PA      | $12272005.57   | 0.04%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H17 FA 1ML+33 7/60                                                                       | CUSIP: 38375BDY5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     286158 | PA      | $282928.65     | 0.00%             | 2060-07-20      | Variable      | 0.04%                 | 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        |  108603164 | PA      | $3451897.25    | 0.01%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/32 #579242                                                                           | CUSIP: 36201CP32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5518 | PA      | $5775.32       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #564543                                                                          | CUSIP: 36213UEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        192 | PA      | $201.27        | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2047#BE5696                                                                  | CUSIP: 3140FRKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24795 | PA      | $23085.86      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #569799                                                                           | CUSIP: 36200Q7L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4767 | PA      | $5002.86       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                     | MASTERCARD INC 3.3% 03/26/2027                                                                    | CUSIP: 57636QAR5<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    3028000 | PA      | $2883789.38    | 0.01%             | 2027-03-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#737712                                                                  | CUSIP: 3620ARR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14888 | PA      | $14283.08      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #455818                                                                          | CUSIP: 36208NK77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        193 | PA      | $198.61        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/25 #780247                                                                           | CUSIP: 36225AHY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        124 | PA      | $125.72        | 0.00%             | 2025-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2042#AP4319                                                                  | CUSIP: 3138M7YR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104520 | PA      | $97577.61      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                           | LIBERTY MUTUAL GROUP INC 4.25% 06/15/2023 144A                                                    | CUSIP: 53079EBE3<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    2019000 | PA      | $2004645.05    | 0.01%             | 2023-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2349                                                                    | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24219372 | PA      | $19885928.52   | 0.06%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #397106                                                                           | CUSIP: 31378FDK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $116.52        | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #616423                                                                           | CUSIP: 36290SYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3362 | PA      | $3427.60       | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                      | CA ST BUILD AMERICA BONDS                                                                         | CUSIP: 13063BBU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2420000 | PA      | $2954025.76    | 0.01%             | 2039-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031                                                      | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   18176000 | PA      | $14346684.68   | 0.04%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-33 PK 6% 7/29                                                                            | CUSIP: 31359WKN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      65490 | PA      | $66410.76      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #756893                                                                           | CUSIP: 36230RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2921 | PA      | $2931.66       | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/24 #190257                                                                           | CUSIP: 31368HJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         54 | PA      | $54.29         | 0.00%             | 2024-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2047#AS9968                                                                    | CUSIP: 3138WLCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1841710 | PA      | $1770933.08    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 07/47#MA4587                                                                           | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1191915 | PA      | $1145055.20    | 0.00%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QD0109                                                                    | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1696229 | PA      | $1392731.92    | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 3.3% 07/15/2025 144A                                                                     | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   37234000 | PA      | $35107962.06   | 0.10%             | 2025-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030                                                     | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    3290000 | PA      | $2958905.39    | 0.01%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2034#G16829                                                                    | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1970677 | PA      | $1867489.59    | 0.01%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #573592                                                                           | CUSIP: 36200VF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6336 | PA      | $6651.70       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 07/01/2032#J37270                                                                    | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166627 | PA      | $158370.45     | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 6/27 #256789                                                                      | CUSIP: 31371NF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24818 | PA      | $25202.30      | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q33791                                                                  | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     924387 | PA      | $864951.48     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 01/01/2027#                                                                        | CUSIP: 3128FKRC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $305.39        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3% 2/1/43 #Q15788                                                                            | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126152 | PA      | $114888.34     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/29 #502341                                                                           | CUSIP: 36210UBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1216 | PA      | $1255.55       | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2052#MA4580                                                                  | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47399991 | PA      | $43137324.15   | 0.12%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/34 #G02758                                                                           | CUSIP: 3128M4MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166620 | PA      | $167611.53     | 0.00%             | 2034-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 2.95% 09/01/2029                                                                     | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   40740000 | PA      | $35333509.89   | 0.10%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#                                                                        | CUSIP: 312944LX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89701 | PA      | $88989.15      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |   15550000 | PA      | $13580862.76   | 0.04%             | 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        |    6244000 | PA      | $6155112.10    | 0.02%             | 2024-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 08/01/2035#                                                                          | CUSIP: 31297SPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11937 | PA      | $12014.54      | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 04/01/2033#ZS8087                                                                  | CUSIP: 3132A86Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     653037 | PA      | $609499.44     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-32 PL 6% 7/29                                                                            | CUSIP: 31359WHX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      88215 | PA      | $89491.18      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/26 #331598                                                                           | CUSIP: 31375DKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1015 | PA      | $1029.34       | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #469132                                                                           | CUSIP: 36209EED0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1405 | PA      | $1446.49       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 09/01/2032#ZT2008                                                                  | CUSIP: 3132AEGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     448478 | PA      | $421801.70     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030                                                      | CUSIP: 92277GAV9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   41973000 | PA      | $39190323.15   | 0.11%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/25 #250383                                                                          | CUSIP: 31371FCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        203 | PA      | $205.68        | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2038#AV1874                                                                    | CUSIP: 3138XDCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556567 | PA      | $537265.21     | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2017-PANW D 1ML+1000 12/20/2040                                    | CUSIP: 38377RBW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1593106 | PA      | $1350824.21    | 0.00%             | 2040-12-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/39 #702085                                                                           | CUSIP: 36296U6W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1765 | PA      | $1766.18       | 0.00%             | 2039-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/25 #250407                                                                           | CUSIP: 31371FDL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        103 | PA      | $103.98        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US ULTRA BOND CBT FUT MAR23 WNH3                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -216 | NC      | $1840251.63    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A97151                                                                           | CUSIP: 3129455L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102878 | PA      | $102035.96     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                                     | WALT DISNEY CO 3.8% 05/13/2060                                                                    | CUSIP: 254687GA8<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   25000000 | PA      | $19043230.00   | 0.06%             | 2060-05-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/01/2041#AI5189                                                                  | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32566 | PA      | $32880.91      | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/32 #627252                                                                           | CUSIP: 31389JZR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $42.78         | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/30 #563583                                                                          | CUSIP: 31386HCU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1745 | PA      | $1857.88       | 0.00%             | 2030-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #583152                                                                           | CUSIP: 36201GZR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        627 | PA      | $658.69        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                        | PEPSICO INC 2.625% 03/19/2027                                                                     | CUSIP: 713448ER5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    2862000 | PA      | $2658228.92    | 0.01%             | 2027-03-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 03/01/2027#                                                                        | CUSIP: 31292GRV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $77.73         | 0.00%             | 2027-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404745                                                                          | CUSIP: 31378PTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2665 | PA      | $2763.25       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | 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        |   27319000 | PA      | $24244203.93   | 0.07%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726298                                                                           | CUSIP: 3620AC3F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16566 | PA      | $16612.81      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #431989                                                                           | CUSIP: 36207G2W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        567 | PA      | $585.93        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/25 #303505                                                                           | CUSIP: 31373UDJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         54 | PA      | $54.66         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #399824                                                                           | CUSIP: 31378JD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        259 | PA      | $269.33        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #252806                                                                          | CUSIP: 31371HYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        770 | PA      | $810.48        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | 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        |   48345000 | PA      | $44866671.52   | 0.13%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31296PKS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43635 | PA      | $43873.18      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/27 #780570                                                                           | CUSIP: 36225AT34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         82 | PA      | $83.77         | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/26 #780481                                                                          | CUSIP: 36225ARA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         73 | PA      | $73.82         | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97520                                                                  | CUSIP: 312946K96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113797 | PA      | $115284.77     | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2040#V81966                                                                  | CUSIP: 3132L7FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288743 | PA      | $269997.23     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4% 01/01/2053 #TBA                                                                      | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   56250000 | PA      | $52804659.38   | 0.15%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #251298                                                                          | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1035 | PA      | $1070.89       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/40 #749953                                                                          | CUSIP: 3620C6E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80668 | PA      | $77493.71      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.25% 11/01/2041#AJ7445                                                                 | CUSIP: 3138E0HX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58469 | PA      | $56990.39      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2028#                                                                          | CUSIP: 31292WQ38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $67.61         | 0.00%             | 2028-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2046#Q40165                                                                    | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     400192 | PA      | $360958.66     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 4/24 #390868                                                                           | CUSIP: 36205HFH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         30 | PA      | $30.67         | 0.00%             | 2024-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/29 #323657                                                                           | CUSIP: 31374TQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        538 | PA      | $555.74        | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2042#G07368                                                                    | CUSIP: 3128M9QV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2738187 | PA      | $2651447.34    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 04/20/2040#004673                                                                  | CUSIP: 36202FFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99672 | PA      | $97879.97      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1384                                                                  | CUSIP: 3140QLRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32494550 | PA      | $27760734.49   | 0.08%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                   | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+155 01/15/2039 144A                                       | CUSIP: 05530SAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3893000 | PA      | $3727147.30    | 0.01%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/40 #A92914                                                                           | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30915 | PA      | $31275.54      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2040#                                                                        | CUSIP: 3129404Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21983 | PA      | $21798.13      | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2041#                                                                          | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22336 | PA      | $18863.28      | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2041#                                                                        | CUSIP: 3132GDQH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4849 | PA      | $4810.86       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2035#843431                                                                  | CUSIP: 31407XA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1699304 | PA      | $1708339.47    | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2051#QC7468                                                                    | CUSIP: 3133ASJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9061203 | PA      | $7462582.81    | 0.02%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                        | ILLINOIS ST TXBL                                                                                  | CUSIP: 452151LF8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   20175000 | PA      | $19362732.31   | 0.06%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                           | QATAR ST 4.4% 04/16/2050 144A                                                                     | CUSIP: 74727PBE0<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |   13195000 | PA      | $12009924.06   | 0.03%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 10/01/2033#MA3489                                                                  | CUSIP: 31418C2X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6474 | PA      | $6245.37       | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BH3646                                                                  | CUSIP: 3140GSBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45287 | PA      | $44498.54      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2044#AW3982                                                                  | CUSIP: 3138XTM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29255 | PA      | $29001.48      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                   | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   26948000 | PA      | $19482687.99   | 0.06%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 3/36 #003828                                                                        | CUSIP: 36202EHD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20820 | PA      | $20565.88      | 0.00%             | 2036-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2044#Q24255                                                                  | CUSIP: 3132M4MC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18667 | PA      | $18036.22      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/29 #323542                                                                           | CUSIP: 31374TLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18455 | PA      | $19050.51      | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 03/15/2042#AA6826                                                                  | CUSIP: 36178ESP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7740 | PA      | $7422.80       | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #552012                                                                           | CUSIP: 36213EGV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        794 | PA      | $818.10        | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRASS NO 10 PLC                                                                    | BRASS NO 10 PLC VAR 04/16/2069 144A                                                               | CUSIP: 10554PAA1<br>LEI: 213800UCE3NFG8SQKH09 | Long             | ABS-CBDO         | CORP              | GB        |   10336990 | PA      | $9858759.31    | 0.03%             | 2069-04-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 5/29 #C00764                                                                           | CUSIP: 31292GZ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        283 | PA      | $289.07        | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #720602                                                                          | CUSIP: 3620A6RX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4090 | PA      | $4276.98       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 3.7% 03/23/2029                                                                        | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   12046000 | PA      | $11028579.54   | 0.03%             | 2029-03-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE8783                                                                          | CUSIP: 31419KXM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5456 | PA      | $5281.03       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #706824                                                                           | CUSIP: 36297BG96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17678 | PA      | $17401.46      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#BA1614                                                                  | CUSIP: 3140E5YL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31731 | PA      | $29643.11      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | 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        |   14151255 | PA      | $826688.04     | 0.00%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 05/15/2043#AD1390                                                                  | CUSIP: 36180CRK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28240 | PA      | $27128.22      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2049#CA4557                                                                  | CUSIP: 3140QCB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7408582 | PA      | $6868507.84    | 0.02%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #420914                                                                           | CUSIP: 31379JSB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        384 | PA      | $399.88        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/38 #G05299                                                                           | CUSIP: 3128M7GG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44015 | PA      | $43549.83      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | 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        |   10000000 | PA      | $9103263.60    | 0.03%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/39 #AA7165                                                                           | CUSIP: 31416Q6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5088 | PA      | $5037.34       | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/45#AZ0560                                                                         | CUSIP: 3138YRTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163433 | PA      | $157458.72     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.50% 8/26 #G00529                                                                           | CUSIP: 31283GSS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        388 | PA      | $397.92        | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROVIDENCE PLACE GROUP LTD PARTNERSHIP                                             | PPGLP 2000-C1 A2 7.75% 7/28                                                                       | CUSIP: 743784AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     490735 | PA      | $500849.96     | 0.00%             | 2028-07-20      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 03/20/2043#AD8812                                                                      | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232996 | PA      | $210835.36     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                        | APOLLO AVIATION SECURITIZATION EQUITY TRUST 4.335% 01/16/2040 144A                                | CUSIP: 00255UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1196541 | PA      | $515597.52     | 0.00%             | 2040-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A21977                                                                           | CUSIP: 31296YFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22823 | PA      | $22953.98      | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21900                                                                  | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89003 | PA      | $86023.41      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/25 #405489                                                                           | CUSIP: 36206ANE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         48 | PA      | $48.63         | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.95% 10/01/2026                                                            | CUSIP: 46625HRV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   63807000 | PA      | $59508014.22   | 0.17%             | 2026-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2045#AZ4750                                                                  | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     521855 | PA      | $487522.27     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/27 #368821                                                                           | CUSIP: 31376XVN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2314 | PA      | $2386.72       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2051#FM8375                                                                  | CUSIP: 3140XCJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     726986 | PA      | $662073.63     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/32#CA3748                                                                       | CUSIP: 3140QBEW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32258 | PA      | $30158.08      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03210                                                                           | CUSIP: 3132GJGT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57951 | PA      | $56148.15      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AB1887                                                                          | CUSIP: 31416XCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16255 | PA      | $16105.47      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2045#AS6350                                                                    | CUSIP: 3138WGBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     663062 | PA      | $639859.52     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 11/29 #C46106                                                                          | CUSIP: 31298EYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        627 | PA      | $639.38        | 0.00%             | 2029-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2046#BC0824                                                                  | CUSIP: 3140EU4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3125925 | PA      | $2914411.67    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD1015                                                                  | CUSIP: 36180CDU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68608 | PA      | $62620.49      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2017-4709 FE 1ML+35 08/15/2047                                     | CUSIP: 3137FANA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     775652 | PA      | $755683.34     | 0.00%             | 2047-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/42#AP9654                                                                       | CUSIP: 3138MDWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86317 | PA      | $80826.48      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.21% 5/36 #872503                                                                       | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75293 | PA      | $75985.01      | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18131                                                                  | CUSIP: 3132J9PR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47907 | PA      | $46303.41      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE4058                                                                    | CUSIP: 31419EQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169441 | PA      | $163936.15     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7386                                                                    | CUSIP: 31419JF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145928 | PA      | $141129.37     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720070                                                                           | CUSIP: 3620A56F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15564 | PA      | $15316.17      | 0.00%             | 2039-06-15      | 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        |        189 | PA      | $196.22        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE8996                                                                         | CUSIP: 31419K7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209029 | PA      | $202212.98     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #451900                                                                           | CUSIP: 36208H7M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        828 | PA      | $854.11        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/23 #342550                                                                           | CUSIP: 36224YQB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $2.32          | 0.00%             | 2023-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2051#                                                                        | CUSIP: 3132DWB93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31435665 | PA      | $28748650.89   | 0.08%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #564650                                                                           | CUSIP: 36213UH37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10323 | PA      | $10760.61      | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #455904                                                                          | CUSIP: 36208NNV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        795 | PA      | $823.98        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #452821                                                                          | CUSIP: 36208KAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1230 | PA      | $1282.11       | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 06/01/2044#AS2703                                                                  | CUSIP: 3138WCAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25682 | PA      | $24831.75      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.54% 4/37 #918912                                                                       | CUSIP: 31411Y3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17368 | PA      | $17291.32      | 0.00%             | 2037-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.4% 06/10/2025                                                                     | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   11010000 | PA      | $10806363.22   | 0.03%             | 2025-06-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.49% 01/23/2027                                                              | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   37360000 | PA      | $34109680.00   | 0.10%             | 2027-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #737177                                                                           | CUSIP: 3620AQ6N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     394188 | PA      | $395380.00     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15992                                                                  | CUSIP: 3132J7C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     243643 | PA      | $235563.04     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2049#CA3726                                                                  | CUSIP: 3140QBD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10610779 | PA      | $9843900.78    | 0.03%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #582054                                                                           | CUSIP: 36201FTK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1058 | PA      | $1106.93       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6150                                                                           | CUSIP: 3138A7ZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5131 | PA      | $4962.27       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #823041                                                                           | CUSIP: 31406XLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        281 | PA      | $288.77        | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/25 #414636                                                                          | CUSIP: 36206LSZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $42.38         | 0.00%             | 2025-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7458                                                                  | CUSIP: 31417EJC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31653 | PA      | $28799.87      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/23 #190096                                                                          | CUSIP: 31368HC92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.77          | 0.00%             | 2023-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/32 #646799                                                                          | CUSIP: 31390HRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        594 | PA      | $634.59        | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 6/46#V82414                                                                          | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5626296 | PA      | $5074712.16    | 0.01%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 11/20/2047#784391                                                                    | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8568191 | PA      | $7965263.30    | 0.02%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 2.987% 10/30/2056                                                      | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   65611000 | PA      | $40029279.63   | 0.12%             | 2056-10-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2039#A89270                                                                  | CUSIP: 312936JP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96535 | PA      | $95707.10      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #391630                                                                          | CUSIP: 36205JA70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        912 | PA      | $923.28        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02387                                                                           | CUSIP: 3132GFUL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50791 | PA      | $50385.99      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 9/40 #004800                                                                        | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1220376 | PA      | $1176700.28    | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33547                                                                  | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4340612 | PA      | $4061522.44    | 0.01%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 2.5% 01/01/2038 #TBA                                                                    | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17800000 | PA      | $16306469.64   | 0.05%             | 2038-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/26 #342459                                                                           | CUSIP: 31375RMG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        241 | PA      | $246.58        | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 4/24 #400217                                                                           | CUSIP: 36205TSE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        278 | PA      | $280.79        | 0.00%             | 2024-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3140KSLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27245 | PA      | $24882.30      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2049#BN6248                                                                    | CUSIP: 3140JN5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58781 | PA      | $52398.96      | 0.00%             | 2049-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/01/2053 #TBA                                                                        | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  562275000 | PA      | $471731856.75  | 1.36%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #416207                                                                           | CUSIP: 31379DKU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        576 | PA      | $596.17        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2040#                                                                          | CUSIP: 312940C49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3093 | PA      | $3000.52       | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 6.50% 10/27 #C91134                                                                     | CUSIP: 3128P7HK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3903 | PA      | $3975.93       | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/27 #257055                                                                          | CUSIP: 31371NQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3403 | PA      | $3466.41       | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2502 ZC 6 9/32                                                                                | CUSIP: 31392UTM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      51532 | PA      | $53048.86      | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 2/23 #328986                                                                           | CUSIP: 36224HNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $7.96          | 0.00%             | 2023-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/34 #604900                                                                           | CUSIP: 36200M7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5862 | PA      | $5851.10       | 0.00%             | 2034-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/24 #401072                                                                           | CUSIP: 36205UQZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        466 | PA      | $469.78        | 0.00%             | 2024-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464690                                                                           | CUSIP: 36208YF79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        212 | PA      | $217.53        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ3924                                                                          | CUSIP: 3138AVLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7979 | PA      | $7718.83       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2046#BC9079                                                                  | CUSIP: 3140F5CR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259336 | PA      | $255710.21     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2041#Q02144                                                                    | CUSIP: 3132GFLZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294532 | PA      | $285171.14     | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 11/39 #G05695                                                                          | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3307 | PA      | $3278.36       | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/29 #252568                                                                           | CUSIP: 31371HQV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6454 | PA      | $6773.07       | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD7820                                                                    | CUSIP: 3133B5VM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1494719 | PA      | $1313862.81    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/24 #400837                                                                           | CUSIP: 36205UHN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37 | PA      | $37.34         | 0.00%             | 2024-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/26 #780412                                                                           | CUSIP: 36225AN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         93 | PA      | $95.31         | 0.00%             | 2026-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 10/27 #256946                                                                          | CUSIP: 31371NL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12085 | PA      | $12282.87      | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 1.5% 02/01/2038 #TBA                                                                    | CUSIP: 01F012429<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   79400000 | PA      | $69025897.72   | 0.20%             | 2038-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING                                                               | STORE MASTER FUNDING 2.12% 06/20/2051 144A                                                        | CUSIP: 86190BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9627250 | PA      | $8001304.71    | 0.02%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.251% 12/05/2051 144A                                     | CUSIP: 72703PAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   22730235 | PA      | $19755392.76   | 0.06%             | 2051-12-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP                                      | RETAIL OPPTY INVTS PRTNRSHP LP 4% 12/15/2024                                                      | CUSIP: 76132FAB3<br>LEI: 549300KH0PNTJK9NTE57 | Long             | DBT              | CORP              | US        |    4615000 | PA      | $4411211.80    | 0.01%             | 2024-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 2/38 #965753                                                                           | CUSIP: 31414GMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1864 | PA      | $1948.83       | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#SD1924                                                                    | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9875619 | PA      | $9869849.02    | 0.03%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #446811                                                                           | CUSIP: 36208CKY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         88 | PA      | $90.70         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ4794                                                                          | CUSIP: 3138AWKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9966 | PA      | $9674.31       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.34% 9/36 #893580                                                                       | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12059 | PA      | $12093.83      | 0.00%             | 2036-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #453745                                                                          | CUSIP: 36208LBN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        323 | PA      | $332.53        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 1/26 #256107                                                                      | CUSIP: 31371MNY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2517 | PA      | $2536.16       | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34653                                                                    | CUSIP: 31307RE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     872016 | PA      | $831806.14     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/23 #369175                                                                          | CUSIP: 36204GCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        136 | PA      | $136.15        | 0.00%             | 2023-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2029#                                                                          | CUSIP: 31293NNR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $42.89         | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727221                                                                  | CUSIP: 31402E4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53800 | PA      | $53127.72      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                               | BARCLAYS PLC (UNGTD) 4.375% 01/12/2026                                                            | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   28767000 | PA      | $27837563.83   | 0.08%             | 2026-01-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 02/20/2043#MA0783                                                                    | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     205812 | PA      | $193644.73     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/24 #390428                                                                           | CUSIP: 36205GVV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        887 | PA      | $894.88        | 0.00%             | 2024-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #447236                                                                           | CUSIP: 36208CY92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        358 | PA      | $368.69        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+219.7 04/15/2024 144A                                                    | CUSIP: 05609WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4218878 | PA      | $4023347.82    | 0.01%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/26 #256469                                                                           | CUSIP: 31371M2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6568 | PA      | $6687.76       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                         | SYSCO CORP 6.6% 04/01/2050                                                                        | CUSIP: 871829BN6<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   14655000 | PA      | $15972511.90   | 0.05%             | 2050-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 11/01/2045#Q37218                                                                  | CUSIP: 3132QUAU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     379774 | PA      | $343135.83     | 0.00%             | 2045-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293TGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        492 | PA      | $503.94        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.625% 12/15/2029                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   30530000 | PA      | $27899407.58   | 0.08%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2049#QA5381                                                                    | CUSIP: 31346Y6S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     540451 | PA      | $481096.13     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    3470000 | NC      | $42592.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #452490                                                                          | CUSIP: 31380WUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         95 | PA      | $98.78         | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #255934                                                                          | CUSIP: 31371MHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1142 | PA      | $1189.03       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.25% 05/15/2024 144A                                                 | CUSIP: 05401AAD3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   21769000 | PA      | $21335362.83   | 0.06%             | 2024-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                  | ARES CAPITAL CORP 3.875% 01/15/2026                                                               | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   54729000 | PA      | $50156441.85   | 0.15%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.464% 5/1/41#1B8304                                                                     | CUSIP: 3128UGTL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38936 | PA      | $39322.91      | 0.00%             | 2041-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #843132                                                                          | CUSIP: 31407WVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89110 | PA      | $92642.48      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2042#AB1489                                                                  | CUSIP: 36178LUN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4482 | PA      | $4304.85       | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | 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        |   14626998 | PA      | $13838036.54   | 0.04%             | 2036-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS LTD                                                        | PARK AEROSPACE HOLDINGS LTD 5.5% 02/15/2024 144A                                                  | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |   29300000 | PA      | $28917914.23   | 0.08%             | 2024-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735365                                                                           | CUSIP: 3620AN6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35124 | PA      | $34572.92      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #710776                                                                           | CUSIP: 36297FT93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121023 | PA      | $121356.83     | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #567252                                                                          | CUSIP: 36213XEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1146 | PA      | $1194.90       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #454115                                                                           | CUSIP: 36208LN86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        110 | PA      | $113.07        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 07/01/2045#AZ1783                                                                  | CUSIP: 3138YS6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     550247 | PA      | $530132.92     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | 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        |   15106000 | PA      | $14954940.00   | 0.04%             | 2023-08-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #252717                                                                           | CUSIP: 31371HVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $169.80        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #471698                                                                           | CUSIP: 36209G7K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        217 | PA      | $221.42        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726323                                                                           | CUSIP: 3620AC4G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39796 | PA      | $39908.52      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 04/01/2045#AY7471                                                                       | CUSIP: 3138YMJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345252 | PA      | $332847.32     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2029#                                                                          | CUSIP: 31293R5M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2595 | PA      | $2645.60       | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #568814                                                                          | CUSIP: 36213Y3X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4313 | PA      | $4523.63       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #444468                                                                           | CUSIP: 36207WW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1004 | PA      | $1034.63       | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP4410                                                                           | CUSIP: 3138M73U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423409 | PA      | $396017.10     