# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001410368-25-027762
**Filing Date:** 2025-11
**Character Count:** 758001
**Document Hash:** 79e67346960add862c60af4b4e308a3f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-027762.hdr.sgml**: 20251121

**ACCESSION NUMBER**: 0001410368-25-027762

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251121

**DATE AS OF CHANGE**: 20251121

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 251504955

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments**

September 30, 2025 (unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Principal** <br>**Amount°**<br>| **Value** <br>**(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–4.49%** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–4.49%** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–4.49%** |
| Federal Home Loan Mortgage Corp. REMICS | Federal Home Loan Mortgage Corp. REMICS | Federal Home Loan Mortgage Corp. REMICS |
| &nbsp;&nbsp;&nbsp; \*•Series 3973 Class SA 2.00% <br> (6.38% minus 30 day USD <br> SOFR Average) 12/15/41<br>| 91752 | $10079 |
| &nbsp;&nbsp;&nbsp; Series 4793 Class CB 3.00% <br> 5/15/48<br>| 124967 | 110937 |
| &nbsp;&nbsp;&nbsp; Series 4793 Class CD 3.00% <br> 6/15/48<br>| 82640 | 72988 |
| &nbsp;&nbsp;&nbsp; Series 4813 Class CJ 3.00% <br> 8/15/48<br>| 75563 | 65644 |
| &nbsp;&nbsp;&nbsp; \*Series 4980 Class KI 4.50% <br> 6/25/50<br>| 747658 | 167728 |
| &nbsp;&nbsp;&nbsp; Series 4991 Class QV 2.00% <br> 9/25/45<br>| 88938 | 77360 |
| &nbsp;&nbsp;&nbsp; \*Series 5010 Class IK 2.50% <br> 9/25/50<br>| 117333 | 18273 |
| &nbsp;&nbsp;&nbsp; \*Series 5010 Class JI 2.50% <br> 9/25/50<br>| 283360 | 47054 |
| &nbsp;&nbsp;&nbsp; \*Series 5013 Class IN 2.50% <br> 9/25/50<br>| 70484 | 11758 |
| &nbsp;&nbsp;&nbsp; \*Series 5018 Class MI 2.00% <br> 10/25/50<br>| 220294 | 29784 |
| &nbsp;&nbsp;&nbsp; \*Series 5059 Class IB 2.50% <br> 1/25/51<br>| 449118 | 75420 |
| &nbsp;&nbsp;&nbsp; Series 5092 Class AP 2.00% <br> 4/25/41<br>| 131395 | 115868 |
| &nbsp;&nbsp;&nbsp; \*Series 5093 Class IY 4.50% <br> 12/25/50<br>| 408941 | 93146 |
| &nbsp;&nbsp;&nbsp; \*Series 5118 Class NI 2.00% <br> 2/25/51<br>| 681618 | 90190 |
| &nbsp;&nbsp;&nbsp; \*Series 5140 Class NI 2.50% <br> 5/25/49<br>| 390118 | 55503 |
| &nbsp;&nbsp;&nbsp; \*Series 5148 Class BI 2.50% <br> 1/25/49<br>| 1022063 | 151903 |
| &nbsp;&nbsp;&nbsp; \*Series 5148 Class CI 2.00% <br> 6/25/49<br>| 411415 | 52107 |
| &nbsp;&nbsp;&nbsp; \*Series 5159 Class IP 3.00% <br> 11/25/51<br>| 628035 | 90495 |
| &nbsp;&nbsp;&nbsp; \*Series 5161 IO 2.00% <br> 3/25/51<br>| 733649 | 106282 |
| &nbsp;&nbsp;&nbsp; \*Series 5179 Class GI 2.50% <br> 1/25/52<br>| 793334 | 133167 |
| &nbsp;&nbsp;&nbsp; \*Series 5202 Class IN 3.00% <br> 1/25/47<br>| 277065 | 36739 |
| &nbsp;&nbsp;&nbsp; Series 5224 Class HL 4.00% <br> 4/25/52<br>| 400000 | 369345 |
| &nbsp;&nbsp;&nbsp; \*Series 5293 Class CI 2.50% <br> 4/25/51<br>| 1428331 | 227829 |
| &nbsp;&nbsp;&nbsp; \*Series 5293 IO 2.00% <br> 3/25/51<br>| 836926 | 105797 |
| &nbsp;&nbsp;&nbsp; \*Series 5377 IO 2.50% <br> 12/25/51<br>| 766384 | 96430 |
| &nbsp;&nbsp;&nbsp; \*Series 5389 Class IC 4.50% <br> 11/25/51<br>| 423590 | 92924 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; Federal Home Loan Mortgage <br> Corp. Seasoned Credit Risk <br> Transfer Trust Series 2024-1 <br> Class MT 3.00% 11/25/63<br>| 366133 | $306172 |
| •Federal Home Loan Mortgage Corp. STACR REMICS Trust | •Federal Home Loan Mortgage Corp. STACR REMICS Trust | •Federal Home Loan Mortgage Corp. STACR REMICS Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-DNA2 Class M2 <br> 6.66% (30 day USD SOFR <br> Average + 2.30%) 8/25/33<br>| 165302 | 168854 |
| &nbsp;&nbsp;&nbsp; Series 2021-DNA6 Class M2 <br> 5.86% (30 day USD SOFR <br> Average + 1.50%) 10/25/41<br>| 667662 | 670180 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA2 Class M1A <br> 5.66% (30 day USD SOFR <br> Average + 1.30%) 2/25/42<br>| 222541 | 222994 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA3 Class M1B <br> 7.26% (30 day USD SOFR <br> Average + 2.90%) 4/25/42<br>| 830000 | 853637 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA4 Class M1B <br> 7.71% (30 day USD SOFR <br> Average + 3.35%) 5/25/42<br>| 990000 | 1028134 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA5 Class M1B <br> 8.86% (30 day USD SOFR <br> Average + 4.50%) 6/25/42<br>| 240000 | 253736 |
| &nbsp;&nbsp;&nbsp; Series 2024-DNA1 Class M2 <br> 6.31% (30 day USD SOFR <br> Average + 1.95%) 2/25/44<br>| 470000 | 474903 |
| &nbsp;&nbsp;&nbsp; Series 2025-DNA1 Class M2 <br> 5.71% (30 day USD SOFR <br> Average + 1.35%) 1/25/45<br>| 1050000 | 1049996 |
| \*•Federal Home Loan Mortgage Corp. STRIPS | \*•Federal Home Loan Mortgage Corp. STRIPS | \*•Federal Home Loan Mortgage Corp. STRIPS |
| &nbsp;&nbsp;&nbsp; Series 334 Class S7 1.61% <br> (5.99% minus 30 day USD <br> SOFR Average) 8/15/44<br>| 163111 | 18081 |
| &nbsp;&nbsp;&nbsp; Series 353 Class S1 1.51% <br> (5.89% minus 30 day USD <br> SOFR Average) 12/15/46<br>| 76841 | 8242 |
| &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust | &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust | &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-R01 Class 1M2 <br> 5.91% (30 day USD SOFR <br> Average + 1.55%) 10/25/41<br>| 176942 | 177609 |
| &nbsp;&nbsp;&nbsp; Series 2022-R03 Class 1M2 <br> 7.86% (30 day USD SOFR <br> Average + 3.50%) 3/25/42<br>| 240000 | 248074 |
| &nbsp;&nbsp;&nbsp; Series 2023-R01 Class 1M2 <br> 8.11% (30 day USD SOFR <br> Average + 3.75%) 12/25/42<br>| 760000 | 800485 |
| &nbsp;&nbsp;&nbsp; Series 2023-R06 Class 1M2 <br> 7.06% (30 day USD SOFR <br> Average + 2.70%) 7/25/43<br>| 997500 | 1030525 |
| &nbsp;&nbsp;&nbsp; Series 2024-R01 Class 1M2 <br> 6.16% (30 day USD SOFR <br> Average + 1.80%) 1/25/44<br>| 1040000 | 1048595 |
| &nbsp;&nbsp;&nbsp; Series 2024-R02 Class 1M2 <br> 6.16% (30 day USD SOFR <br> Average + 1.80%) 2/25/44<br>| 350000 | 352862 |