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2045#Q38812                                                                    | CUSIP: 3132QVYJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     276604 | PA      | $266566.41     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                                  | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                                | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   48518589 | PA      | $46749698.17   | 0.14%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #427209                                                                           | CUSIP: 36207BR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        556 | PA      | $570.81        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2432 FG 1ML+90 3/32                                                                           | CUSIP: 31339NNN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       4413 | PA      | $4442.64       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 02/20/2043#AD1755                                                                    | CUSIP: 36180C5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1058909 | PA      | $986546.66     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/48#CA1545                                                                         | CUSIP: 3140Q8WF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     745463 | PA      | $714718.05     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 3.273%/VAR 03/01/2030                                                  | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   32130000 | PA      | $27470177.42   | 0.08%             | 2030-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #723384                                                                          | CUSIP: 3620A9UH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2459 | PA      | $2420.12       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #433685                                                                           | CUSIP: 36207JXN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1154 | PA      | $1188.22       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2042#733816                                                                    | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     456522 | PA      | $437877.89     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 06/20/2040#004709                                                                  | CUSIP: 36202FGS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98195 | PA      | $96426.00      | 0.00%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                | SYNCHRONY FINANCIAL 4.25% 08/15/2024                                                              | CUSIP: 87165BAD5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   29533000 | PA      | $28854799.46   | 0.08%             | 2024-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #446901                                                                           | CUSIP: 36208CNS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        194 | PA      | $200.32        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #404917                                                                          | CUSIP: 31378PYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        806 | PA      | $826.55        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #551093                                                                          | CUSIP: 36213DGA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2514 | PA      | $2614.73       | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #510611                                                                           | CUSIP: 31383RGU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2893 | PA      | $3047.65       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #466883                                                                           | CUSIP: 36209BUG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1368 | PA      | $1425.30       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2042#AJ5602                                                                  | CUSIP: 3138AXGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1768896 | PA      | $1710420.14    | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/23 #365976                                                                           | CUSIP: 36204CQ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        126 | PA      | $126.06        | 0.00%             | 2023-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/40 #734032                                                                          | CUSIP: 3620AMPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19645 | PA      | $19742.18      | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737015                                                                           | CUSIP: 3620AQYL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147548 | PA      | $145217.31     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK42                                                                    | BANK 2022-BNK42 A5 CSTR 06/15/2055                                                                | CUSIP: 06541MBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20100000 | PA      | $19269009.72   | 0.06%             | 2055-06-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2028#AV3616                                                                    | CUSIP: 3138XFAS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28004 | PA      | $26873.63      | 0.00%             | 2028-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 4/24 #390760                                                                           | CUSIP: 36205HB57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11 | PA      | $11.16         | 0.00%             | 2024-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735359                                                                           | CUSIP: 3620AN5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47237 | PA      | $46496.54      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513652                                                                           | CUSIP: 36211HTH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        290 | PA      | $300.25        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #826971                                                                           | CUSIP: 31407CW86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        252 | PA      | $261.97        | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/25 #315883                                                                           | CUSIP: 31374J2Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        142 | PA      | $144.30        | 0.00%             | 2025-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4.0% 05/20/2041#783324                                                                    | CUSIP: 36241LVR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30749 | PA      | $29633.08      | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 1/1/42 #Q05962                                                                     | CUSIP: 3132GMJF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     840987 | PA      | $814477.14     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR0015                                                                  | CUSIP: 3138NWAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292714 | PA      | $266329.97     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2035#AB8197                                                                  | CUSIP: 31417FDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296560 | PA      | $293042.06     | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.513% 12/34 #802695                                                                     | CUSIP: 31405XXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        987 | PA      | $991.91        | 0.00%             | 2034-12-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#BT9503                                                                    | CUSIP: 3140LYRZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6947801 | PA      | $6117996.19    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #442336                                                                           | CUSIP: 36207ULR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $35.44         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                           | CHC COML MTG TR 2019-CHC B 1ML+140 06/15/2034 144A                                                | CUSIP: 162665AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7405083 | PA      | $7045272.56    | 0.02%             | 2034-06-15      | Variable      | 0.06%                 | 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        |    3182000 | PA      | $3117934.18    | 0.01%             | 2026-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/28 #462670                                                                           | CUSIP: 36208V6F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $43.24         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #474776                                                                           | CUSIP: 36209LMZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        313 | PA      | $327.29        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 03/20/2043#AA6141                                                                    | CUSIP: 36178DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     495297 | PA      | $462146.14     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/38 #676892                                                                           | CUSIP: 36295P7D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75785 | PA      | $77774.71      | 0.00%             | 2038-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/31 #575585                                                                           | CUSIP: 31386WNA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        805 | PA      | $845.19        | 0.00%             | 2031-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #440301                                                                           | CUSIP: 36207SDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        192 | PA      | $198.27        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #769513                                                                           | CUSIP: 36176LVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12177 | PA      | $11676.64      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-160 DY 4% 12/20/2040                                                                     | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3272240 | PA      | $3166258.88    | 0.01%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 7/26 #D97040                                                                      | CUSIP: 3128E3ZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2431 | PA      | $2461.09       | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6% 11/37 #953087                                                                             | CUSIP: 31413RJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33185 | PA      | $34610.23      | 0.00%             | 2037-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 9/39 #G06670                                                                           | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     709630 | PA      | $759002.54     | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 03/01/2033#G18680                                                                  | CUSIP: 3128MMXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1887918 | PA      | $1759475.83    | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.58% 7/35 #995273                                                                       | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23326 | PA      | $23371.02      | 0.00%             | 2035-07-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #793122                                                                           | CUSIP: 36177MPG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     335564 | PA      | $314841.93     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/42#AP6241                                                                       | CUSIP: 3138M95B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7087 | PA      | $6622.54       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#RA6986                                                                  | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13972229 | PA      | $12820502.60   | 0.04%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2032#C91403                                                                  | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6857129 | PA      | $6574702.91    | 0.02%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                  | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33516921 | PA      | $28906490.82   | 0.08%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #AA9357                                                                           | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4888 | PA      | $4839.58       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 10/35 #612663                                                                          | CUSIP: 36202XTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37282 | PA      | $38142.56      | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2046#Q38420                                                                  | CUSIP: 3132QVLA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10409 | PA      | $9720.51       | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #639703                                                                           | CUSIP: 31389YU41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        744 | PA      | $789.96        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #726095                                                                          | CUSIP: 3620ACUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47732 | PA      | $47891.82      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 11/01/2040#MA4175                                                                  | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1977582 | PA      | $1624578.80    | 0.00%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #639393                                                                           | CUSIP: 31389YKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        539 | PA      | $573.79        | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 10/01/2050#SD7525                                                                  | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48137001 | PA      | $41553110.63   | 0.12%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AS9172                                                                    | CUSIP: 3138WKFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43032 | PA      | $41569.72      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/23 #124921                                                                           | CUSIP: 31365DVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.66          | 0.00%             | 2023-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #419884                                                                          | CUSIP: 36206SM92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         90 | PA      | $91.83         | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 12/01/2052#CB5273                                                                    | CUSIP: 3140QQ2F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7695431 | PA      | $7690934.72    | 0.02%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #255815                                                                           | CUSIP: 31371MDU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        578 | PA      | $601.39        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 5/40 #723747                                                                           | CUSIP: 3620AABQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65140 | PA      | $62528.19      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-74 SV -1ML+755 11/32                                                                     | CUSIP: 31392FRK5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      83733 | PA      | $2844.66       | 0.00%             | 2032-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 4.45% 04/01/2062                                                                    | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   39650000 | PA      | $30823770.43   | 0.09%             | 2062-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #462548                                                                           | CUSIP: 36208VZM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        166 | PA      | $166.86        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2033#729327                                                                  | CUSIP: 31402HHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10726 | PA      | $10586.31      | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/24 #389637                                                                           | CUSIP: 36205FZA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         30 | PA      | $30.15         | 0.00%             | 2024-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #626541                                                                           | CUSIP: 36291FBJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        691 | PA      | $706.20        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/23 #370889                                                                          | CUSIP: 36204H7A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         60 | PA      | $59.92         | 0.00%             | 2023-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 4.25% 04/01/2052                                                                    | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   59996000 | PA      | $47565014.19   | 0.14%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #782818                                                                          | CUSIP: 36241LDX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5620 | PA      | $5529.54       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2040#                                                                          | CUSIP: 312943B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28582 | PA      | $27690.19      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15400                                                                  | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165559 | PA      | $160068.86     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2041#AH5580                                                                  | CUSIP: 3138A7FW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1022433 | PA      | $1013065.29    | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2043#Q15372                                                                  | CUSIP: 3132J6MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39698 | PA      | $38381.88      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 5.15% 11/15/2041                                                                      | CUSIP: 292505AK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4426235.45    | 0.01%             | 2041-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #A93505                                                                           | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48129 | PA      | $47739.81      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 09/01/2032#ZS7890                                                                  | CUSIP: 3132A8XT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     563596 | PA      | $526021.48     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 06/01/2042#AO2244                                                                        | CUSIP: 3138LSP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37663 | PA      | $38105.49      | 0.00%             | 2042-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 12/01/2029#                                                                        | CUSIP: 31292G7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4296 | PA      | $4516.35       | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#Q17518                                                                  | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116540 | PA      | $112674.81     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 4.5% 01/23/2026                                                               | CUSIP: 71654QBW1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   24688000 | PA      | $22392016.00   | 0.06%             | 2026-01-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 1.65% 08/15/2028                                                                        | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   65000000 | PA      | $54197436.80   | 0.16%             | 2028-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 02/01/2042#MA4540                                                                    | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7145590 | PA      | $6023377.20    | 0.02%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD2492                                                                    | CUSIP: 3133AYXV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6669028 | PA      | $5469522.07    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2048#BJ4680                                                                    | CUSIP: 3140H6FW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78775 | PA      | $75378.82      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 02/01/2035#AB0067                                                                    | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2965873 | PA      | $2976663.06    | 0.01%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2042#AK2415                                                                  | CUSIP: 3138E6VH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51239 | PA      | $49534.83      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/47#BE9387                                                                       | CUSIP: 3140FVND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119160 | PA      | $117382.39     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR7033                                                                  | CUSIP: 3138W4Y70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185309 | PA      | $168605.46     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #462669                                                                           | CUSIP: 36208V6E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1135 | PA      | $1167.69       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032                                                      | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   35537000 | PA      | $26377410.03   | 0.08%             | 2032-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #462619                                                                           | CUSIP: 36208V4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        139 | PA      | $142.97        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/24 #284385                                                                           | CUSIP: 31372V2S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        913 | PA      | $917.78        | 0.00%             | 2024-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR3493                                                                  | CUSIP: 3138W03B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170941 | PA      | $155372.20     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #476119                                                                           | CUSIP: 36209M4C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        469 | PA      | $483.34        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/26 #433215                                                                           | CUSIP: 36207JGY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         64 | PA      | $66.18         | 0.00%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #395593                                                                          | CUSIP: 31378DNJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        301 | PA      | $312.68        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #411484                                                                          | CUSIP: 31378XCV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $19.96         | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ3751                                                                  | CUSIP: 3138MKEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38288 | PA      | $34886.06      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 9/40#V81958                                                                        | CUSIP: 3132L7E70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     524138 | PA      | $490109.88     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #739091                                                                           | CUSIP: 3620ATC47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136408 | PA      | $134229.97     | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 01/01/2038#MA3243                                                                  | CUSIP: 31418CS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43108 | PA      | $40864.89      | 0.00%             | 2038-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/51#BT1809                                                                         | CUSIP: 3140LQAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370669 | PA      | $327353.72     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/44#AV8070                                                                       | CUSIP: 3138XK6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11941 | PA      | $11177.70      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #463468                                                                           | CUSIP: 36208WZ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1851 | PA      | $1891.32       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31296PHP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2198 | PA      | $2208.81       | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 7/39 #AC2169                                                                           | CUSIP: 31417LMT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5609 | PA      | $5433.90       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/26 #331672                                                                           | CUSIP: 31375DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        427 | PA      | $435.93        | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2052#MA4600                                                                  | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  163599959 | PA      | $148887463.86  | 0.43%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 12/37 #A69815                                                                          | CUSIP: 3128L13Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44598 | PA      | $46660.77      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 5/33 #G01785                                                                           | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161970 | PA      | $166505.08     | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2047#Q52086                                                                  | CUSIP: 3132XUJ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     307029 | PA      | $284793.63     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2045#BC0532                                                                    | CUSIP: 3140EUSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31527 | PA      | $30355.12      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/37 #671315                                                                           | CUSIP: 36295HYL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        450 | PA      | $461.77        | 0.00%             | 2037-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2156 TC 6.25% 5/29                                                                            | CUSIP: 3133TKZ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      35403 | PA      | $35688.34      | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 2/41 #004945                                                                        | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128184 | PA      | $123571.16     | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 03/44#AW1829                                                                       | CUSIP: 3138XRA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47509 | PA      | $48253.29      | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    2100000 | NC      | $25776.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781031                                                                           | CUSIP: 36225BEC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        302 | PA      | $310.08        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #465792                                                                           | CUSIP: 36209ANH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $115.98        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | 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        |    5620000 | PA      | $5571163.38    | 0.02%             | 2024-06-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 5.3% 10/01/2029                                                                | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11000000 | PA      | $10758022.55   | 0.03%             | 2029-10-01      | Fixed         | 0.05%                 | 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        |   18965000 | PA      | $18587615.09   | 0.05%             | 2025-07-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/35 #A47571                                                                          | CUSIP: 3128K8MU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26139 | PA      | $26335.52      | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 01/20/2044#MA1600                                                                    | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26932 | PA      | $25340.28      | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 8/38 #690135                                                                           | CUSIP: 36296FV42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50042 | PA      | $51439.08      | 0.00%             | 2038-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 11/01/2031#                                                                          | CUSIP: 31287LNP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1314 | PA      | $1403.27       | 0.00%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 01/01/2031#ZS8593                                                                  | CUSIP: 3132A9RN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106161 | PA      | $99647.50      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                                | NATWEST MARKETS PLC 2.375% 05/21/2023 144A                                                        | CUSIP: 63906YAA6<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   37687000 | PA      | $37206957.32   | 0.11%             | 2023-05-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD6332                                                                  | CUSIP: 36180JA95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57001 | PA      | $52025.71      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/35 #643755                                                                          | CUSIP: 36292BE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14616 | PA      | $15409.94      | 0.00%             | 2035-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| THOMSON REUTERS CORP                                                               | THOMSON REUTERS CORP 3.85% 09/29/2024                                                             | CUSIP: 884903BT1<br>LEI: 549300561UZND4C7B569 | Long             | DBT              | CORP              | CA        |    3021000 | PA      | $2925085.55    | 0.01%             | 2024-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #412685                                                                           | CUSIP: 31378YNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        267 | PA      | $270.96        | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 02/01/2041#                                                                          | CUSIP: 312945YK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19923 | PA      | $20192.74      | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#RA6988                                                                    | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39756180 | PA      | $34970661.34   | 0.10%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #582132                                                                           | CUSIP: 36201FVZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24950 | PA      | $26208.71      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #397068                                                                           | CUSIP: 31378FCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $170.52        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-25 Z 6% 6/29                                                                             | CUSIP: 31359VU27<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      72504 | PA      | $72708.00      | 0.00%             | 2029-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/24 #376375                                                                           | CUSIP: 36204QCL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         38 | PA      | $37.91         | 0.00%             | 2024-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#RA8292                                                                    | CUSIP: 3133KQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2519892 | PA      | $2510544.96    | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/44#AW6246                                                                       | CUSIP: 3138XV5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46681 | PA      | $47412.03      | 0.00%             | 2044-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#BU9833                                                                    | CUSIP: 3140MB4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     528835 | PA      | $466500.42     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                | ALEXANDRIA REAL EST EQUITS INC 2% 05/18/2032                                                      | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   19486000 | PA      | $14920653.70   | 0.04%             | 2032-05-18      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 12/20/2041#005258                                                                    | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7379666 | PA      | $6931625.57    | 0.02%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #706789                                                                           | CUSIP: 36297BF63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112366 | PA      | $108015.15     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 05/46#MA3664                                                                           | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4715382 | PA      | $4557996.10    | 0.01%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2047#RA7313                                                                  | CUSIP: 3133KPDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4125012 | PA      | $3760496.41    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB8529                                                                  | CUSIP: 31417FPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1356600 | PA      | $1234319.36    | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #451746                                                                           | CUSIP: 31380VZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2245 | PA      | $2329.80       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/31 #769023                                                                           | CUSIP: 31404HLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2474 | PA      | $2570.86       | 0.00%             | 2031-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2347                                                                    | CUSIP: 3140QMTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14509536 | PA      | $11936093.17   | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -64025000 | PA      | $-58227702.72  | -0.17%            | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 12/01/2041#MA4501                                                                    | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1434375 | PA      | $1211348.26    | 0.00%             | 2041-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VOYA 2020                                                                          | VOYA 2020 3ML+115 07/16/2034 144A                                                                 | CUSIP: 92918EAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17721000 | PA      | $17272286.56   | 0.05%             | 2034-07-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 06/01/2052#BU8753                                                                    | CUSIP: 3140MAWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1220789 | PA      | $1226942.38    | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AE1959                                                                  | CUSIP: 36180UE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17793 | PA      | $16239.94      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #303890                                                                           | CUSIP: 31373URK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        741 | PA      | $754.57        | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 07/01/2041#                                                                          | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21570 | PA      | $18270.03      | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2049#BO5404                                                                  | CUSIP: 3140K1AE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29354 | PA      | $27287.86      | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2044#AW1064                                                                  | CUSIP: 3138XQFE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62399 | PA      | $61799.95      | 0.00%             | 2044-04-01      | 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        |   48607000 | PA      | $46711317.76   | 0.14%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/41#A97555                                                                       | CUSIP: 312946MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94161 | PA      | $93414.64      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 10/26 #256479                                                                     | CUSIP: 31371M2L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2441 | PA      | $2469.06       | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 3.785%/VAR 03/17/2033                                                               | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $14967602.13   | 0.04%             | 2033-03-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QC9114                                                                    | CUSIP: 3133AUDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4621041 | PA      | $3794222.87    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                   | COMCAST CORP NEW 3.9% 03/01/2038                                                                  | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    5001000 | PA      | $4309686.21    | 0.01%             | 2038-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2034#                                                                          | CUSIP: 31296XSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11481 | PA      | $11550.23      | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                            | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.5% 08/01/2026                                           | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    6318000 | PA      | $5880526.77    | 0.02%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/29 #535762                                                                           | CUSIP: 31384WFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        343 | PA      | $355.83        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 3.65% 05/11/2027                                                       | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   57194000 | PA      | $53808842.71   | 0.16%             | 2027-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/45#Q34074                                                                       | CUSIP: 3132QQQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60261 | PA      | $56386.70      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #783550                                                                           | CUSIP: 36241L5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25892 | PA      | $24284.06      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP                               | COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP 3ML+131 01/20/2034 144A                      | CUSIP: 19736WAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   37850000 | PA      | $37056323.35   | 0.11%             | 2034-01-20      | Variable      | 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        |    8117000 | PA      | $7885750.00    | 0.02%             | 2024-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 02/01/2041#RB5099                                                                  | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2056537 | PA      | $1681727.58    | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #471508                                                                           | CUSIP: 36209GYD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1362 | PA      | $1402.92       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3% 02/01/2037#C91912                                                                    | CUSIP: 3128P8DR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47148 | PA      | $44131.55      | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H19 FG 1ML+30 8/60                                                                       | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     269462 | PA      | $266390.81     | 0.00%             | 2060-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #357953                                                                           | CUSIP: 31376KTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18973 | PA      | $19707.64      | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 1.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F012619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  201525000 | PA      | $155539997.72  | 0.45%             | 2053-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/26 #330162                                                                           | CUSIP: 31375BWX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $65.57         | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 1ML+ 12/20/2063                                                      | CUSIP: 38375UDY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2766805 | PA      | $2755376.61    | 0.01%             | 2063-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 1/36 #850633                                                                           | CUSIP: 31408GBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        732 | PA      | $777.43        | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 3.6% 04/01/2040                                                                       | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   24550000 | PA      | $18010146.86   | 0.05%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2033#                                                                          | CUSIP: 31296RHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17755 | PA      | $17840.76      | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/45#G60179                                                                         | CUSIP: 31335AFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4151388 | PA      | $4007224.95    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AO0004                                                                           | CUSIP: 3138LQAE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22379 | PA      | $21637.64      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-31 ZC 6.5% 7/31                                                                          | CUSIP: 313920CW8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      44670 | PA      | $45252.07      | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #539796                                                                           | CUSIP: 36212PUV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $44.02         | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2044#Q27808                                                                  | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62749 | PA      | $60609.55      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 10/29 #MA0214                                                                          | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9317 | PA      | $9393.29       | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2045#AL6541                                                                  | CUSIP: 3138EPHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3413630 | PA      | $3300579.68    | 0.01%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2049#BN4472                                                                    | CUSIP: 3140JL6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334638 | PA      | $318771.23     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4% 09/15/2047                                                      | CUSIP: 3137FAZ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    8913800 | PA      | $1718519.18    | 0.00%             | 2047-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9341                                                                  | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122187 | PA      | $111173.54     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #783008                                                                           | CUSIP: 36241LKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     650892 | PA      | $640730.95     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #634294                                                                           | CUSIP: 31389SUT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        452 | PA      | $475.54        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AI4003                                                                          | CUSIP: 3138AHNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20938 | PA      | $20267.09      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK3455                                                                           | CUSIP: 3138E7ZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172499 | PA      | $166843.95     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 6/42 #MA0155                                                                        | CUSIP: 36179ME48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11989 | PA      | $11546.51      | 0.00%             | 2042-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 07/01/2026#                                                                        | CUSIP: 31335GN43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        852 | PA      | $873.37        | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/41 #489790                                                                          | CUSIP: 36210EC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3746 | PA      | $3512.23       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.875% 05/15/2032                                                                       | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  912142000 | PA      | $840595861.88  | 2.43%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/30 #515336                                                                           | CUSIP: 36211KPV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        552 | PA      | $574.00        | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #837316                                                                           | CUSIP: 31407QGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        228 | PA      | $237.27        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/23 #334707                                                                           | CUSIP: 36224PYC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         79 | PA      | $79.08         | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | 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        |   17747000 | PA      | $17122731.53   | 0.05%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1276                                                                  | CUSIP: 3138NXM20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88678 | PA      | $80685.09      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/24 #385264                                                                           | CUSIP: 36205A5Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         81 | PA      | $82.08         | 0.00%             | 2024-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/26 #365832                                                                          | CUSIP: 31376ULM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $169.44        | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 6.342%/VAR 10/18/2033                                                              | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   58000000 | PA      | $60772669.12   | 0.18%             | 2033-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #713686                                                                           | CUSIP: 31401N2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30025 | PA      | $29649.38      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 10/41 #Q04092                                                                          | CUSIP: 3132GKF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2222309 | PA      | $2152604.73    | 0.01%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #250701                                                                          | CUSIP: 31371FNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        191 | PA      | $195.86        | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL CORP                                                                 | STORE CAP CORP 4.625% 03/15/2029                                                                  | CUSIP: 862121AB6<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |    8847000 | PA      | $7925651.30    | 0.02%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 4.1% 06/15/2030                                                                  | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   25767000 | PA      | $23008930.47   | 0.07%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2048#BK4763                                                                  | CUSIP: 3140HJJH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     509297 | PA      | $523477.30     | 0.00%             | 2048-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/45#BA6404                                                                         | CUSIP: 3140EBDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722184 | PA      | $695333.44     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #449474                                                                           | CUSIP: 36208FJT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4339 | PA      | $4489.30       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.7% 04/15/2050                                                                       | CUSIP: 30161NAY7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    3246000 | PA      | $2827485.30    | 0.01%             | 2050-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT1745                                                                     | CUSIP: 3138WN5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1075272 | PA      | $1007219.05    | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/25 #330420                                                                          | CUSIP: 31375CAV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $92.14         | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNMA 2004-24 ZM 5% 04/34                                                                          | CUSIP: 38374F2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     448870 | PA      | $441957.14     | 0.00%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                                                        | NAKILAT INC 6.067% 12/31/2033 144A                                                                | CUSIP: 62983PAA3<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |    6475473 | PA      | $6654762.83    | 0.02%             | 2033-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 12ML+187.9 10/42#849255                                                                  | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65364 | PA      | $65785.22      | 0.00%             | 2042-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 07/01/2043#V80168                                                                    | CUSIP: 3132L5FH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4251604 | PA      | $3868006.63    | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/46#BC3920                                                                         | CUSIP: 3140EYLA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162910 | PA      | $156700.22     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2045#AZ1709                                                                  | CUSIP: 3138YS3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168235 | PA      | $166145.68     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/29 #434182                                                                           | CUSIP: 36207KJ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $21.83         | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #404208                                                                           | CUSIP: 36205YAH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23777 | PA      | $24147.13      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/26 #402555                                                                           | CUSIP: 36205WE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1541 | PA      | $1569.88       | 0.00%             | 2026-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #711616                                                                          | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     272474 | PA      | $255387.71     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 7/42 #AO9368                                                                           | CUSIP: 3138M1MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57598 | PA      | $53856.18      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #704628                                                                           | CUSIP: 36296XYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50657 | PA      | $50779.50      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/25 #250350                                                                          | CUSIP: 31371FBT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.97          | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTG LN TR                                                               | LBMLT 2003-3 M1 1ML+75 7/33                                                                       | CUSIP: 542514EA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     716628 | PA      | $688021.06     | 0.00%             | 2033-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2045#G61419                                                                  | CUSIP: 31335BSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     337634 | PA      | $316030.74     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                                         | LEIDOS INC 3.625% 05/15/2025                                                                      | CUSIP: 52532XAD7<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   12349000 | PA      | $11858334.71   | 0.03%             | 2025-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 4/37 #916708                                                                           | CUSIP: 31411WNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1309 | PA      | $1398.54       | 0.00%             | 2037-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #623459                                                                           | CUSIP: 36291BTQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2437 | PA      | $2485.86       | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 05/01/2034#ZN6003                                                                  | CUSIP: 3131YCU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     550582 | PA      | $509401.88     | 0.00%             | 2034-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #636867                                                                           | CUSIP: 31389VQU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $168.78        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #455358                                                                          | CUSIP: 36208MZX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        136 | PA      | $140.35        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #426490                                                                           | CUSIP: 36207AXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        224 | PA      | $225.14        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7767                                                                  | CUSIP: 31417ETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1599546 | PA      | $1455367.10    | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE9949                                                                          | CUSIP: 31419MBT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50544 | PA      | $48797.36      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #434145                                                                           | CUSIP: 36207KHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2083 | PA      | $2150.62       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-16 ZD 6.50% 4/32                                                                         | CUSIP: 31392CVK7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      32735 | PA      | $33745.06      | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 04/01/2045#Q32568                                                                  | CUSIP: 3132QN2A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15615 | PA      | $14128.46      | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2048#CA1218                                                                  | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341003 | PA      | $334423.62     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.64% 1/35 #813730                                                                       | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39170 | PA      | $39084.96      | 0.00%             | 2035-01-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32008                                                                  | CUSIP: 3132QNGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1847078 | PA      | $1728316.31    | 0.01%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #433858                                                                           | CUSIP: 36207J5T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8565 | PA      | $8807.99       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #461139                                                                          | CUSIP: 36208UHQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        606 | PA      | $628.51        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/46#BC2843                                                                         | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4814462 | PA      | $4652010.53    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/23 #780373                                                                          | CUSIP: 36225AMW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $22.54         | 0.00%             | 2023-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/25 #415425                                                                           | CUSIP: 36206MPJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        641 | PA      | $646.75        | 0.00%             | 2025-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #582240                                                                           | CUSIP: 36201FZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1857 | PA      | $1943.97       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2860                                                                  | CUSIP: 3138EKFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98713 | PA      | $89329.13      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02592                                                                           | CUSIP: 3132GF2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     666164 | PA      | $660894.46     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2042#778794                                                                  | CUSIP: 36176W7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6383 | PA      | $5989.35       | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | 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        |   14578000 | PA      | $14439356.08   | 0.04%             | 2024-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                          | CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029                                                       | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |   15724000 | PA      | $13374893.68   | 0.04%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033                                               | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   47500000 | PA      | $38569075.18   | 0.11%             | 2033-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #423188                                                                          | CUSIP: 36206WCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        207 | PA      | $208.10        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2046#Q39250                                                                  | CUSIP: 3132QWH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28615 | PA      | $26721.61      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 01/01/2028#                                                                        | CUSIP: 31283G7J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $118.11        | 0.00%             | 2028-01-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 01/46#MA3377                                                                         | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62104 | PA      | $60031.04      | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#RA6604                                                                    | CUSIP: 3133KNKR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1928734 | PA      | $1698377.10    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.5% 8/44#AS3037                                                                             | CUSIP: 3138WCLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57767 | PA      | $54074.70      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   14500000 | NC      | $177978.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55725                                                                    | CUSIP: 3132XYLF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     818055 | PA      | $784278.05     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ7472                                                                          | CUSIP: 3138E0JS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36715 | PA      | $35560.82      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                                  | BX COMMERCIAL MORTGAGE TRUST 22-LP2 TSFR1M+196.27 02/15/2039 144A                                 | CUSIP: 05610HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14618429 | PA      | $13612373.78   | 0.04%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/23 #352026                                                                          | CUSIP: 36203LA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         88 | PA      | $87.82         | 0.00%             | 2023-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97528                                                                           | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115439 | PA      | $114524.80     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/29 #518019                                                                          | CUSIP: 36211NPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2492 | PA      | $2589.10       | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | 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        |       1027 | PA      | $1079.52       | 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        |    9743672 | PA      | $8845373.34    | 0.03%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/39 #670624                                                                           | CUSIP: 36295HAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21882 | PA      | $22506.40      | 0.00%             | 2039-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #729713                                                                           | CUSIP: 31402HVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12646 | PA      | $12484.27      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/39 #AC6795                                                                          | CUSIP: 31417TRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412383 | PA      | $408376.85     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2035#                                                                          | CUSIP: 31297S6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $321.98        | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 4683 LM 3% 05/15/2047                                                                         | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2608027 | PA      | $2464606.22    | 0.01%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.375% 02/01/2045                                                     | CUSIP: 92277GAF4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    3802000 | PA      | $2946945.98    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/26 #422511                                                                           | CUSIP: 36206VKY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         77 | PA      | $79.23         | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A                                | CUSIP: 14855MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10307675 | PA      | $7639801.00    | 0.02%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/23 #124920                                                                           | CUSIP: 31365DVM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $9.50          | 0.00%             | 2023-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 01/20/2045#MA2522                                                                    | CUSIP: 36179QYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     531220 | PA      | $515149.35     | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                                                      | CUSIP: 3136ANY68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    1820774 | PA      | $319409.95     | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 6/25 #394234                                                                           | CUSIP: 36205L4T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $26.31         | 0.00%             | 2025-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2042#AL2266                                                                  | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1267707 | PA      | $1185879.60    | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2052#QE4073                                                                    | CUSIP: 3133BDQ24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1497258 | PA      | $1504805.57    | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE REMIC TR 2007-075                                                       | GNR 2015-H17 GZ 4.4518% 05/65                                                                     | CUSIP: 38376REM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      87747 | PA      | $86018.88      | 0.00%             | 2065-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4428                                                                          | CUSIP: 31419E4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87285 | PA      | $84492.18      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 02/01/2033#ZS8685                                                                  | CUSIP: 3132A9UJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42850 | PA      | $39899.13      | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | 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        |   70596000 | PA      | $69823441.15   | 0.20%             | 2024-06-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 3.3% 07/01/2025                                                                    | CUSIP: 58013MFN9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    2498000 | PA      | $2416312.10    | 0.01%             | 2025-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.50% 11/30 #C01086                                                                          | CUSIP: 31292HF33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $25.01         | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2044#Q29663                                                                  | CUSIP: 3132MAML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     433537 | PA      | $429484.28     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #582099                                                                           | CUSIP: 36201FUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1773 | PA      | $1857.04       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35578                                                                             | CUSIP: 3132QSFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96733 | PA      | $87763.47      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 05/01/2030#ZK7367                                                                  | CUSIP: 3131XBFG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52630 | PA      | $49597.95      | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN INC                                                       | ANHEUSER-BUSCH INBEV FIN INC 4.9% 02/01/2046                                                      | CUSIP: 035242AN6<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |   50530000 | PA      | $45935570.87   | 0.13%             | 2046-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/42#G60488                                                                         | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4303259 | PA      | $4167944.25    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                      | CUSIP: 38380HC42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3512372 | PA      | $3209180.51    | 0.01%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #543989                                                                           | CUSIP: 36212UKA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20267 | PA      | $21036.06      | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/41 #773093                                                                           | CUSIP: 36176QUS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9915 | PA      | $9949.43       | 0.00%             | 2041-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 05/20/2047#MA4452                                                                      | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     895961 | PA      | $861576.55     | 0.00%             | 2047-05-20      | Fixed         | 0.04%                 | 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 EFX 5.5422% 07/05/2033 144A                            | CUSIP: 46645WBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7262000 | PA      | $6263026.21    | 0.02%             | 2033-07-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CRPT 2021                                                                          | CRPT 2021-RETL D 1ML+295 07/15/2034 144A                                                          | CUSIP: 12566BAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4851750 | PA      | $4723558.52    | 0.01%             | 2036-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #190284                                                                           | CUSIP: 31368HJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        904 | PA      | $934.04        | 0.00%             | 2027-07-01      | 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        |  273317000 | PA      | $251675844.67  | 0.73%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 11/01/2040#AB1801                                                                  | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3619704 | PA      | $3503116.83    | 0.01%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2047#Q51234                                                                    | CUSIP: 3132XTLQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63765 | PA      | $61292.10      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #379801                                                                           | CUSIP: 31377K3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2797 | PA      | $2898.37       | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 10/42 #Q11886                                                                          | CUSIP: 3132HNCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     558133 | PA      | $522654.31     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 08/01/2032#G18654                                                                  | CUSIP: 3128MMWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202758 | PA      | $189406.87     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2050#RA2362                                                                  | CUSIP: 3133KHTT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10270 | PA      | $9430.55       | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2039#AW0113                                                                    | CUSIP: 3138XPDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     642545 | PA      | $620061.17     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 10/01/2041#                                                                          | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11581934 | PA      | $9781091.65    | 0.03%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/25 #414089                                                                           | CUSIP: 36206K7A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        184 | PA      | $188.45        | 0.00%             | 2025-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #487516                                                                           | CUSIP: 36210BSD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4905 | PA      | $5084.73       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 12/39 #704808                                                                          | CUSIP: 36296YAH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79457 | PA      | $78172.27      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2047#BH6749                                                                  | CUSIP: 3140GVQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61166 | PA      | $56759.54      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/27 #412374                                                                          | CUSIP: 36206JCK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        217 | PA      | $223.34        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                                     | SHELL INTL FIN B V 4.375% 05/11/2045                                                              | CUSIP: 822582BF8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    6392000 | PA      | $5585305.44    | 0.02%             | 2045-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                         | MARSH and MCLENNAN COS INC 4.75% 03/15/2039                                                       | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    9035000 | PA      | $8302126.43    | 0.02%             | 2039-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #572167                                                                          | CUSIP: 31386STY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        637 | PA      | $661.22        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #737532                                                                          | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35702 | PA      | $34286.44      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 01/01/2053 #TBA                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -213850000 | PA      | $-185246108.32 | -0.54%            | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2040#V81792                                                                  | CUSIP: 3132L67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1423521 | PA      | $1331103.08    | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.472% 12/01/2040#AE0653                                                                 | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1081776 | PA      | $1094548.75    | 0.00%             | 2040-12-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                                  | BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A                               | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14618429 | PA      | $13863986.18   | 0.04%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8767                                                                  | CUSIP: 3138MQW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50212 | PA      | $45686.36      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.56% 6/33 #780605                                                                       | CUSIP: 31342AU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48634 | PA      | $48880.31      | 0.00%             | 2033-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #538864                                                                           | CUSIP: 36212NTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1708 | PA      | $1787.30       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/25 #416564                                                                          | CUSIP: 36206NWZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        215 | PA      | $217.93        | 0.00%             | 2025-10-15      | Fixed         | 0.07%                 | 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        |   10671967 | PA      | $10283645.75   | 0.03%             | 2032-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.25% 05/15/2042                                                      | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22470000 | PA      | $19699870.31   | 0.06%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/23 #352051                                                                          | CUSIP: 36203LBU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        124 | PA      | $124.41        | 0.00%             | 2023-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/29 #252492                                                                           | CUSIP: 31371HNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4927 | PA      | $5169.84       | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 04/01/2033   | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11421000 | PA      | $9772483.27    | 0.03%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/46#Q38879                                                                         | CUSIP: 3132QV2M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16355 | PA      | $15772.16      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/40 #727324                                                                           | CUSIP: 3620AEAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8978 | PA      | $8998.46       | 0.00%             | 2040-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.801% 2/33 #695019                                                                      | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        199 | PA      | $201.21        | 0.00%             | 2033-02-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #719216                                                                           | CUSIP: 3620A5AR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     202316 | PA      | $199114.47     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                     | MAGALLANES INC 3.755% 03/15/2027 144A                                                             | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   19757000 | PA      | $17791760.54   | 0.05%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 06/01/2030#J31908                                                                  | CUSIP: 31307NDM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57810 | PA      | $56072.81      | 0.00%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/46#AS7009                                                                         | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142870 | PA      | $132726.91     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR2943                                                                  | CUSIP: 3138W0HV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157600 | PA      | $143393.93     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2042#AJ5572                                                                  | CUSIP: 3138AXFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2776848 | PA      | $2686272.60    | 0.01%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/38 #988684                                                                           | CUSIP: 31415TJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50965 | PA      | $53433.50      | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2051#                                                                        | CUSIP: 3140QNGZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126482 | PA      | $115424.12     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2048#CA2506                                                                  | CUSIP: 3140Q9YC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1388752 | PA      | $1427417.23    | 0.00%             | 2048-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #646414                                                                           | CUSIP: 31390HDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1083 | PA      | $1147.37       | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #645346                                                                           | CUSIP: 31390F5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        109 | PA      | $115.94        | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#BV2214                                                                    | CUSIP: 3140MFN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454123 | PA      | $399884.82     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/26 #780299                                                                           | CUSIP: 36225AKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        