---

*LVIP Western Asset Core Bond Fund–1*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust (continued) | &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust (continued) | &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2024-R06 Class 1M2 <br> 5.96% (30 day USD SOFR <br> Average + 1.60%) 9/25/44<br>| 1030000 | $1031780 |
| \*Federal National Mortgage Association Interest STRIPS | \*Federal National Mortgage Association Interest STRIPS | \*Federal National Mortgage Association Interest STRIPS |
| &nbsp;&nbsp;&nbsp; Series 427 Class C21 2.00% <br> 3/25/50<br>| 729270 | 91222 |
| &nbsp;&nbsp;&nbsp; Series 427 Class C73 3.00% <br> 12/25/48<br>| 451463 | 74441 |
| &nbsp;&nbsp;&nbsp; Series 440 Class C50 4.50% <br> 10/25/53<br>| 1749844 | 392227 |
| &nbsp;&nbsp;&nbsp; Series 440 Class C6 2.00% <br> 10/25/52<br>| 1706308 | 213754 |
| Federal National Mortgage Association REMICS | Federal National Mortgage Association REMICS | Federal National Mortgage Association REMICS |
| &nbsp;&nbsp;&nbsp; \*•Series 2010-100 Class SV <br> 2.16% (6.52% minus 30 day <br> USD SOFR Average) <br> 9/25/40<br>| 187955 | 19705 |
| &nbsp;&nbsp;&nbsp; Series 2012-118 Class VZ <br> 3.00% 11/25/42<br>| 214951 | 194027 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-124 Class SB <br> 1.48% (5.84% minus 30 day <br> USD SOFR Average) <br> 12/25/43<br>| 32389 | 3431 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-54 Class BS <br> 1.68% (6.04% minus 30 day <br> USD SOFR Average) <br> 6/25/43<br>| 13370 | 1449 |
| &nbsp;&nbsp;&nbsp; Series 2015-65 Class CZ <br> 3.50% 9/25/45<br>| 284496 | 246604 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-61 Class BS <br> 1.63% (5.99% minus 30 day <br> USD SOFR Average) <br> 9/25/46<br>| 218158 | 15044 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-76 Class SB <br> 1.63% (5.99% minus 30 day <br> USD SOFR Average) <br> 10/25/57<br>| 226215 | 29391 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-85 Class SC <br> 1.73% (6.09% minus 30 day <br> USD SOFR Average) <br> 11/25/47<br>| 42756 | 3841 |
| &nbsp;&nbsp;&nbsp; Series 2020-47 Class GZ <br> 2.00% 7/25/50<br>| 222123 | 140297 |
| &nbsp;&nbsp;&nbsp; Series 2020-56 Class AQ <br> 2.00% 8/25/50<br>| 600000 | 497251 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-56 Class DI <br> 2.50% 8/25/50<br>| 135540 | 22376 |
| &nbsp;&nbsp;&nbsp; Series 2020-57 Class TA <br> 2.00% 4/25/50<br>| 359974 | 323713 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-61 Class NI <br> 3.50% 9/25/50<br>| 539063 | 87951 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-73 Class KI <br> 3.00% 10/25/50<br>| 123318 | 22046 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association REMICS (continued) | Federal National Mortgage Association REMICS (continued) | Federal National Mortgage Association REMICS (continued) |
| &nbsp;&nbsp;&nbsp; \*Series 2021-1 Class IG 2.50% <br> 2/25/51<br>| 365191 | $65226 |
| &nbsp;&nbsp;&nbsp; Series 2021-28 Class LB <br> 2.00% 4/25/51<br>| 326020 | 273122 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-3 Class NI 2.50% <br> 2/25/51<br>| 633071 | 95258 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-3 Class QI 2.50% <br> 2/25/51<br>| 472323 | 75416 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-43 IO 2.50% <br> 6/25/51<br>| 807703 | 127350 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-44 Class MI <br> 2.50% 7/25/51<br>| 167364 | 30459 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-61 Class KI <br> 2.50% 4/25/49<br>| 797559 | 119853 |
| &nbsp;&nbsp;&nbsp; Series 2021-65 Class JA <br> 2.00% 1/25/46<br>| 122253 | 111514 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-77 Class WI <br> 3.00% 8/25/50<br>| 590777 | 94420 |
| &nbsp;&nbsp;&nbsp; \*Series 2022-22 IO 2.50% <br> 10/25/51<br>| 1230385 | 217858 |
| &nbsp;&nbsp;&nbsp; Series 2022-29 Class KZ <br> 1.50% 6/25/42<br>| 420495 | 316709 |
| &nbsp;&nbsp;&nbsp; \*Series 2022-86 IO 2.50% <br> 5/25/50<br>| 497689 | 69085 |
| &nbsp;&nbsp;&nbsp; \*Series 2023-2 Class CI 2.00% <br> 10/25/50<br>| 1672764 | 210184 |
| &nbsp;&nbsp;&nbsp; \*Series 2024-22 Class IC <br> 2.50% 10/25/51<br>| 3018713 | 414384 |
| &nbsp;&nbsp;&nbsp; \*Series 2024-5 Class DI 3.00% <br> 10/25/51<br>| 962553 | 171231 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp;&nbsp; •Series 2013-107 Class AD <br> 2.78% 11/16/47<br>| 89874 | 82543 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-50 IO 0.06% <br> 10/16/48<br>| 930509 | 2419 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-74 IO 0.48% <br> 12/16/53<br>| 682912 | 7083 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-145 IO 0.50% <br> 4/16/57<br>| 265790 | 6902 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-157 IO 0.52% <br> 12/16/59<br>| 190501 | 5758 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-8 IO 0.44% <br> 8/16/58<br>| 272494 | 5698 |
| &nbsp;&nbsp;&nbsp; \*•Series 2020-109 Class AI <br> 0.84% 5/16/60<br>| 488785 | 28403 |
| &nbsp;&nbsp;&nbsp; \*•Series 2020-184 IO 0.91% <br> 11/16/60<br>| 624206 | 40967 |
| &nbsp;&nbsp;&nbsp; \*•Series 2020-68 IO 1.61% <br> 5/16/60<br>| 2465466 | 258553 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-110 IO 0.88% <br> 11/16/63<br>| 1092050 | 73011 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-133 IO 0.88% <br> 7/16/63<br>| 1193710 | 79632 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-37 IO 0.80% <br> 1/16/61<br>| 628570 | 35675 |

---

*LVIP Western Asset Core Bond Fund–2*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-60 IO 0.83% <br> 5/16/63<br>| 520004 | $29542 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-68 IO 0.88% <br> 10/16/62<br>| 593438 | 35702 |
| &nbsp;&nbsp;&nbsp; •Series 2022-196 Class BE <br> 3.00% 10/16/64<br>| 300000 | 207955 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-210 IO 0.70% <br> 7/16/64<br>| 376495 | 23409 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-216 IO 0.75% <br> 7/16/65<br>| 390261 | 21389 |
| &nbsp;&nbsp;&nbsp; •Series 2022-220 Class E <br> 3.00% 10/16/64<br>| 200000 | 140906 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-3 IO 0.64% <br> 2/16/61<br>| 1489082 | 72669 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-59 IO 0.57% <br> 2/16/62<br>| 750074 | 31077 |
| &nbsp;&nbsp;&nbsp; Series 2023-92 Class AH <br> 2.00% 6/16/64<br>| 1284764 | 959397 |
| &nbsp;&nbsp;&nbsp; \*•Series 2023-92 Class IA <br> 0.61% 6/16/64<br>| 1383592 | 75114 |
| Government National Mortgage Association REMICS | Government National Mortgage Association REMICS | Government National Mortgage Association REMICS |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-51 Class SG <br> 2.33% (6.47% minus 1 mo. <br> USD Term SOFR) 8/20/37<br>| 24301 | 2447 |
| &nbsp;&nbsp;&nbsp; \*Series 2013-53 Class OI <br> 3.50% 4/20/43<br>| 74874 | 9718 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-135 Class SB <br> 1.84% (5.99% minus 1 mo. <br> USD Term SOFR) 10/16/46<br>| 128994 | 17097 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-21 Class ST <br> 1.90% (6.04% minus 1 mo. <br> USD Term SOFR) 2/20/46<br>| 210950 | 25867 |
| &nbsp;&nbsp;&nbsp; \*Series 2016-84 Class IG <br> 4.50% 11/16/45<br>| 333333 | 64993 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-H11 IO 2.26% <br> 5/20/67<br>| 4981156 | 171124 |
| &nbsp;&nbsp;&nbsp; •Series 2017-H14 Class FK <br> 4.25% (1 yr. CMT + 0.20%) <br> 5/20/67<br>| 8498 | 8455 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-H22 Class IC <br> 2.58% 11/20/67<br>| 126612 | 4750 |
| &nbsp;&nbsp;&nbsp; •Series 2018-H13 Class FC <br> 4.77% (1 mo. USD Term <br> SOFR + 0.41%) 7/20/68<br>| 39467 | 39256 |
| &nbsp;&nbsp;&nbsp; •Series 2019-H13 Class FT <br> 4.50% (1 yr. CMT + 0.45%) <br> 8/20/69<br>| 9196 | 9179 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-123 Class IL <br> 2.50% 8/20/50<br>| 55106 | 7946 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-123 Class NI <br> 2.50% 8/20/50<br>| 255248 | 38621 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-127 Class IN <br> 2.50% 8/20/50<br>| 122857 | 18347 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-129 Class IE <br> 2.50% 9/20/50<br>| 63889 | 9431 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Government National Mortgage Association REMICS (continued) | Government National Mortgage Association REMICS (continued) | Government National Mortgage Association REMICS (continued) |
| &nbsp;&nbsp;&nbsp; \*Series 2020-160 Class IH <br> 2.50% 10/20/50<br>| 66817 | $10062 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-160 Class VI <br> 2.50% 10/20/50<br>| 65652 | 9919 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-173 Class MI <br> 2.50% 11/20/50<br>| 1498701 | 218816 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-181 Class WI <br> 2.00% 12/20/50<br>| 734329 | 86206 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-47 Class MI <br> 3.50% 4/20/50<br>| 200687 | 38252 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-47 Class NI <br> 3.50% 4/20/50<br>| 56948 | 11079 |
| &nbsp;&nbsp;&nbsp; •Series 2020-H13 Class FA <br> 4.92% (1 mo. USD Term <br> SOFR + 0.56%) 7/20/70<br>| 60901 | 60201 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-108 IO 0.97% <br> 6/16/61<br>| 3144023 | 225039 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-138 Class IK <br> 3.00% 7/20/51<br>| 784853 | 110673 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-191 Class NI <br> 3.00% 10/20/51<br>| 164688 | 31196 |
| &nbsp;&nbsp;&nbsp; Series 2021-223 Class P <br> 2.00% 6/20/51<br>| 289114 | 257367 |
| &nbsp;&nbsp;&nbsp; Series 2022-139 Class AL <br> 4.00% 7/20/51<br>| 500000 | 459601 |
| &nbsp;&nbsp;&nbsp; Series 2022-189 Class PT <br> 2.50% 10/20/51<br>| 242670 | 202062 |
| &nbsp;&nbsp;&nbsp; Series 2022-24 Class AH <br> 2.50% 2/20/52<br>| 142680 | 123457 |
| &nbsp;&nbsp;&nbsp; \*Series 2022-81 Class CI <br> 3.00% 9/20/50<br>| 676665 | 100554 |
| &nbsp;&nbsp;&nbsp; Series 2022-9 Class GA <br> 2.00% 1/20/52<br>| 280429 | 230597 |
| &nbsp;&nbsp;&nbsp; Series 2022-99 Class JW <br> 2.50% 1/20/52<br>| 100000 | 79552 |
| &nbsp;&nbsp;&nbsp; \*Series 2023-130 IO 4.00% <br> 8/20/47<br>| 1363441 | 246909 |
| &nbsp;&nbsp;&nbsp; \*•Series 2024-151 Class KS <br> 1.66% (6.05% minus 30 day <br> USD SOFR Average) <br> 9/20/54<br>| 929049 | 91418 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-108 Class SC <br> 1.49% (5.88% minus 30 day <br> USD SOFR Average) <br> 6/20/55<br>| 3881600 | 372541 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-114 Class WS <br> 0.76% (5.15% minus 30 day <br> USD SOFR Average) <br> 7/20/55<br>| 1993217 | 90990 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-141 Class SE <br> 1.46% (5.85% minus 30 day <br> USD SOFR Average) <br> 8/20/55<br>| 2197796 | 216001 |