109 | PA      | $110.63        | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #438403                                                                           | CUSIP: 36207QAC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        805 | PA      | $824.34        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 3/27 #256708                                                                           | CUSIP: 31371NDM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        516 | PA      | $522.37        | 0.00%             | 2027-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2162 PH 6 6/29                                                                                | CUSIP: 3133TLBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      14762 | PA      | $14974.17      | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AU0597                                                                  | CUSIP: 3138WZUX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47424 | PA      | $43105.01      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC                                      | SYMPHONY CLO XXVI LTD 2021-26A AR 3ML+108 04/20/2033 144A                                         | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   30228000 | PA      | $29360426.17   | 0.08%             | 2033-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/01/2040#G06023                                                                    | CUSIP: 3128M8AY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42569 | PA      | $41249.87      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/40 #AE3950                                                                           | CUSIP: 31419EL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29873 | PA      | $28894.77      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                                  | GENERAL MILLS INC 2.875% 04/15/2030                                                               | CUSIP: 370334CL6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    3013000 | PA      | $2603009.94    | 0.01%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 08/01/2032#J37452                                                                    | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156407 | PA      | $148657.26     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2998 LY 5.5 7/25                                                                              | CUSIP: 31395VV55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      25238 | PA      | $25269.76      | 0.00%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #748242                                                                          | CUSIP: 3620C4HT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35457 | PA      | $34004.20      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2012-76 GS -1ML+670 6/42                                                                      | CUSIP: 38375C5E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     351490 | PA      | $33326.15      | 0.00%             | 2042-06-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ4673                                                                  | CUSIP: 3138MLFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112914 | PA      | $102275.94     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 4/42 #G06993                                                                           | CUSIP: 3128M9C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205661 | PA      | $192744.57     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2046#V82292                                                                    | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     996326 | PA      | $960170.83     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2045#AL1539                                                                  | CUSIP: 36183WV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2983 | PA      | $2716.70       | 0.00%             | 2045-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #481840                                                                          | CUSIP: 31382GHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $96.88         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 7/27 #451326                                                                           | CUSIP: 36208HLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        504 | PA      | $522.25        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                                          | HEALTHPEAK PROPERTIES 3.4% 02/01/2025                                                             | CUSIP: 40414LAM1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     912000 | PA      | $877438.67     | 0.00%             | 2025-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2050#FM3830                                                                    | CUSIP: 3140X7HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51408619 | PA      | $45955459.62   | 0.13%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 6.50% 8/27 #256856                                                                      | CUSIP: 31371NH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12991 | PA      | $13208.69      | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                   | COMCAST CORP NEW 3.4% 04/01/2030                                                                  | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    6970000 | PA      | $6355534.21    | 0.02%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2045#AL4767                                                                  | CUSIP: 36184BJL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     207574 | PA      | $198751.52     | 0.00%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 02/01/2053 #TBA                                                                        | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  138900000 | PA      | $123785499.27  | 0.36%             | 2053-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 02/20/2050#BS8922                                                                      | CUSIP: 3617MK4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10440769 | PA      | $9310687.93    | 0.03%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/28 #418412                                                                           | CUSIP: 31379FYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        177 | PA      | $183.78        | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | 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        |   15770000 | PA      | $15979393.27   | 0.05%             | 2025-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                  | ARES CAPITAL CORP 4.2% 06/10/2024                                                                 | CUSIP: 04010LAX1<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   42554000 | PA      | $41079960.93   | 0.12%             | 2024-06-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2044#Q24572                                                                  | CUSIP: 3132M4W92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41012 | PA      | $40694.04      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | 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        |   33734000 | PA      | $31757187.60   | 0.09%             | 2025-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 04/20/2047#MA4383                                                                      | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5152460 | PA      | $4954723.35    | 0.01%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3258 PM 5.5 12/36                                                                             | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     111059 | PA      | $113483.88     | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2046#AS7009                                                                  | CUSIP: 3138WGYF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     820395 | PA      | $764883.99     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                     | BLACKSTONE PRIVATE CREDIT FUND 7.05% 09/29/2025 144A                                              | CUSIP: 09261HAY3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   39080000 | PA      | $38770176.50   | 0.11%             | 2025-09-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DRYDEN 98 CLO LTD                                                                  | DRYDEN 98 CLO LTD TSFR3M+130 04/20/2035 144A                                                      | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   19817000 | PA      | $19135770.81   | 0.06%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #323327                                                                          | CUSIP: 31374TD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3132 | PA      | $3235.55       | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 01/01/2053 #TBA                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  117900000 | PA      | $108324162.00  | 0.31%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3287 SD -1ML+675 3/37                                                                         | CUSIP: 31397G6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     573643 | PA      | $56799.12      | 0.00%             | 2037-03-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH6520                                                                  | CUSIP: 3138A8G67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17899 | PA      | $17324.40      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #416022                                                                          | CUSIP: 36206ND36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        883 | PA      | $899.44        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9459                                                                  | CUSIP: 3138WKQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54821 | PA      | $53883.02      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #458877                                                                           | CUSIP: 36208RXE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        408 | PA      | $419.94        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2042#AP3667                                                                  | CUSIP: 3138M7CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     806803 | PA      | $756779.46     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE GROUP INC                                                        | COLUMBIA PIPELINE GROUP INC 4.5% 06/01/2025                                                       | CUSIP: 198280AF6<br>LEI: 549300SRP1TQM9JJBG80 | Long             | DBT              | CORP              | US        |    6628000 | PA      | $6526679.35    | 0.02%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/26 #352776                                                                           | CUSIP: 31376D2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         21 | PA      | $21.84         | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-102 CO 0% 11/35                                                                          | CUSIP: 31394UHV7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      42765 | PA      | $36138.02      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 01/01/2025#                                                                        | CUSIP: 31292GM86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $13.65         | 0.00%             | 2025-01-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                          | FLATIRON CLO 20 LTD / LLC 3ML+130 11/20/2033 144A                                                 | CUSIP: 33883MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   36187000 | PA      | $35365627.47   | 0.10%             | 2033-11-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                       | COCA COLA CO 3.45% 03/25/2030                                                                     | CUSIP: 191216CT5<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |   14988000 | PA      | $13937997.22   | 0.04%             | 2030-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/41 #738002                                                                           | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118236 | PA      | $113539.10     | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5855                                                                    | CUSIP: 36196HQG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150918 | PA      | $144173.60     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/45#Q34946                                                                       | CUSIP: 3132QRP87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270352 | PA      | $244354.37     | 0.00%             | 2045-07-01      | 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        |   14753000 | PA      | $12157782.51   | 0.04%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #739352                                                                          | CUSIP: 3620ATL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     237295 | PA      | $222332.91     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 12/01/2050#BQ9522                                                                  | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229211 | PA      | $177265.55     | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2046#AT7623                                                                    | CUSIP: 36194GPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234807 | PA      | $224313.33     | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2050#CA6275                                                                    | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7729067 | PA      | $6382375.76    | 0.02%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513680                                                                           | CUSIP: 36211HUD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        215 | PA      | $222.82        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/29 #498978                                                                           | CUSIP: 31383CJX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        723 | PA      | $726.52        | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24                                    | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 2.684% 10/15/2049                                 | CUSIP: 95000HBE1<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |   17536259 | PA      | $16012545.62   | 0.05%             | 2049-10-15      | Fixed         | 0.03%                 | 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        |    3139000 | PA      | $2888440.50    | 0.01%             | 2027-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 5.8% 01/23/2059                                                    | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   55947000 | PA      | $57226229.27   | 0.17%             | 2059-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-73 SA -1ML+1755 8/35                                                                     | CUSIP: 31394EB64<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      10411 | PA      | $10628.81      | 0.00%             | 2035-08-25      | Variable      | 0.06%                 | 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        |    5038000 | PA      | $4443380.33    | 0.01%             | 2026-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/28 #457257                                                                          | CUSIP: 31381C5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2822 | PA      | $2883.98       | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #AB0042                                                                           | CUSIP: 31416VBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3299433 | PA      | $3259021.92    | 0.01%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/30 #590851                                                                           | CUSIP: 31387QL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38889 | PA      | $40492.54      | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #405830                                                                          | CUSIP: 31378QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        639 | PA      | $665.33        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/25 #250359                                                                          | CUSIP: 31371FB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        315 | PA      | $319.45        | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 1ML+45 02/20/2049                                                  | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3761831 | PA      | $3706844.04    | 0.01%             | 2049-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/24 #369524                                                                           | CUSIP: 36204GPH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         23 | PA      | $23.47         | 0.00%             | 2024-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                                                      | SEMPRA ENERGY 6% 10/15/2039                                                                       | CUSIP: 816851AP4<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    5386000 | PA      | $5442755.30    | 0.02%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2044#AX2369                                                                  | CUSIP: 3138Y3T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16801 | PA      | $16629.23      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 11/25 #415762                                                                          | CUSIP: 36206MZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $56.50         | 0.00%             | 2025-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2048#BN0399                                                                    | CUSIP: 3140JGNR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71244 | PA      | $67971.77      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE4056                                                                    | CUSIP: 31419EQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228689 | PA      | $221217.72     | 0.00%             | 2040-11-01      | 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 5.125% 02/01/2028 144A                         | CUSIP: 46590XAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15645000 | PA      | $14821645.27   | 0.04%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                            | ALABAMA POWER CO 3.05% 03/15/2032                                                                 | CUSIP: 010392FX1<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   29471000 | PA      | $25392180.59   | 0.07%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 03/20/2043#AA6146                                                                      | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     540937 | PA      | $489487.11     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    7650000 | NC      | $93899.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                           | TOYOTA MOTOR CREDIT CORP 3.375% 04/01/2030                                                        | CUSIP: 89236TGY5<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    9583000 | PA      | $8690699.46    | 0.03%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2014-25 HC 3% 2/44                                                                            | CUSIP: 38379AEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4128361 | PA      | $3779562.04    | 0.01%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/31 #614978                                                                          | CUSIP: 31388UFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1244 | PA      | $1317.77       | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #733784                                                                           | CUSIP: 3620AMFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25390 | PA      | $25498.42      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 5/42 #AO3760                                                                           | CUSIP: 3138LUFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1068435 | PA      | $1000199.38    | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726923                                                                           | CUSIP: 31402ESL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59506 | PA      | $58756.92      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH1256                                                                           | CUSIP: 3138A2ME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170666 | PA      | $165088.25     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #562581                                                                           | CUSIP: 36213R6S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        477 | PA      | $497.41        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | 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        |       1037 | PA      | $1076.13       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2050#BR8993                                                                    | CUSIP: 3617M77E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122665 | PA      | $113228.38     | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/23 #050930                                                                          | CUSIP: 313615ST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $40.96         | 0.00%             | 2023-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4763 SC 1ML+620 08/15/2047                                         | CUSIP: 3137F3MN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    5493779 | PA      | $605469.94     | 0.00%             | 2047-08-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #467737                                                                           | CUSIP: 36209CS23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        223 | PA      | $225.48        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727849                                                                           | CUSIP: 3620AETE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19123 | PA      | $18822.85      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #303884                                                                           | CUSIP: 31373URD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        512 | PA      | $521.19        | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #828064                                                                           | CUSIP: 31407D5Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4419 | PA      | $4597.79       | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE9860                                                                  | CUSIP: 36181D5V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8240 | PA      | $7717.02       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2046#G60824                                                                    | CUSIP: 31335A4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     779807 | PA      | $752726.67     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR 1ML+110 03/15/2036 144A                                                      | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4613079 | PA      | $4384433.50    | 0.01%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP6523                                                                           | CUSIP: 3138MAG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50650 | PA      | $47435.45      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2041#AH1582                                                                  | CUSIP: 3138A2XL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17985 | PA      | $17401.33      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | 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        |       2846 | PA      | $2975.95       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.375% 02/15/2042                                                     | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   95700000 | PA      | $73101602.97   | 0.21%             | 2042-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #723247                                                                          | CUSIP: 3620A9P88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5709 | PA      | $5617.19       | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/33 #727147                                                                           | CUSIP: 31402EZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60326 | PA      | $59575.60      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/35 #G01838                                                                           | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     687548 | PA      | $691979.49     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2040#AE0675                                                                  | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77601 | PA      | $76888.13      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.622/VAR 04/01/2031                                                               | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   41803000 | PA      | $36494166.15   | 0.11%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2043#MA1285                                                                    | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6136673 | PA      | $5773884.42    | 0.02%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2042#AP0495                                                                  | CUSIP: 3138M3RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171545 | PA      | $160395.79     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2046#Q38296                                                                    | CUSIP: 3132QVGE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     401383 | PA      | $386817.06     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 5.85% 07/15/2025                                                               | CUSIP: 24703TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5417000 | PA      | $5474584.12    | 0.02%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/29 #508278                                                                           | CUSIP: 36211BUB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        527 | PA      | $540.41        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                                                      | CUSIP: 3136A8PY0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     910130 | PA      | $41183.77      | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AU2962                                                                  | CUSIP: 3138X2JG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28971 | PA      | $26305.72      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #711463                                                                          | CUSIP: 36297GML1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26783 | PA      | $26364.22      | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 11/34 #605771                                                                          | CUSIP: 36200N6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6664 | PA      | $6915.51       | 0.00%             | 2034-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2029#                                                                          | CUSIP: 31293JKZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        248 | PA      | $253.29        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/35 #G01818                                                                           | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106698 | PA      | $107475.71     | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #458667                                                                          | CUSIP: 36208RQU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        229 | PA      | $237.75        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                   | COMCAST CORP NEW 3.3% 04/01/2027                                                                  | CUSIP: 20030NDK4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    6795000 | PA      | $6403444.38    | 