---

*LVIP Western Asset Core Bond Fund–3*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Government National Mortgage Association REMICS (continued) | Government National Mortgage Association REMICS (continued) | Government National Mortgage Association REMICS (continued) |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-55 Class SD <br> 1.56% (5.95% minus 30 day <br> USD SOFR Average) <br> 3/20/55<br>| 3950497 | $341510 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-95 Class SB <br> 1.41% (5.80% minus 30 day <br> USD SOFR Average) <br> 5/20/55<br>| 2188076 | 182820 |
| **Total Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $23,984,906)** | **Total Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $23,984,906)** | **23468305** |
| **AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–0.44%** | **AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–0.44%** | **AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–0.44%** |
| &nbsp;&nbsp; \*♦•Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates | &nbsp;&nbsp; \*♦•Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates | &nbsp;&nbsp; \*♦•Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates |
| &nbsp;&nbsp;&nbsp; Series K058 Class X1 1.02% <br> 8/25/26<br>| 5888354 | 34238 |
| &nbsp;&nbsp;&nbsp; Series K094 Class X1 1.01% <br> 6/25/29<br>| 679889 | 18690 |
| &nbsp;&nbsp;&nbsp; Series K094 Class XAM <br> 1.28% 6/25/29<br>| 1150000 | 44490 |
| &nbsp;&nbsp;&nbsp; Series K095 Class XAM <br> 1.37% 6/25/29<br>| 300000 | 13022 |
| &nbsp;&nbsp;&nbsp; Series K101 Class X1 0.94% <br> 10/25/29<br>| 290789 | 8193 |
| &nbsp;&nbsp;&nbsp; Series K104 Class XAM <br> 1.50% 1/25/30<br>| 600000 | 31443 |
| &nbsp;&nbsp;&nbsp; Series K105 Class X1 1.64% <br> 1/25/30<br>| 1664961 | 90234 |
| &nbsp;&nbsp;&nbsp; Series K110 Class X1 1.76% <br> 4/25/30<br>| 1769223 | 105762 |
| &nbsp;&nbsp;&nbsp; Series K115 Class X1 1.42% <br> 6/25/30<br>| 688381 | 35335 |
| &nbsp;&nbsp;&nbsp; Series K116 Class X1 1.52% <br> 7/25/30<br>| 1270414 | 68867 |
| &nbsp;&nbsp;&nbsp; Series K124 Class X1 0.81% <br> 12/25/30<br>| 693624 | 21451 |
| &nbsp;&nbsp;&nbsp; Series K128 Class X1 0.61% <br> 3/25/31<br>| 1971421 | 44341 |
| &nbsp;&nbsp;&nbsp; Series K130 Class X1 1.14% <br> 6/25/31<br>| 2882508 | 138687 |
| &nbsp;&nbsp;&nbsp; Series K131 Class X1 0.83% <br> 7/25/31<br>| 2386304 | 84735 |
| &nbsp;&nbsp;&nbsp; Series K133 Class X1 0.44% <br> 9/25/31<br>| 3765499 | 67053 |
| &nbsp;&nbsp;&nbsp; Series K142 Class X1 0.40% <br> 3/25/32<br>| 1595771 | 27505 |
| &nbsp;&nbsp;&nbsp; Series K143 Class X1 0.45% <br> 4/25/55<br>| 1691547 | 34595 |
| &nbsp;&nbsp;&nbsp; Series K145 Class X1 0.43% <br> 5/25/32<br>| 1891527 | 36740 |
| &nbsp;&nbsp;&nbsp; Series K147 Class X1 0.50% <br> 6/25/32<br>| 2651809 | 61583 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** |
| &nbsp;&nbsp; \*♦•Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates (continued) | &nbsp;&nbsp; \*♦•Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates (continued) | &nbsp;&nbsp; \*♦•Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates (continued) |
| &nbsp;&nbsp;&nbsp; Series K148 Class X1 0.39% <br> 7/25/32<br>| 5787799 | $97215 |
| &nbsp;&nbsp;&nbsp; Series K149 Class X1 0.40% <br> 8/25/32<br>| 2684643 | 48930 |
| &nbsp;&nbsp;&nbsp; Series K-151 Class X1 0.33% <br> 10/25/32<br>| 4789155 | 66180 |
| &nbsp;&nbsp;&nbsp; Series K-1511 Class X1 0.93% <br> 3/25/34<br>| 581574 | 25718 |
| &nbsp;&nbsp;&nbsp; Series K-1520 Class X1 0.58% <br> 2/25/36<br>| 1187740 | 40839 |
| &nbsp;&nbsp;&nbsp; Series K-157 Class X1 0.42% <br> 5/25/33<br>| 2199064 | 43383 |
| &nbsp;&nbsp;&nbsp; Series K737 Class X1 0.72% <br> 10/25/26<br>| 1700408 | 6938 |
| &nbsp;&nbsp;&nbsp; Series K741 Class X1 0.64% <br> 12/25/27<br>| 689311 | 6769 |
| &nbsp;&nbsp;&nbsp; Series K742 Class X1 0.86% <br> 3/25/28<br>| 1472916 | 14056 |
| &nbsp;&nbsp;&nbsp; Series K743 Class X1 1.01% <br> 5/25/28<br>| 979809 | 20163 |
| &nbsp;&nbsp;&nbsp; Series KC05 Class X1 1.34% <br> 6/25/27<br>| 322490 | 3046 |
| Federal National Mortgage Association-ACES | Federal National Mortgage Association-ACES | Federal National Mortgage Association-ACES |
| &nbsp;&nbsp;&nbsp; Series 2016-M11 Class AL <br> 2.94% 7/25/39<br>| 26786 | 25461 |
| &nbsp;&nbsp;&nbsp; Series 2018-M15 Class 1A2 <br> 3.70% 1/25/36<br>| 300000 | 287307 |
| \*•Government National Mortgage Association | \*•Government National Mortgage Association | \*•Government National Mortgage Association |
| &nbsp;&nbsp;&nbsp; Series 2021-11 Class IX <br> 1.16% 12/16/62<br>| 3002631 | 248374 |
| &nbsp;&nbsp;&nbsp; Series 2021-63 IO 0.82% <br> 4/16/61<br>| 3333214 | 197668 |
| &nbsp;&nbsp;&nbsp; Series 2021-94 IO 0.83% <br> 2/16/63<br>| 3191497 | 189055 |
| **Total Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $2,228,217)** | **Total Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $2,228,217)** | **2288066** |
| **AGENCY MORTGAGE-BACKED SECURITIES–26.46%** | **AGENCY MORTGAGE-BACKED SECURITIES–26.46%** | **AGENCY MORTGAGE-BACKED SECURITIES–26.46%** |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |
| &nbsp;&nbsp; 1.50% 11/1/40 | 630567 | 528433 |
| &nbsp;&nbsp; 1.50% 5/1/41 | 702140 | 593438 |
| &nbsp;&nbsp; 1.50% 7/1/41 | 501672 | 423689 |
| &nbsp;&nbsp; 1.50% 10/1/41 | 705487 | 594720 |
| &nbsp;&nbsp; 1.50% 11/1/41 | 74438 | 62727 |
| &nbsp;&nbsp; 2.00% 9/1/40 | 103448 | 89807 |
| &nbsp;&nbsp; 2.00% 10/1/40 | 291609 | 254374 |
| &nbsp;&nbsp; 2.00% 3/1/41 | 516488 | 446464 |
| &nbsp;&nbsp; 2.00% 6/1/41 | 68111 | 59248 |
| &nbsp;&nbsp; 2.00% 7/1/41 | 268067 | 233350 |
| &nbsp;&nbsp; 2.00% 8/1/41 | 210501 | 182760 |
| &nbsp;&nbsp; 2.00% 9/1/41 | 770291 | 668302 |
| &nbsp;&nbsp; 2.00% 10/1/41 | 355817 | 307714 |

---

*LVIP Western Asset Core Bond Fund–4*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) |
| &nbsp;&nbsp; 2.00% 11/1/41 | 206129 | $178664 |
| &nbsp;&nbsp; 2.00% 12/1/41 | 522428 | 452137 |
| &nbsp;&nbsp; 2.00% 1/1/42 | 1162021 | 1006653 |
| &nbsp;&nbsp; 2.00% 2/1/42 | 451572 | 390279 |
| &nbsp;&nbsp; 2.00% 4/1/42 | 795494 | 688986 |
| &nbsp;&nbsp; 2.00% 7/1/50 | 464327 | 378341 |
| &nbsp;&nbsp; 2.00% 11/1/50 | 198731 | 162812 |
| &nbsp;&nbsp; 2.00% 2/1/51 | 812860 | 665640 |
| &nbsp;&nbsp; 2.00% 3/1/51 | 384998 | 315004 |
| &nbsp;&nbsp; 2.00% 4/1/51 | 118790 | 97727 |
| &nbsp;&nbsp; 2.00% 5/1/51 | 1920333 | 1564084 |
| &nbsp;&nbsp; 2.00% 6/1/51 | 222579 | 181832 |
| &nbsp;&nbsp; 2.00% 11/1/51 | 80059 | 65142 |
| &nbsp;&nbsp; 2.50% 3/1/42 | 149315 | 134037 |
| &nbsp;&nbsp; 2.50% 4/1/42 | 76451 | 67922 |
| &nbsp;&nbsp; 2.50% 7/1/50 | 329489 | 283283 |
| &nbsp;&nbsp; 2.50% 10/1/50 | 289454 | 249546 |
| &nbsp;&nbsp; 2.50% 11/1/50 | 845872 | 728147 |
| &nbsp;&nbsp; 2.50% 12/1/50 | 908595 | 780233 |
| &nbsp;&nbsp; 2.50% 2/1/51 | 304076 | 262420 |
| &nbsp;&nbsp; 2.50% 7/1/51 | 66557 | 57268 |
| &nbsp;&nbsp; 2.50% 8/1/51 | 724193 | 620757 |
| &nbsp;&nbsp; 2.50% 9/1/51 | 76149 | 65287 |
| &nbsp;&nbsp; 2.50% 11/1/51 | 1667058 | 1434886 |
| &nbsp;&nbsp; 2.50% 1/1/52 | 2538427 | 2177787 |
| &nbsp;&nbsp; 2.50% 2/1/52 | 308993 | 264792 |
| &nbsp;&nbsp; 2.50% 4/1/52 | 1895196 | 1627672 |
| &nbsp;&nbsp; 3.00% 9/1/32 | 24679 | 24053 |
| &nbsp;&nbsp; 3.00% 10/1/32 | 13007 | 12668 |
| &nbsp;&nbsp; 3.00% 10/1/33 | 9300 | 8993 |
| &nbsp;&nbsp; 3.00% 7/1/42 | 156775 | 144947 |
| &nbsp;&nbsp; 3.00% 9/1/42 | 235691 | 218049 |
| &nbsp;&nbsp; 3.00% 1/1/47 | 461207 | 418252 |
| &nbsp;&nbsp; 3.00% 9/1/49 | 77769 | 69761 |
| &nbsp;&nbsp; 3.00% 11/1/49 | 76609 | 68718 |
| &nbsp;&nbsp; 3.00% 6/1/50 | 290177 | 255398 |
| &nbsp;&nbsp; 3.00% 6/1/51 | 124204 | 111052 |
| &nbsp;&nbsp; 3.00% 10/1/51 | 75642 | 67550 |
| &nbsp;&nbsp; 3.00% 11/1/51 | 39154 | 34698 |
| &nbsp;&nbsp; 3.00% 1/1/52 | 2698932 | 2407401 |
| &nbsp;&nbsp; 3.00% 2/1/52 | 81512 | 72267 |
| &nbsp;&nbsp; 3.00% 3/1/52 | 154089 | 136669 |
| &nbsp;&nbsp; 3.00% 4/1/52 | 306463 | 272078 |
| &nbsp;&nbsp; 3.00% 8/1/52 | 2318765 | 2071766 |
| &nbsp;&nbsp;&nbsp; •3.01% (1 yr. USD RFUCCT + <br> 1.63%) 11/1/48<br>| 579023 | 565930 |
| &nbsp;&nbsp;&nbsp; •3.10% (1 yr. USD RFUCCT + <br> 1.62%) 2/1/50<br>| 328424 | 331066 |
| &nbsp;&nbsp; 3.50% 1/1/38 | 221527 | 213759 |
| &nbsp;&nbsp; 3.50% 12/1/50 | 240039 | 223153 |
| &nbsp;&nbsp; 3.50% 1/1/52 | 68755 | 63287 |
| &nbsp;&nbsp; 4.00% 7/1/49 | 927928 | 891908 |
| &nbsp;&nbsp; 4.00% 7/1/50 | 85836 | 82693 |
| &nbsp;&nbsp; 4.00% 4/1/52 | 596993 | 568502 |
| &nbsp;&nbsp; 4.00% 2/1/53 | 392029 | 375795 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) |
| &nbsp;&nbsp;&nbsp; •4.37% (1 yr. USD RFUCCT + <br> 1.62%) 11/1/47<br>| 184316 | $188494 |
| &nbsp;&nbsp; 4.50% 10/1/35 | 27102 | 27333 |
| &nbsp;&nbsp; 4.50% 3/1/47 | 72768 | 72689 |
| &nbsp;&nbsp; 4.50% 1/1/51 | 140570 | 137766 |
| &nbsp;&nbsp; 4.50% 7/1/52 | 225598 | 220593 |
| &nbsp;&nbsp; 4.50% 10/1/52 | 16338 | 15923 |
| &nbsp;&nbsp; 4.50% 11/1/52 | 494917 | 483800 |
| &nbsp;&nbsp; 4.50% 12/1/52 | 156552 | 153053 |
| &nbsp;&nbsp; 5.00% 7/1/52 | 567535 | 565561 |
| &nbsp;&nbsp; 5.00% 9/1/52 | 78030 | 77766 |
| &nbsp;&nbsp; 5.00% 11/1/52 | 313496 | 312877 |
| &nbsp;&nbsp; 5.00% 12/1/52 | 74379 | 73971 |
| &nbsp;&nbsp; 5.00% 1/1/53 | 238735 | 238814 |
| &nbsp;&nbsp; 5.00% 3/1/53 | 239495 | 239797 |
| &nbsp;&nbsp; 5.00% 4/1/53 | 652103 | 650476 |
| &nbsp;&nbsp; 5.00% 2/1/55 | 3260508 | 3258753 |
| &nbsp;&nbsp; 5.50% 12/1/52 | 80737 | 82200 |
| &nbsp;&nbsp; 5.50% 1/1/53 | 70622 | 71872 |
| &nbsp;&nbsp; 5.50% 3/1/53 | 172159 | 174812 |
| &nbsp;&nbsp; 5.50% 4/1/53 | 146111 | 147883 |
| &nbsp;&nbsp; 5.50% 5/1/53 | 309362 | 314554 |
| &nbsp;&nbsp; 5.50% 6/1/53 | 245081 | 249312 |
| &nbsp;&nbsp; 5.50% 7/1/53 | 159658 | 162053 |
| &nbsp;&nbsp; 5.50% 8/1/53 | 413342 | 419863 |
| &nbsp;&nbsp; 5.50% 9/1/53 | 173393 | 176107 |
| &nbsp;&nbsp; 5.50% 4/1/54 | 2667763 | 2711409 |
| &nbsp;&nbsp; 6.00% 12/1/52 | 332223 | 341713 |
| &nbsp;&nbsp; 6.00% 8/1/53 | 3373227 | 3456401 |
| &nbsp;&nbsp; 6.00% 10/1/53 | 1473869 | 1522715 |
| &nbsp;&nbsp; 6.00% 4/1/54 | 176449 | 180658 |
| &nbsp;&nbsp; 6.50% 1/1/53 | 112053 | 116587 |
| &nbsp;&nbsp; 6.50% 2/1/53 | 194001 | 202265 |
| &nbsp;&nbsp; 6.50% 4/1/53 | 127084 | 132511 |
| &nbsp;&nbsp; 6.50% 5/1/53 | 279336 | 292734 |
| &nbsp;&nbsp; 6.50% 11/1/53 | 666131 | 693635 |
| &nbsp;&nbsp; 6.50% 2/1/54 | 221163 | 229563 |
| &nbsp;&nbsp; 6.50% 4/1/54 | 175256 | 181942 |
| Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp; 1.50% 11/1/41 | 445005 | 374998 |
| &nbsp;&nbsp; 1.50% 2/1/42 | 355153 | 300338 |
| &nbsp;&nbsp; 2.00% 10/1/40 | 1458566 | 1265681 |
| &nbsp;&nbsp; 2.00% 6/1/41 | 68802 | 59508 |
| &nbsp;&nbsp; 2.00% 9/1/41 | 278244 | 241170 |
| &nbsp;&nbsp; 2.00% 10/1/41 | 213272 | 184901 |
| &nbsp;&nbsp; 2.00% 11/1/41 | 214282 | 184170 |
| &nbsp;&nbsp; 2.00% 12/1/41 | 656461 | 567952 |
| &nbsp;&nbsp; 2.00% 1/1/42 | 885295 | 766236 |
| &nbsp;&nbsp; 2.00% 2/1/42 | 664268 | 574105 |
| &nbsp;&nbsp; 2.00% 3/1/42 | 74924 | 64708 |
| &nbsp;&nbsp; 2.00% 4/1/42 | 154610 | 133528 |
| &nbsp;&nbsp; 2.00% 5/1/42 | 173385 | 149702 |
| &nbsp;&nbsp; 2.00% 8/1/42 | 887653 | 771040 |
| &nbsp;&nbsp; 2.00% 8/1/50 | 52626 | 43039 |
| &nbsp;&nbsp; 2.00% 9/1/50 | 514797 | 419365 |

---

*LVIP Western Asset Core Bond Fund–5*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 2.00% 10/1/50 | 313995 | $255964 |
| &nbsp;&nbsp; 2.00% 2/1/51 | 718334 | 587662 |
| &nbsp;&nbsp; 2.00% 3/1/51 | 755044 | 617703 |
| &nbsp;&nbsp; 2.00% 4/1/51 | 126004 | 103220 |
| &nbsp;&nbsp; 2.00% 5/1/51 | 661085 | 536944 |
| &nbsp;&nbsp; 2.00% 8/1/51 | 378271 | 307881 |
| &nbsp;&nbsp; 2.00% 10/1/51 | 1506317 | 1224799 |
| &nbsp;&nbsp; 2.00% 11/1/51 | 147943 | 121022 |
| &nbsp;&nbsp; 2.00% 1/1/52 | 564297 | 459408 |
| &nbsp;&nbsp; 2.00% 2/1/52 | 153565 | 125854 |
| &nbsp;&nbsp; 2.00% 3/1/52 | 417917 | 341339 |
| &nbsp;&nbsp; 2.50% 9/1/36 | 76705 | 71272 |
| &nbsp;&nbsp; 2.50% 3/1/38 | 216489 | 201197 |
| &nbsp;&nbsp; 2.50% 11/1/40 | 148803 | 134958 |
| &nbsp;&nbsp; 2.50% 3/1/41 | 125317 | 112736 |
| &nbsp;&nbsp; 2.50% 4/1/41 | 262752 | 236663 |
| &nbsp;&nbsp; 2.50% 5/1/41 | 273408 | 245780 |
| &nbsp;&nbsp; 2.50% 11/1/41 | 363405 | 325190 |
| &nbsp;&nbsp; 2.50% 2/1/42 | 208041 | 186111 |
| &nbsp;&nbsp; 2.50% 3/1/42 | 219271 | 195071 |
| &nbsp;&nbsp; 2.50% 4/1/42 | 226601 | 199627 |
| &nbsp;&nbsp; 2.50% 5/1/42 | 76450 | 68580 |
| &nbsp;&nbsp; 2.50% 9/1/42 | 81971 | 73382 |
| &nbsp;&nbsp; 2.50% 6/1/50 | 50542 | 43195 |
| &nbsp;&nbsp; 2.50% 10/1/50 | 485254 | 416233 |
| &nbsp;&nbsp; 2.50% 11/1/50 | 136742 | 117352 |
| &nbsp;&nbsp; 2.50% 12/1/50 | 59800 | 51272 |
| &nbsp;&nbsp; 2.50% 1/1/51 | 323112 | 277027 |
| &nbsp;&nbsp; 2.50% 2/1/51 | 97819 | 83940 |
| &nbsp;&nbsp; 2.50% 3/1/51 | 62447 | 53683 |
| &nbsp;&nbsp; 2.50% 5/1/51 | 189721 | 163150 |
| &nbsp;&nbsp; 2.50% 6/1/51 | 182658 | 157027 |
| &nbsp;&nbsp; 2.50% 7/1/51 | 345656 | 297493 |
| &nbsp;&nbsp; 2.50% 8/1/51 | 203179 | 174536 |
| &nbsp;&nbsp; 2.50% 9/1/51 | 209560 | 180146 |
| &nbsp;&nbsp; 2.50% 10/1/51 | 572336 | 491450 |
| &nbsp;&nbsp; 2.50% 11/1/51 | 65377 | 56000 |
| &nbsp;&nbsp; 2.50% 12/1/51 | 579490 | 495903 |
| &nbsp;&nbsp; 2.50% 1/1/52 | 2277216 | 1932670 |
| &nbsp;&nbsp; 2.50% 2/1/52 | 1073481 | 919184 |
| &nbsp;&nbsp; 2.50% 3/1/52 | 228541 | 196020 |
| &nbsp;&nbsp; 2.50% 5/1/52 | 1936590 | 1647575 |
| &nbsp;&nbsp; 2.50% 9/1/61 | 297080 | 242270 |
| &nbsp;&nbsp; 2.95% 7/1/27 | 338982 | 332634 |
| &nbsp;&nbsp; 3.00% 7/1/35 | 52441 | 49815 |
| &nbsp;&nbsp; 3.00% 2/1/36 | 132163 | 125660 |
| &nbsp;&nbsp; 3.00% 4/1/36 | 95449 | 90787 |
| &nbsp;&nbsp; 3.00% 7/1/36 | 219137 | 208130 |
| &nbsp;&nbsp; 3.00% 8/1/36 | 363446 | 344932 |
| &nbsp;&nbsp; 3.00% 10/1/36 | 247770 | 234897 |
| &nbsp;&nbsp; 3.00% 4/1/38 | 80730 | 77921 |
| &nbsp;&nbsp; 3.00% 6/1/38 | 110954 | 105167 |
| &nbsp;&nbsp; 3.00% 9/1/40 | 34458 | 32099 |
| &nbsp;&nbsp; 3.00% 1/1/41 | 55947 | 53158 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 3.00% 3/1/42 | 69154 | $63439 |
| &nbsp;&nbsp; 3.00% 5/1/42 | 156291 | 144395 |
| &nbsp;&nbsp; 3.00% 6/1/42 | 234181 | 215309 |
| &nbsp;&nbsp; 3.00% 6/1/43 | 15088 | 13820 |
| &nbsp;&nbsp; 3.00% 7/1/43 | 49249 | 45115 |
| &nbsp;&nbsp; 3.00% 10/1/43 | 40718 | 37292 |
| &nbsp;&nbsp; 3.00% 1/1/45 | 68708 | 62981 |
| &nbsp;&nbsp; 3.00% 10/1/46 | 159845 | 144718 |
| &nbsp;&nbsp; 3.00% 12/1/46 | 91175 | 82678 |
| &nbsp;&nbsp; 3.00% 1/1/47 | 1265187 | 1150440 |
| &nbsp;&nbsp; 3.00% 2/1/47 | 498503 | 455486 |
| &nbsp;&nbsp; 3.00% 11/1/48 | 70615 | 64677 |
| &nbsp;&nbsp; 3.00% 4/1/50 | 306487 | 274960 |
| &nbsp;&nbsp; 3.00% 10/1/50 | 127860 | 113823 |
| &nbsp;&nbsp; 3.00% 11/1/50 | 302792 | 268719 |
| &nbsp;&nbsp; 3.00% 5/1/51 | 2586960 | 2313987 |
| &nbsp;&nbsp; 3.00% 6/1/51 | 59488 | 53421 |
| &nbsp;&nbsp; 3.00% 8/1/51 | 309459 | 277685 |
| &nbsp;&nbsp; 3.00% 10/1/51 | 65956 | 59259 |
| &nbsp;&nbsp; 3.00% 11/1/51 | 1880921 | 1679208 |
| &nbsp;&nbsp; 3.00% 12/1/51 | 138823 | 123728 |
| &nbsp;&nbsp; 3.00% 1/1/52 | 1465927 | 1301721 |
| &nbsp;&nbsp; 3.00% 2/1/52 | 146369 | 130525 |
| &nbsp;&nbsp; 3.00% 3/1/52 | 1372407 | 1227215 |
| &nbsp;&nbsp; 3.00% 4/1/52 | 305148 | 271086 |
| &nbsp;&nbsp; 3.00% 5/1/52 | 407349 | 358607 |
| &nbsp;&nbsp; 3.50% 4/1/32 | 253212 | 250072 |
| &nbsp;&nbsp; 3.50% 12/1/34 | 67792 | 65962 |
| &nbsp;&nbsp; 3.50% 1/1/35 | 39184 | 38127 |
| &nbsp;&nbsp; 3.50% 2/1/37 | 31398 | 30339 |
| &nbsp;&nbsp; 3.50% 12/1/37 | 29205 | 28005 |
| &nbsp;&nbsp; 3.50% 8/1/39 | 37805 | 36476 |
| &nbsp;&nbsp; 3.50% 2/1/40 | 105303 | 101068 |
| &nbsp;&nbsp; 3.50% 12/1/42 | 24306 | 22942 |
| &nbsp;&nbsp; 3.50% 3/1/43 | 172089 | 162979 |
| &nbsp;&nbsp; 3.50% 11/1/44 | 1544505 | 1452019 |
| &nbsp;&nbsp; 3.50% 12/1/46 | 203405 | 191988 |
| &nbsp;&nbsp; 3.50% 12/1/47 | 445447 | 414810 |
| &nbsp;&nbsp; 3.50% 11/1/48 | 691823 | 647548 |
| &nbsp;&nbsp; 3.50% 12/1/51 | 70072 | 65104 |
| &nbsp;&nbsp; 3.50% 1/1/52 | 142313 | 131968 |
| &nbsp;&nbsp; 3.50% 3/1/52 | 72913 | 67070 |
| &nbsp;&nbsp; 3.50% 4/1/52 | 285372 | 262958 |
| &nbsp;&nbsp; 3.50% 5/1/52 | 1565278 | 1443566 |
| &nbsp;&nbsp; 4.00% 11/1/42 | 130857 | 127270 |
| &nbsp;&nbsp; 4.00% 4/1/44 | 269393 | 261517 |
| &nbsp;&nbsp; 4.00% 10/1/44 | 1526870 | 1474481 |
| &nbsp;&nbsp; 4.00% 12/1/44 | 76285 | 74015 |
| &nbsp;&nbsp; 4.00% 5/1/47 | 198480 | 190540 |
| &nbsp;&nbsp; 4.00% 10/1/48 | 119435 | 114245 |
| &nbsp;&nbsp; 4.00% 1/1/49 | 141934 | 136463 |
| &nbsp;&nbsp; 4.00% 4/1/52 | 449926 | 428453 |
| &nbsp;&nbsp; 4.00% 7/1/52 | 488970 | 462209 |
| &nbsp;&nbsp; 4.00% 6/1/57 | 208669 | 197123 |

---

*LVIP Western Asset Core Bond Fund–6*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 4.27% 10/1/32 | 95617 | $95093 |
| &nbsp;&nbsp; 4.50% 6/1/39 | 107413 | 108234 |
| &nbsp;&nbsp; 4.50% 10/1/43 | 134331 | 134655 |
| &nbsp;&nbsp; 4.50% 3/1/46 | 186833 | 186361 |
| &nbsp;&nbsp; 4.50% 6/1/48 | 61920 | 61370 |
| &nbsp;&nbsp; 4.50% 7/1/48 | 91462 | 90327 |
| &nbsp;&nbsp; 4.50% 8/1/48 | 146864 | 145011 |
| &nbsp;&nbsp; 4.50% 11/1/48 | 81874 | 80824 |
| &nbsp;&nbsp; 4.50% 7/1/49 | 47210 | 46250 |
| &nbsp;&nbsp; 4.50% 9/1/49 | 446516 | 440883 |
| &nbsp;&nbsp; 4.50% 1/1/50 | 711364 | 710155 |
| &nbsp;&nbsp; 4.50% 3/1/50 | 74386 | 74014 |
| &nbsp;&nbsp; 4.50% 5/1/50 | 93930 | 92106 |
| &nbsp;&nbsp; 4.50% 9/1/51 | 58111 | 56992 |
| &nbsp;&nbsp; 4.50% 8/1/52 | 631695 | 615625 |
| &nbsp;&nbsp; 4.50% 9/1/52 | 235100 | 230393 |
| &nbsp;&nbsp; 4.50% 11/1/52 | 172126 | 168373 |
| &nbsp;&nbsp; 4.50% 1/1/53 | 151681 | 148384 |
| &nbsp;&nbsp; 4.50% 9/1/57 | 270354 | 262312 |
| &nbsp;&nbsp; 4.50% 8/1/58 | 266778 | 258844 |
| &nbsp;&nbsp; 4.50% 1/1/59 | 36329 | 35147 |
| &nbsp;&nbsp; 5.00% 9/1/48 | 152189 | 152752 |
| &nbsp;&nbsp; 5.00% 9/1/49 | 205240 | 207592 |
| &nbsp;&nbsp; 5.00% 6/1/52 | 145131 | 145598 |
| &nbsp;&nbsp; 5.00% 7/1/52 | 361627 | 365061 |
| &nbsp;&nbsp; 5.00% 11/1/52 | 200832 | 200473 |
| &nbsp;&nbsp; 5.00% 1/1/53 | 81734 | 81229 |
| &nbsp;&nbsp; 5.00% 2/1/53 | 159965 | 159431 |
| &nbsp;&nbsp; 5.00% 4/1/53 | 75891 | 76064 |
| &nbsp;&nbsp; 5.50% 6/1/41 | 42100 | 43668 |
| &nbsp;&nbsp; 5.50% 5/1/44 | 632939 | 660996 |
| &nbsp;&nbsp; 5.50% 1/1/53 | 305219 | 309201 |
| &nbsp;&nbsp; 5.50% 2/1/53 | 73799 | 75137 |
| &nbsp;&nbsp; 5.50% 4/1/53 | 233208 | 237436 |
| &nbsp;&nbsp; 5.50% 5/1/53 | 328741 | 333515 |
| &nbsp;&nbsp; 5.50% 8/1/53 | 244874 | 248647 |
| &nbsp;&nbsp; 5.50% 9/1/53 | 677996 | 689300 |
| &nbsp;&nbsp; 5.50% 9/1/54 | 1873640 | 1895225 |
| &nbsp;&nbsp; 6.00% 10/1/39 | 73339 | 76907 |
| &nbsp;&nbsp; 6.00% 7/1/41 | 134277 | 141494 |
| &nbsp;&nbsp; 6.00% 1/1/53 | 71184 | 72905 |
| &nbsp;&nbsp; 6.00% 5/1/53 | 237618 | 245239 |
| &nbsp;&nbsp; 6.00% 6/1/53 | 1503426 | 1553320 |
| &nbsp;&nbsp; 6.00% 7/1/53 | 470988 | 486014 |
| &nbsp;&nbsp; 6.50% 11/1/52 | 66438 | 69782 |
| &nbsp;&nbsp; 6.50% 1/1/53 | 399463 | 418642 |
| &nbsp;&nbsp; 6.50% 2/1/53 | 61509 | 63994 |
| &nbsp;&nbsp; 6.50% 12/1/53 | 220632 | 229055 |
| &nbsp;&nbsp; 6.50% 1/1/54 | 156185 | 163151 |
| &nbsp;&nbsp; 6.50% 3/1/54 | 155101 | 161023 |
| &nbsp;&nbsp; 6.50% 6/1/54 | 288586 | 298497 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp; 2.00% 8/20/50 | 105822 | 87619 |
| &nbsp;&nbsp; 2.00% 10/20/50 | 1982555 | 1639692 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp; 2.00% 12/20/50 | 1557349 | $1286283 |
| &nbsp;&nbsp; 2.00% 1/20/51 | 1503996 | 1243886 |
| &nbsp;&nbsp; 2.00% 2/20/51 | 1838559 | 1506318 |
| &nbsp;&nbsp; 2.00% 3/20/51 | 592068 | 483712 |
| &nbsp;&nbsp; 2.00% 4/20/51 | 555680 | 445632 |
| &nbsp;&nbsp; 2.50% 10/20/49 | 186610 | 161667 |
| &nbsp;&nbsp; 2.50% 12/20/50 | 189576 | 161727 |
| &nbsp;&nbsp; 2.50% 1/20/51 | 103209 | 88930 |
| &nbsp;&nbsp; 2.50% 2/20/51 | 73745 | 63668 |
| &nbsp;&nbsp; 2.50% 5/20/51 | 490749 | 422321 |
| &nbsp;&nbsp; 2.50% 6/20/51 | 70767 | 60560 |
| &nbsp;&nbsp; 2.50% 7/20/51 | 202523 | 174393 |
| &nbsp;&nbsp; 2.50% 8/20/51 | 137429 | 117819 |
| &nbsp;&nbsp; 2.50% 10/20/51 | 635107 | 544174 |
| &nbsp;&nbsp; 2.50% 11/20/51 | 70265 | 60238 |
| &nbsp;&nbsp; 2.50% 12/20/51 | 583912 | 499013 |
| &nbsp;&nbsp; 3.00% 9/15/42 | 86570 | 79362 |
| &nbsp;&nbsp; 3.00% 10/15/42 | 11493 | 10514 |
| &nbsp;&nbsp; 3.00% 1/20/46 | 12562 | 11401 |
| &nbsp;&nbsp; 3.00% 8/20/46 | 81508 | 73910 |
| &nbsp;&nbsp; 3.00% 11/20/46 | 44407 | 40237 |
| &nbsp;&nbsp; 3.00% 2/20/47 | 16989 | 15373 |
| &nbsp;&nbsp; 3.00% 9/20/47 | 56721 | 51362 |
| &nbsp;&nbsp; 3.00% 2/20/48 | 3682 | 3327 |
| &nbsp;&nbsp; 3.00% 1/20/50 | 212411 | 186823 |
| &nbsp;&nbsp; 3.00% 3/20/50 | 161731 | 142739 |
| &nbsp;&nbsp; 3.00% 11/20/51 | 215614 | 190267 |
| &nbsp;&nbsp; 3.00% 2/20/52 | 592192 | 527030 |
| &nbsp;&nbsp; 3.00% 3/20/52 | 1154367 | 1019804 |
| &nbsp;&nbsp; 3.00% 4/20/52 | 531618 | 469265 |
| &nbsp;&nbsp; 3.50% 4/20/45 | 47518 | 44376 |
| &nbsp;&nbsp; 3.50% 11/20/45 | 53570 | 49900 |
| &nbsp;&nbsp; 3.50% 1/20/46 | 31890 | 29699 |
| &nbsp;&nbsp; 3.50% 3/20/46 | 147864 | 137341 |
| &nbsp;&nbsp; 3.50% 4/20/46 | 90547 | 84308 |
| &nbsp;&nbsp; 3.50% 5/20/46 | 34099 | 31745 |
| &nbsp;&nbsp; 3.50% 6/20/46 | 58471 | 54411 |
| &nbsp;&nbsp; 3.50% 7/20/46 | 35303 | 32630 |
| &nbsp;&nbsp; 3.50% 9/20/46 | 12907 | 12006 |
| &nbsp;&nbsp; 3.50% 9/20/47 | 509662 | 471428 |
| &nbsp;&nbsp; 3.50% 10/20/47 | 81621 | 75112 |
| &nbsp;&nbsp; 3.50% 2/20/48 | 315452 | 287776 |
| &nbsp;&nbsp; 3.50% 9/20/48 | 1392480 | 1291374 |
| &nbsp;&nbsp; 3.50% 10/20/48 | 23364 | 21646 |
| &nbsp;&nbsp; 3.50% 11/20/48 | 288704 | 267282 |
| &nbsp;&nbsp; 3.50% 10/20/49 | 21428 | 19547 |
| &nbsp;&nbsp; 3.50% 2/20/50 | 25688 | 23434 |
| &nbsp;&nbsp; 3.50% 5/15/50 | 66041 | 60489 |
| &nbsp;&nbsp; 3.50% 3/20/52 | 84168 | 75527 |
| &nbsp;&nbsp; 3.50% 6/20/52 | 62102 | 55879 |
| &nbsp;&nbsp; 4.00% 10/20/44 | 6821 | 6560 |
| &nbsp;&nbsp; 4.00% 8/20/46 | 124586 | 119468 |
| &nbsp;&nbsp; 4.00% 2/20/47 | 48658 | 46506 |
| &nbsp;&nbsp; 4.00% 6/20/47 | 299326 | 286377 |

---

*LVIP Western Asset Core Bond Fund–7*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp; 4.00% 9/20/47 | 190935 | $182674 |
| &nbsp;&nbsp; 4.00% 11/20/47 | 91370 | 87417 |
| &nbsp;&nbsp; 4.00% 12/20/47 | 45461 | 43495 |
| &nbsp;&nbsp; 4.00% 2/20/48 | 124591 | 117709 |
| &nbsp;&nbsp; 4.00% 3/20/48 | 409887 | 392149 |
| &nbsp;&nbsp; 4.00% 4/20/48 | 25182 | 24029 |
| &nbsp;&nbsp; 4.00% 5/20/48 | 45511 | 43645 |
| &nbsp;&nbsp; 4.00% 8/20/48 | 118666 | 113372 |
| &nbsp;&nbsp; 4.00% 9/20/48 | 29615 | 28333 |
| &nbsp;&nbsp; 4.00% 2/20/49 | 225564 | 215385 |
| &nbsp;&nbsp; 4.00% 3/20/49 | 69146 | 65998 |
| &nbsp;&nbsp; 4.00% 4/20/49 | 57655 | 55392 |
| &nbsp;&nbsp; 4.00% 10/20/49 | 24295 | 23063 |
| &nbsp;&nbsp; 4.00% 11/20/49 | 167833 | 159325 |
| &nbsp;&nbsp; 4.00% 1/20/50 | 29836 | 27772 |
| &nbsp;&nbsp; 4.00% 2/20/50 | 131450 | 125266 |
| &nbsp;&nbsp; 4.00% 4/20/50 | 74466 | 70337 |
| &nbsp;&nbsp; 4.00% 6/20/52 | 155725 | 147010 |
| &nbsp;&nbsp; 4.00% 8/20/52 | 157930 | 149990 |
| &nbsp;&nbsp; 4.00% 10/20/52 | 322050 | 305580 |
| &nbsp;&nbsp; 4.50% 7/20/32 | 2227 | 2209 |
| &nbsp;&nbsp; 4.50% 6/20/34 | 411 | 409 |
| &nbsp;&nbsp; 4.50% 2/20/40 | 1923 | 1934 |
| &nbsp;&nbsp; 4.50% 8/20/45 | 2615 | 2592 |
| &nbsp;&nbsp; 4.50% 8/20/47 | 53866 | 53352 |
| &nbsp;&nbsp; 4.50% 4/20/48 | 86717 | 85737 |
| &nbsp;&nbsp; 4.50% 5/20/48 | 7648 | 7556 |
| &nbsp;&nbsp; 4.50% 6/20/48 | 111594 | 110393 |
| &nbsp;&nbsp; 4.50% 8/20/48 | 399767 | 395472 |
| &nbsp;&nbsp; 4.50% 10/20/48 | 78836 | 77892 |
| &nbsp;&nbsp; 4.50% 12/20/48 | 152144 | 150227 |
| &nbsp;&nbsp; 4.50% 1/20/49 | 162022 | 159982 |
| &nbsp;&nbsp; 4.50% 2/20/49 | 142367 | 141006 |
| &nbsp;&nbsp; 4.50% 3/20/49 | 298258 | 295408 |
| &nbsp;&nbsp; 4.50% 2/20/50 | 218960 | 215933 |
| &nbsp;&nbsp; 4.50% 3/20/50 | 28018 | 27588 |
| &nbsp;&nbsp; 4.50% 5/20/50 | 322022 | 317237 |
| &nbsp;&nbsp; 4.50% 11/20/50 | 150908 | 149195 |
| &nbsp;&nbsp; 4.50% 12/20/50 | 28345 | 27916 |
| &nbsp;&nbsp; 4.50% 8/20/52 | 239084 | 232669 |
| &nbsp;&nbsp; 4.50% 9/20/52 | 301768 | 293855 |
| &nbsp;&nbsp; 4.50% 11/20/52 | 79830 | 77985 |
| &nbsp;&nbsp; 5.00% 5/20/48 | 29946 | 30354 |
| &nbsp;&nbsp; 5.00% 6/20/48 | 22640 | 22864 |
| &nbsp;&nbsp; 5.00% 9/20/48 | 38201 | 38706 |
| &nbsp;&nbsp; 5.00% 10/20/48 | 164814 | 167271 |
| &nbsp;&nbsp; 5.00% 11/20/48 | 72475 | 73417 |
| &nbsp;&nbsp; 5.00% 12/20/48 | 104401 | 105877 |
| &nbsp;&nbsp; 5.00% 1/20/49 | 112664 | 114372 |
| &nbsp;&nbsp; 5.00% 4/20/49 | 67028 | 67996 |
| &nbsp;&nbsp; 5.00% 9/20/49 | 62368 | 63217 |
| &nbsp;&nbsp; 5.00% 11/20/49 | 39903 | 40446 |
| &nbsp;&nbsp; 5.00% 1/20/50 | 57644 | 58428 |
| &nbsp;&nbsp; 5.00% 8/20/52 | 1657207 | 1658483 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp; 5.00% 9/20/52 | 155041 | $155332 |
| &nbsp;&nbsp; 5.00% 10/20/52 | 228595 | 228747 |
| &nbsp;&nbsp; 5.00% 12/20/52 | 77965 | 78109 |
| &nbsp;&nbsp; 5.00% 1/20/53 | 230307 | 230888 |
| &nbsp;&nbsp; 5.00% 5/20/53 | 1024732 | 1027318 |
| &nbsp;&nbsp; 5.00% 8/20/53 | 960223 | 961467 |
| &nbsp;&nbsp; 5.50% 11/20/52 | 143211 | 144660 |
| &nbsp;&nbsp; 5.50% 1/20/53 | 556824 | 564942 |
| &nbsp;&nbsp; 5.50% 2/20/53 | 296541 | 300195 |
| &nbsp;&nbsp; 5.50% 3/20/53 | 601909 | 609734 |
| &nbsp;&nbsp; 5.50% 5/20/53 | 1358382 | 1379398 |
| &nbsp;&nbsp; 5.50% 7/20/53 | 164999 | 167662 |
| &nbsp;&nbsp; 5.50% 8/20/53 | 666760 | 677101 |
| &nbsp;&nbsp; 6.00% 9/20/53 | 826209 | 853619 |
| &nbsp;&nbsp; 6.00% 1/20/54 | 1953503 | 2017157 |
| &nbsp;&nbsp; 6.00% 2/20/54 | 2014531 | 2081484 |
| **Total Agency Mortgage-Backed Securities** <br>**(Cost $142,526,845)** | **Total Agency Mortgage-Backed Securities** <br>**(Cost $142,526,845)** | **138413293** |
| **CORPORATE BONDS–27.76%** | **CORPORATE BONDS–27.76%** | **CORPORATE BONDS–27.76%** |
| **Aerospace & Defense–0.97%** | **Aerospace & Defense–0.97%** | **Aerospace & Defense–0.97%** |
| Boeing Co. |  |  |
| &nbsp;&nbsp; 2.70% 2/1/27 | 210000 | 205720 |
| &nbsp;&nbsp; 2.80% 3/1/27 | 80000 | 78384 |
| &nbsp;&nbsp; 3.10% 5/1/26 | 60000 | 59599 |
| &nbsp;&nbsp; 3.20% 3/1/29 | 200000 | 192984 |
| &nbsp;&nbsp; 3.25% 2/1/35 | 320000 | 277711 |
| &nbsp;&nbsp; 3.75% 2/1/50 | 30000 | 22165 |
| &nbsp;&nbsp; 5.15% 5/1/30 | 260000 | 266800 |
| &nbsp;&nbsp; 6.86% 5/1/54 | 80000 | 91256 |
| General Dynamics Corp. |  |  |
| &nbsp;&nbsp; 4.25% 4/1/40 | 10000 | 9142 |
| &nbsp;&nbsp; 4.25% 4/1/50 | 160000 | 137468 |
| &nbsp;&nbsp; L3Harris Technologies, Inc. <br> 4.85% 4/27/35<br>| 140000 | 139553 |
| Lockheed Martin Corp. |  |  |
| &nbsp;&nbsp; 4.15% 6/15/53 | 920000 | 747595 |
| &nbsp;&nbsp; 4.50% 5/15/36 | 200000 | 195730 |
| &nbsp;&nbsp; 5.20% 2/15/64 | 90000 | 84928 |
| Northrop Grumman Corp. |  |  |
| &nbsp;&nbsp; 3.25% 1/15/28 | 160000 | 157351 |
| &nbsp;&nbsp; 5.25% 5/1/50 | 1060000 | 1020745 |
| RTX Corp. |  |  |
| &nbsp;&nbsp; 2.25% 7/1/30 | 180000 | 164858 |
| &nbsp;&nbsp; 3.13% 7/1/50 | 480000 | 326413 |
| &nbsp;&nbsp; 4.13% 11/16/28 | 310000 | 309761 |
| &nbsp;&nbsp; 4.50% 6/1/42 | 120000 | 108515 |
| &nbsp;&nbsp; 6.00% 3/15/31 | 460000 | 496516 |
|  |  | **5093194** |
| **Agriculture–0.72%** | **Agriculture–0.72%** | **Agriculture–0.72%** |
| Altria Group, Inc. |  |  |
| &nbsp;&nbsp; 2.45% 2/4/32 | 410000 | 360911 |
| &nbsp;&nbsp; 3.40% 2/4/41 | 190000 | 147270 |
| &nbsp;&nbsp; 4.80% 2/14/29 | 27000 | 27418 |

---

*LVIP Western Asset Core Bond Fund–8*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Agriculture (continued)** | **Agriculture (continued)** | **Agriculture (continued)** |
| &nbsp;&nbsp; Altria Group, <br> Inc. (continued)<br>|  |  |
| &nbsp;&nbsp; 5.80% 2/14/39 | 130000 | $134822 |
| &nbsp;&nbsp; 5.95% 2/14/49 | 370000 | 378132 |
| &nbsp;&nbsp; 6.20% 2/14/59 | 158000 | 164067 |
| &nbsp;&nbsp; 6.88% 11/1/33 | 650000 | 734461 |
| BAT Capital Corp. |  |  |
| &nbsp;&nbsp; 3.56% 8/15/27 | 185000 | 183108 |
| &nbsp;&nbsp; 3.73% 9/25/40 | 180000 | 145185 |
| &nbsp;&nbsp; 4.54% 8/15/47 | 270000 | 226406 |
| &nbsp;&nbsp; 6.25% 8/15/55 | 130000 | 135931 |
| &nbsp;&nbsp; 7.08% 8/2/53 | 70000 | 80234 |
| &nbsp;&nbsp; Philip Morris International, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 2.10% 5/1/30 | 250000 | 227826 |
| &nbsp;&nbsp; 4.50% 3/20/42 | 560000 | 505383 |
| &nbsp;&nbsp; 4.88% 2/13/29 | 130000 | 132790 |
| &nbsp;&nbsp; 5.13% 2/13/31 | 30000 | 31047 |
| &nbsp;&nbsp; 5.25% 2/13/34 | 100000 | 103259 |
| &nbsp;&nbsp; Reynolds American, Inc. <br> 5.85% 8/15/45<br>| 50000 | 49549 |
|  |  | **3767799** |
| **Airlines–0.24%** | **Airlines–0.24%** | **Airlines–0.24%** |
| &nbsp;&nbsp; Delta Air Lines, Inc./SkyMiles <br> IP Ltd.<br>|  |  |
| &nbsp;&nbsp; 4.50% 10/20/25 | 28334 | 28299 |
| &nbsp;&nbsp; 4.75% 10/20/28 | 200000 | 201125 |
| &nbsp;&nbsp; United Airlines, Inc. 4.63% <br> 4/15/29<br>| 1040000 | 1024076 |
|  |  | **1253500** |
| **Apparel–0.08%** | **Apparel–0.08%** | **Apparel–0.08%** |
| NIKE, Inc. |  |  |
| &nbsp;&nbsp; 2.85% 3/27/30 | 380000 | 360929 |
| &nbsp;&nbsp; 3.25% 3/27/40 | 100000 | 81028 |
|  |  | **441957** |
| **Auto Manufacturers–0.08%** | **Auto Manufacturers–0.08%** | **Auto Manufacturers–0.08%** |
| Ford Motor Co. 6.10% 8/19/32 | 270000 | 276579 |
| General Motors Co. |  |  |
| &nbsp;&nbsp; 5.60% 10/15/32 | 70000 | 72697 |
| &nbsp;&nbsp; 6.75% 4/1/46 | 41000 | 43908 |
|  |  | **393184** |
| **Banks–8.40%** | **Banks–8.40%** | **Banks–8.40%** |
| Bank of America Corp. |  |  |
| μ1.90% 7/23/31 | 410000 | 366217 |
| μ2.57% 10/20/32 | 670000 | 600496 |
| μ2.59% 4/29/31 | 240000 | 222405 |
| μ2.97% 2/4/33 | 1070000 | 974381 |
| μ3.59% 7/21/28 | 890000 | 881841 |
| μ3.97% 3/5/29 | 480000 | 477666 |
| μ3.97% 2/7/30 | 280000 | 277934 |
| μ4.08% 3/20/51 | 1160000 | 943970 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp; Bank of America <br> Corp. (continued)<br>|  |  |
| &nbsp;&nbsp; 4.25% 10/22/26 | 810000 | $811075 |
| μ4.33% 3/15/50 | 230000 | 196231 |
| &nbsp;&nbsp; 4.45% 3/3/26 | 1221000 | 1221810 |
| &nbsp;&nbsp; 5.00% 1/21/44 | 40000 | 39116 |
| &nbsp;&nbsp; μBank of Montreal 3.80% <br> 12/15/32<br>| 70000 | 68760 |
| &nbsp;&nbsp; μBank of Nova Scotia 4.59% <br> 5/4/37<br>| 180000 | 174193 |
| μBarclays PLC 4.97% 5/16/29 | 450000 | 456695 |
| BNP Paribas SA |  |  |
| &nbsp;&nbsp; 4.40% 8/14/28 | 430000 | 431293 |
| μ5.13% 1/13/29 | 650000 | 662899 |
| μ5.20% 1/10/30 | 300000 | 306974 |
| μ5.89% 12/5/34 | 790000 | 843182 |
| μCaixaBank SA 4.89% 7/3/31 | 500000 | 505131 |
| Citigroup, Inc. |  |  |
| μ2.52% 11/3/32 | 240000 | 213210 |
| μ2.57% 6/3/31 | 1010000 | 929290 |
| μ3.79% 3/17/33 | 390000 | 370493 |
| &nbsp;&nbsp; 4.45% 9/29/27 | 2380000 | 2389687 |
| &nbsp;&nbsp; 4.65% 7/23/48 | 490000 | 437108 |
| μ4.66% 5/24/28 | 90000 | 90677 |
| &nbsp;&nbsp; 4.75% 5/18/46 | 150000 | 133286 |
| μ4.91% 5/24/33 | 620000 | 627492 |
| &nbsp;&nbsp; 6.13% 8/25/36 | 250000 | 266970 |
| &nbsp;&nbsp; 8.13% 7/15/39 | 10000 | 12820 |
| μCooperatieve Rabobank UA |  |  |
| &nbsp;&nbsp; 3.65% 4/6/28 | 250000 | 248154 |
| &nbsp;&nbsp; 3.76% 4/6/33 | 250000 | 237431 |
| &nbsp;&nbsp; μCredit Agricole SA 4.82% <br> 9/25/33<br>| 410000 | 407480 |
| Goldman Sachs Group, Inc. |  |  |
| μ2.65% 10/21/32 | 950000 | 854363 |
| μ2.91% 7/21/42 | 180000 | 132798 |
| μ3.21% 4/22/42 | 80000 | 61853 |
| &nbsp;&nbsp; 3.50% 11/16/26 | 840000 | 834527 |
| μ3.62% 3/15/28 | 90000 | 89325 |
| μ3.69% 6/5/28 | 720000 | 714822 |
| μ4.22% 5/1/29 | 560000 | 560653 |
| &nbsp;&nbsp; 4.25% 10/21/25 | 500000 | 499671 |
| &nbsp;&nbsp; 4.75% 10/21/45 | 260000 | 237516 |
| &nbsp;&nbsp; 5.15% 5/22/45 | 190000 | 179304 |
| &nbsp;&nbsp; 6.25% 2/1/41 | 400000 | 439417 |
| &nbsp;&nbsp; 6.75% 10/1/37 | 180000 | 201672 |
| &nbsp;&nbsp; μHSBC Holdings PLC 4.04% <br> 3/13/28<br>| 630000 | 628243 |
| JPMorgan Chase & Co. |  |  |
| μ2.52% 4/22/31 | 970000 | 899704 |
| μ2.55% 11/8/32 | 1040000 | 932797 |
| μ3.11% 4/22/51 | 240000 | 165939 |
| &nbsp;&nbsp; 3.63% 12/1/27 | 130000 | 128971 |
| μ4.20% 7/23/29 | 290000 | 290561 |
| &nbsp;&nbsp; 4.25% 10/1/27 | 1148000 | 1155701 |

---

*LVIP Western Asset Core Bond Fund–9*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp; JPMorgan Chase & <br> Co. (continued)<br>|  |  |
| μ4.45% 12/5/29 | 460000 | $463807 |
| μ5.58% 7/23/36 | 500000 | 518341 |
| &nbsp;&nbsp; Lloyds Banking Group PLC <br> 4.65% 3/24/26<br>| 340000 | 340238 |
| &nbsp;&nbsp; μMitsubishi UFJ Financial <br> Group, Inc. 4.08% 4/19/28<br>| 200000 | 199785 |
| μMorgan Stanley |  |  |
| &nbsp;&nbsp; 2.70% 1/22/31 | 540000 | 504595 |
| &nbsp;&nbsp; 3.62% 4/1/31 | 1110000 | 1077037 |
| &nbsp;&nbsp; 3.77% 1/24/29 | 390000 | 386620 |
| &nbsp;&nbsp; 4.43% 1/23/30 | 20000 | 20096 |
| &nbsp;&nbsp; 5.32% 7/19/35 | 680000 | 701657 |
| &nbsp;&nbsp; 5.47% 1/18/35 | 160000 | 166647 |
| &nbsp;&nbsp; μMorgan Stanley Private Bank <br> NA 4.73% 7/18/31<br>| 330000 | 334928 |
| &nbsp;&nbsp; μNatWest Group PLC 4.89% <br> 5/18/29<br>| 200000 | 203143 |
| &nbsp;&nbsp; μPNC Financial Services <br> Group, Inc. 5.58% 6/12/29<br>| 370000 | 383406 |
| Royal Bank of Canada |  |  |
| &nbsp;&nbsp; 3.88% 5/4/32 | 600000 | 582177 |
| &nbsp;&nbsp; 5.15% 2/1/34 | 80000 | 83344 |
| &nbsp;&nbsp; μSantander U.K. Group <br> Holdings PLC 5.14% 9/22/36<br>| 340000 | 336830 |
| &nbsp;&nbsp; Toronto-Dominion Bank <br> 4.46% 6/8/32<br>| 170000 | 169871 |
| μTruist Bank 4.63% 9/17/29 | 320000 | 322392 |
| &nbsp;&nbsp; μTruist Financial Corp. 6.05% <br> 6/8/27<br>| 250000 | 252901 |
| μU.S. Bancorp |  |  |
| &nbsp;&nbsp; 2.22% 1/27/28 | 40000 | 38969 |
| &nbsp;&nbsp; 5.78% 6/12/29 | 270000 | 280996 |
| &nbsp;&nbsp; 5.84% 6/12/34 | 100000 | 106559 |
| UBS AG |  |  |
| &nbsp;&nbsp; 5.00% 7/9/27 | 490000 | 498245 |
| &nbsp;&nbsp; 7.50% 2/15/28 | 820000 | 882856 |
| UBS Group AG |  |  |
| &nbsp;&nbsp; 4.13% 4/15/26 | 286000 | 285998 |
| μ4.19% 4/1/31 | 400000 | 395458 |
| &nbsp;&nbsp; 4.25% 3/23/28 | 890000 | 890108 |
| &nbsp;&nbsp; 4.55% 4/17/26 | 271000 | 271719 |
| μ4.75% 5/12/28 | 410000 | 413507 |
| μ9.02% 11/15/33 | 750000 | 939650 |
| Wells Fargo & Co. |  |  |
| μ2.39% 6/2/28 | 230000 | 223584 |
| μ2.88% 10/30/30 | 430000 | 407125 |
| &nbsp;&nbsp; 3.00% 10/23/26 | 330000 | 326646 |
| μ3.35% 3/2/33 | 640000 | 595760 |
| &nbsp;&nbsp; 4.15% 1/24/29 | 410000 | 409825 |
| &nbsp;&nbsp; 4.30% 7/22/27 | 204000 | 204718 |
| &nbsp;&nbsp; 4.40% 6/14/46 | 610000 | 515915 |
| μ4.48% 4/4/31 | 390000 | 392135 |
| &nbsp;&nbsp