0.02%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 3.875% 07/03/2023                                                                  | CUSIP: 00912XBC7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    1190000 | PA      | $1179253.00    | 0.00%             | 2023-07-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96876                                                                           | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124198 | PA      | $123214.79     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #698433                                                                           | CUSIP: 36296Q4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41227 | PA      | $41374.05      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 08/01/2052#QE7754                                                                    | CUSIP: 3133BHTK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1439027 | PA      | $1438635.91    | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723228                                                                          | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18952 | PA      | $19000.75      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9632                                                                    | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12887348 | PA      | $11429711.23   | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2052#QE2376                                                                    | CUSIP: 3133BBT90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     535789 | PA      | $538490.15     | 0.00%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 12/01/2032#G18669                                                                  | CUSIP: 3128MMW74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7178415 | PA      | $6705742.08    | 0.02%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 4.862% 08/21/2046                                                      | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   27196000 | PA      | $24377316.81   | 0.07%             | 2046-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #564706                                                                           | CUSIP: 36213UKT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $22.18         | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97620                                                                           | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20523 | PA      | $20360.25      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 9/42 #Q11420                                                                           | CUSIP: 3132HMSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52672 | PA      | $49246.31      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.25% 03/14/2024                                                                | CUSIP: 404280AP4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   10444000 | PA      | $10258611.79   | 0.03%             | 2024-03-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#BV0350                                                                    | CUSIP: 3140MDL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13003048 | PA      | $11437849.12   | 0.03%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #464231                                                                          | CUSIP: 36208XVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3078 | PA      | $3174.44       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 10/01/2027#                                                                        | CUSIP: 31292GTL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        206 | PA      | $214.10        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NUVEEN FINANCE LLC                                                                 | NUVEEN FINANCE LLC 4.125% 11/01/2024 144A                                                         | CUSIP: 87246YAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8401000 | PA      | $8177466.86    | 0.02%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/25 #780453                                                                          | CUSIP: 36225AQE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2225 | PA      | $2267.86       | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #718334                                                                           | CUSIP: 3620A4BB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5295 | PA      | $5310.10       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#RA6076                                                                    | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36101748 | PA      | $29630971.90   | 0.09%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/26 #404732                                                                           | CUSIP: 36205YSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        215 | PA      | $220.56        | 0.00%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2049#RA1859                                                                    | CUSIP: 3133KHB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7793 | PA      | $6937.13       | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/01/2051#BR9514                                                                    | CUSIP: 3140L8SC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1613985 | PA      | $1425381.09    | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2051#FM9973                                                                    | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7684850 | PA      | $6830056.55    | 0.02%             | 2051-08-01      | Fixed         | 0.03%                 | 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        |   21306000 | PA      | $19412866.66   | 0.06%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745231                                                                           | CUSIP: 3620C04Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     251065 | PA      | $247137.66     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.967% 8/41#AI8879                                                                       | CUSIP: 3138AN2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53020 | PA      | $53549.73      | 0.00%             | 2041-08-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.65% 10/29/2024                               | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   47436000 | PA      | $43754980.16   | 0.13%             | 2024-10-29      | Fixed         | 0.02%                 | 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        |   13344157 | PA      | $12917432.28   | 0.04%             | 2031-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6% 06/15/2048                                                                  | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   26826000 | PA      | $24182239.49   | 0.07%             | 2048-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2048#V83906                                                                    | CUSIP: 3132L9KT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     872096 | PA      | $835270.94     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 4.5% 09/15/2042                                                             | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   19701000 | PA      | $14423191.94   | 0.04%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #502272                                                                           | CUSIP: 36210T6H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1426 | PA      | $1475.71       | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/26 #349340                                                                           | CUSIP: 31376ABH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        153 | PA      | $157.26        | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/25 #250340                                                                           | CUSIP: 31371FBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $16.96         | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #639103                                                                           | CUSIP: 31389YAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        161 | PA      | $171.17        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.12% 10/36 #1A1201                                                                      | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67070 | PA      | $66942.04      | 0.00%             | 2036-10-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3189 PD 6% 7/36                                                                               | CUSIP: 31396UAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     253762 | PA      | $262664.04     | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | 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        |   28200000 | PA      | $27613636.27   | 0.08%             | 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        |      17921 | PA      | $18742.27      | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/28 #453481                                                                          | CUSIP: 31380XXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        242 | PA      | $244.22        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/23 #334644                                                                           | CUSIP: 36224PWD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         33 | PA      | $33.00         | 0.00%             | 2023-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #450349                                                                           | CUSIP: 36208GH27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        886 | PA      | $914.30        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479430                                                                          | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     592559 | PA      | $568637.63     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #572257                                                                           | CUSIP: 36200TWS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9603 | PA      | $9807.94       | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2039#AS2011                                                                    | CUSIP: 3138WBGV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1176476 | PA      | $1135675.92    | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 2043 ZH 6% 4/28                                                                               | CUSIP: 3133TDPN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      31466 | PA      | $31897.31      | 0.00%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE7390                                                                         | CUSIP: 31419JF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272924 | PA      | $264332.76     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 08/20/2043#MA1224                                                                    | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7622 | PA      | $7171.75       | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                                             | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265878 | PA      | $254118.93     | 0.00%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 3.6% 11/01/2024                                                    | CUSIP: 72650RBF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6641000 | PA      | $6420633.56    | 0.02%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2041#769171                                                                    | CUSIP: 36176LJQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7413 | PA      | $7218.43       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 2.943%/VAR 01/21/2033                                                              | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $14157120.43   | 0.04%             | 2033-01-21      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 04/01/2041#RB5107                                                                  | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2137843 | PA      | $1748215.62    | 0.01%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-52 YZ 6.5% 10/31                                                                         | CUSIP: 313921MN5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       9730 | PA      | $10013.39      | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #401913                                                                          | CUSIP: 31378LN65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $131.78        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#FM7401                                                                  | CUSIP: 3140XBGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24407029 | PA      | $20920050.35   | 0.06%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 2.328% 07/15/2052 144A                                                               | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8041000 | PA      | $6742764.47    | 0.02%             | 2052-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2050#CA6312                                                                    | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5499883 | PA      | $4911327.74    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | 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        |      10151 | PA      | $10591.15      | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/41 #Q00736                                                                           | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153084 | PA      | $151802.67     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #506458                                                                           | CUSIP: 31383LTP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $147.19        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH3520                                                                  | CUSIP: 3138A44E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200336 | PA      | $193845.50     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 05/01/2029#                                                                          | CUSIP: 31293QHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        283 | PA      | $288.60        | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #468589                                                                           | CUSIP: 36209DRJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23967 | PA      | $25101.09      | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 7/25 #780195                                                                           | CUSIP: 36225AGC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        292 | PA      | $297.08        | 0.00%             | 2025-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 04/01/2032#                                                                          | CUSIP: 31287RQL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4653 | PA      | $4952.51       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/37 #670111                                                                           | CUSIP: 36295GN40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2410 | PA      | $2471.44       | 0.00%             | 2037-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34598                                                                    | CUSIP: 31307RDB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202458 | PA      | $193122.46     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783276                                                                           | CUSIP: 36241LT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35870 | PA      | $35311.21      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.95% 04/21/2025                                                      | CUSIP: 06051GFP9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   19377000 | PA      | $18857852.00   | 0.05%             | 2025-04-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2047#Q48754                                                                    | CUSIP: 3132WNWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11803693 | PA      | $11360595.46   | 0.03%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2041#778597                                                                  | CUSIP: 36176WX22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4588 | PA      | $4405.44       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #455324                                                                          | CUSIP: 36208MYV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        275 | PA      | $281.37        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #461047                                                                          | CUSIP: 36208UEU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        294 | PA      | $304.63        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK8237                                                                           | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1339444 | PA      | $1295319.43    | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738418                                                                           | CUSIP: 3620ASK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13628 | PA      | $13675.33      | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AE9269                                                                           | CUSIP: 31419LJP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26779 | PA      | $25915.85      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2033#AL5321                                                                  | CUSIP: 3138EM4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90787 | PA      | $89657.58      | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2040#A94586                                                                  | CUSIP: 312943CX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218933 | PA      | $217197.64     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AD9112                                                                  | CUSIP: 36180NDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48875 | PA      | $45772.39      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07573                                                                           | CUSIP: 3132GSXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58791 | PA      | $57014.41      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA 1ML+20 04/63                                             | CUSIP: 38376RFZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      20533 | PA      | $20201.53      | 0.00%             | 2063-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2046#Q39899                                                                    | CUSIP: 3132QW7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38597 | PA      | $37195.96      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | 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        |   86567000 | PA      | $81064467.33   | 0.23%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 83 CLO LTD                                                                  | DRYDEN 83 CLO LTD 3ML+122 01/18/2032 144A                                                         | CUSIP: 26246EAC2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |   22160000 | PA      | $21799035.76   | 0.06%             | 2032-01-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 04/01/2032#                                                                          | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15702 | PA      | $16564.77      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2044#Q25663                                                                  | CUSIP: 3132M55Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38450 | PA      | $37150.76      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #794581                                                                           | CUSIP: 36177PCT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165351 | PA      | $155349.08     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2042#AK6743                                                                    | CUSIP: 3138EBP58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140041 | PA      | $135427.05     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 4/41 #005017                                                                        | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     671855 | PA      | $665001.72     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #710987                                                                          | CUSIP: 36297F2U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17011 | PA      | $17067.45      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AS0961                                                                  | CUSIP: 3138WAB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134624 | PA      | $122236.53     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | 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        |   38495000 | PA      | $33672346.40   | 0.10%             | 2027-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #552620                                                                           | CUSIP: 36213E4D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        496 | PA      | $518.98        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEERE and CO                                                                       | DEERE and CO 3.1% 04/15/2030                                                                      | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    9897000 | PA      | $8863079.71    | 0.03%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/47#AS9614                                                                       | CUSIP: 3138WKVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102515 | PA      | $100761.68     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #840657                                                                           | CUSIP: 31407T5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2579 | PA      | $2687.76       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727850                                                                           | CUSIP: 3620AETF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30371 | PA      | $29876.21      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7374                                                                    | CUSIP: 31419JFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208097 | PA      | $201381.51     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/30 #538847                                                                           | CUSIP: 31385ATC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        269 | PA      | $272.96        | 0.00%             | 2030-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #704984                                                                           | CUSIP: 36296YFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41378 | PA      | $41463.88      | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #451459                                                                           | CUSIP: 36208HQL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         30 | PA      | $30.84         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/30 #526311                                                                           | CUSIP: 36211XVC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        482 | PA      | $498.08        | 0.00%             | 2030-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                      | BX TRUST 2019 1ML+185 10/15/2036 144A                                                             | CUSIP: 056054AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29835850 | PA      | $28793504.74   | 0.08%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 2/37 #A57709                                                                           | CUSIP: 3128KLR66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3045 | PA      | $3225.00       | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2033#G16661                                                                  | CUSIP: 3128MFTS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6989272 | PA      | $6529054.01    | 0.02%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/23 #780863                                                                          | CUSIP: 36225A5Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        155 | PA      | $155.63        | 0.00%             | 2023-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#AL8321                                                                    | CUSIP: 3138ETG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2690452 | PA      | $2597988.77    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NBC UNIVERSAL INC                                                                  | NBC UNVL INC 5.95% 04/01/2041                                                                     | CUSIP: 63946BAG5<br>LEI: VTBDOQJ6KOGQ6K786R46 | Long             | DBT              | CORP              | US        |    6541000 | PA      | $6810690.60    | 0.02%             | 2041-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.25% 12/15/2027                                                                     | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   19645000 | PA      | $18424322.76   | 0.05%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.54% 12/39 #AC8301                                                                      | CUSIP: 31417VGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29766 | PA      | $29948.34      | 0.00%             | 2039-12-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #709061                                                                          | CUSIP: 36297DWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26091 | PA      | $25050.46      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 12/01/2045#Q37749                                                                  | CUSIP: 3132QUTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     784212 | PA      | $707820.16     | 0.00%             | 2045-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2042#AK3402                                                                  | CUSIP: 3138E7X82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5681 | PA      | $5492.76       | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.75% 05/15/2046                                                                     | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $8454141.20    | 0.02%             | 2046-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2043#AB9671                                                                  | CUSIP: 31417GW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1423326 | PA      | $1333245.41    | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                                  | CBRE SERVICES INC 4.875% 03/01/2026                                                               | CUSIP: 12505BAD2<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   19900000 | PA      | $19646293.31   | 0.06%             | 2026-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 11/20/2050#MA6996                                                                      | CUSIP: 36179VXZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18895502 | PA      | $16969876.68   | 0.05%             | 2050-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.4% 10/01/2047                                                                | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6651000 | PA      | $5633778.77    | 0.02%             | 2047-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #458374                                                                           | CUSIP: 36208RFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        909 | PA      | $931.42        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AFLAC INC                                                                          | AFLAC INC 3.6% 04/01/2030                                                                         | CUSIP: 001055BJ0<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |    9937000 | PA      | $8994130.84    | 0.03%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #733601                                                                           | CUSIP: 3620AMAA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1902 | PA      | $1909.82       | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2035#A38837                                                                  | CUSIP: 31297UZA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35520 | PA      | $35147.24      | 0.00%             | 2035-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #837280                                                                           | CUSIP: 31407QFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3181 | PA      | $3312.86       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #729548                                                                           | CUSIP: 3620AGP90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3877 | PA      | $3888.82       | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2040#                                                                          | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18132 | PA      | $15403.57      | 0.00%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/01/2047#Q50433                                                                    | CUSIP: 3132XSPT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152779 | PA      | $146853.12     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | 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        |   29470000 | PA      | $22736411.49   | 0.07%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 05/01/2031#                                                                        | CUSIP: 31298VSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        577 | PA      | $608.89        | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                        | GSMS 2021-IP B 1ML+170 10/15/2036 144A                                                            | CUSIP: 36262MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2773000 | PA      | $2546744.55    | 0.01%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.95% 02/15/2030                                                               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   38231000 | PA      | $36392751.83   | 0.11%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #398564                                                                           | CUSIP: 31378GWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         65 | PA      | $67.14         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 01/01/2053 #TBA                                                                        | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  287300000 | PA      | $255891358.45  | 0.74%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2031#AS8387                                                                  | CUSIP: 3138WJJ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125058 | PA      | $117072.27     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 11/41 #005233                                                                       | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     145637 | PA      | $140320.76     | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 6.50% 11/26 #D97105                                                                     | CUSIP: 3128E33N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10429 | PA      | $10562.96      | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55661                                                                    | CUSIP: 3132XYJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     492171 | PA      | $471849.35     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2037#                                                                          | CUSIP: 3128L1GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2129 | PA      | $2153.11       | 0.00%             | 2037-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/38 #889983                                                                          | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146533 | PA      | $153219.15     | 0.00%             | 2038-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 6/41 #AB3143                                                                           | CUSIP: 31416YP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410932 | PA      | $397951.65     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 3.875% 11/05/2025                                                                      | CUSIP: 91529YAL0<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   16863000 | PA      | $16102480.22   | 0.05%             | 2025-11-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 5/1/43 #AT2720                                                                     | CUSIP: 3138WQAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1399842 | PA      | $1273664.35    | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 05/01/2026#                                                                        | CUSIP: 31283GRD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.61         | 0.00%             | 2026-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2046#BD5247                                                                  | CUSIP: 3140FCZM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20419 | PA      | $19037.28      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2008-12 SG -1ML+635 3/38                                                                      | CUSIP: 31396YMM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     426889 | PA      | $41738.45      | 0.00%             | 2038-03-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 359 19 6% 7/35                                                                                | CUSIP: 3136FCUL8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      20430 | PA      | $3913.42       | 0.00%             | 2035-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#CB2289                                                                  | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21299292 | PA      | $18149812.35   | 0.05%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2046#Q45023                                                                  | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     582316 | PA      | $542873.37     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | 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        |        243 | PA      | $255.69        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #517827                                                                           | CUSIP: 31384AHC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4131 | PA      | $4362.59       | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #490977                                                                          | CUSIP: 36210FM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1169 | PA      | $1207.81       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/40 #AC9247                                                                           | CUSIP: 31417WHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8244 | PA      | $8168.30       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #303913                                                                           | CUSIP: 31373USA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1729 | PA      | $1761.40       | 0.00%             | 2026-05-01      | 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        |   10516000 | PA      | $9257690.14    | 0.03%             | 2050-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/35 #G01839                                                                           | CUSIP: 3128LXBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19686 | PA      | $19810.64      | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.5% 02/15/2041 144A                                                                 | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   49365000 | PA      | $35050818.04   | 0.10%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/24 #369534                                                                           | CUSIP: 36204GPT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10 | PA      | $9.68          | 0.00%             | 2024-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 03/01/2049#BN5332                                                                  | CUSIP: 3140JM4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1243412 | PA      | $1278030.82    | 0.00%             | 2049-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #648542                                                                           | CUSIP: 31390KP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3998 | PA      | $4262.02       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022-BMR2 C TSFR1M+209.31 05/15/2039 144A                           | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19262000 | PA      | $18634698.30   | 0.05%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 2.75% 03/15/2027                                                                      | CUSIP: 30161NBB6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    6523000 | PA      | $5982141.80    | 0.02%             | 2027-03-15      | 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        |   20381000 | PA      | $20134476.52   | 0.06%             | 2024-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 6/39 #714690                                                                           | CUSIP: 36297K7B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2019 | PA      | $2072.10       | 0.00%             | 2039-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2041#AI3147                                                                  | CUSIP: 3138AGP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13595 | PA      | $13469.91      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2045#AY5719                                                                  | CUSIP: 3138YKK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247662 | PA      | $244972.88     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #465988                                                                           | CUSIP: 36209AUM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        670 | PA      | $687.71        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 07/15/2043#AF1083                                                                  | CUSIP: 36181GFY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31296 | PA      | $29310.01      | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.00% 1/41#AH3161                                                                       | CUSIP: 3138A4QP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34484 | PA      | $33355.61      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AQ1281                                                                  | CUSIP: 3138MGM77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12058 | PA      | $10971.39      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #587974                                                                           | CUSIP: 36201NFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1104 | PA      | $1138.83       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #452322                                                                           | CUSIP: 36208JPF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5633 | PA      | $5802.55       | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/40 #AE3874                                                                          | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177491 | PA      | $175864.01     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60553                                                                  | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16934250 | PA      | $15834841.43   | 0.05%             | 2046-05-01      | Fixed         | 0.04%                 | 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        |         85 | PA      | $87.73         | 0.00%             | 2029-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #427235                                                                           | CUSIP: 36207BSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        459 | PA      | $472.68        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 07/20/2040#004737                                                                  | CUSIP: 36202FHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8635 | PA      | $8479.65       | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/26 #334999                                                                           | CUSIP: 31375HDC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        193 | PA      | $195.91        | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 6.45% 11/03/2036 144A                                                       | CUSIP: 26439XAH6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   10621000 | PA      | $10407763.03   | 0.03%             | 2036-11-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #584369                                                                           | CUSIP: 36201JFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        756 | PA      | $790.25        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7271                                                                  | CUSIP: 31417ECH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7691 | PA      | $6958.64       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 04/01/2041#Q00409                                                                  | CUSIP: 3132GDN24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37864 | PA      | $38386.74      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/01/2045#Q37853                                                                    | CUSIP: 3132QUWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122426 | PA      | $118136.36     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033                                                      | CUSIP: 3137AXRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     150177 | PA      | $12361.47      | 0.00%             | 2033-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2041#AE1147                                                                  | CUSIP: 31419BHZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94420 | PA      | $91305.97      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #443220                                                                           | CUSIP: 36207VK96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        541 | PA      | $552.46        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/40 #A95028                                                                          | CUSIP: 312943SR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18378 | PA      | $18601.42      | 0.00%             | 2040-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 11/20/2040#004850                                                                  | CUSIP: 36202FL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     221578 | PA      | $217602.27     | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #635855                                                                          | CUSIP: 36291RMC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25512 | PA      | $26785.15      | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q16893                                                                  | CUSIP: 3132J8C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34386 | PA      | $32239.44      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2048#BK7888                                                                  | CUSIP: 3140HMXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     633177 | PA      | $650805.90     | 0.00%             | 2048-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                      | CALIFORNIA ST BUILD AMERICA BONDS                                                                 | CUSIP: 13063BFR8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1640000 | PA      | $2071124.68    | 0.01%             | 2040-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #449952                                                                           | CUSIP: 36208FZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        660 | PA      | $680.18        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #826613                                                                           | CUSIP: 31407CK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10499 | PA      | $10926.33      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/35 #A36061                                                                           | CUSIP: 31297RWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3174 | PA      | $3195.77       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/41 #489787                                                                          | CUSIP: 36210ECY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     378460 | PA      | $355665.73     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #582277                                                                           | CUSIP: 36201F2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8927 | PA      | $9358.74       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #313853                                                                          | CUSIP: 31374GTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $184.04        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2043#AU3742                                                                  | CUSIP: 3138X3EQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5538 | PA      | $5187.42       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726928                                                                           | CUSIP: 31402ESR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40012 | PA      | $39519.04      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2047#Q51189                                                                    | CUSIP: 3132XTKB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     314567 | PA      | $302365.06     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 8/31 #003120                                                                         | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        565 | PA      | $587.35        | 0.00%             | 2031-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3434                                                                    | CUSIP: 3133B0Y72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1769287 | PA      | $1451059.45    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/26 #358464                                                                           | CUSIP: 31376LFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2236 | PA      | $2296.62       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/44#AW5561                                                                       | CUSIP: 3138XVFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22006 | PA      | $22350.77      | 0.00%             | 2044-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #750197                                                                           | CUSIP: 3620C6NN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6295 | PA      | $6195.50       | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 10YR 2.5% 10/01/2029#MA3795                                                                  | CUSIP: 31418DGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     662443 | PA      | $623453.29     | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 10/01/2035#AS6048                                                                  | CUSIP: 3138WFWJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179151 | PA      | $170892.03     | 0.00%             | 2035-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/41 #G06596                                                                           | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6109699 | PA      | $6189719.55    | 0.02%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042                                           | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     266701 | PA      | $242111.00     | 0.00%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AD2454                                                                  | CUSIP: 36180DWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108035 | PA      | $98606.03      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3806 UP 4.5% 2/41                                                                             | CUSIP: 3137A6ZL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     573888 | PA      | $565868.66     | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/27 #780651                                                                          | CUSIP: 36225AWL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5524 | PA      | $5642.62       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34571                                                                    | CUSIP: 31307RCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     296338 | PA      | $282673.03     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2044#V81065                                                                  | CUSIP: 3132L6FE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31371 | PA      | $31098.30      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/46#Q38783                                                                         | CUSIP: 3132QVXM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     762850 | PA      | $735167.20     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5% 01/01/2053 #TBA                                                                      | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   42300000 | PA      | $41711784.66   | 0.12%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/28 #323424                                                                          | CUSIP: 31374TG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2018 | PA      | $2092.08       | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #698479                                                                           | CUSIP: 36296Q6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46178 | PA      | $44398.32      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 7/40 #AD9889                                                                           | CUSIP: 31418X7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14688 | PA      | $14861.16      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2040#V82091                                                                  | CUSIP: 3132L7KC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     658465 | PA      | $615715.70     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 3.875% 03/26/2025                                                                   | CUSIP: 172967JL6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   35450000 | PA      | $34466858.41   | 0.10%             | 2025-03-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 05/01/2027#                                                                        | CUSIP: 31283GYN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        137 | PA      | $141.16        | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 4.3% 04/01/2027                                                                         | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   23059000 | PA      | $22022574.28   | 0.06%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#A95413                                                                  | CUSIP: 312944AN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56268 | PA      | $55821.10      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2049#CA3384                                                                  | CUSIP: 3140QAXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     399997 | PA      | $411134.05     | 0.00%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2046#Q39846                                                                    | CUSIP: 3132QW5G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144793 | PA      | $139538.70     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #433517                                                                          | CUSIP: 36207JSE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $116.27        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AA4757                                                                          | CUSIP: 31416NJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136581 | PA      | $132138.09     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 05/01/2027#                                                                        | CUSIP: 31283GYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $174.27        | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   36250000 | PA      | $32967656.75   | 0.10%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726949                                                                           | CUSIP: 31402ETE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147283 | PA      | $145433.55     | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 05/20/2050#MA6656                                                                      | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1943214 | PA      | $1748977.93    | 0.01%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MA 2016-H20 FM 1ML+40 12/20/2062                                                   | CUSIP: 38376RYJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      41560 | PA      | $40656.44      | 0.00%             | 2062-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/34 #AL2130                                                                          | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321596 | PA      | $333056.70     | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | 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        |        675 | PA      | $695.04        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ1886                                                                  | CUSIP: 3138MHCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33060 | PA      | $29959.60      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/25 #780213                                                                           | CUSIP: 36225AGW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        181 | PA      | $183.17        | 0.00%             | 2025-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2051#MA4239                                                                    | CUSIP: 31418DV90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49114 | PA      | $43520.86      | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                                               | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    4373780 | PA      | $4399048.94    | 0.01%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #469164                                                                           | CUSIP: 36209EFD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        116 | PA      | $118.25        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 08/01/2035#                                                                          | CUSIP: 31297SW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1703 | PA      | $1716.49       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/40 #A90893                                                                           | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     287505 | PA      | $290913.68     | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #436264                                                                           | CUSIP: 36207MTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        222 | PA      | $228.28        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #353768                                                                           | CUSIP: 36203M6D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        487 | PA      | $501.37        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/39 #670200                                                                           | CUSIP: 36295GRV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24923 | PA      | $25595.53      | 0.00%             | 2039-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q17578                                                                  | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     429856 | PA      | $403023.62     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer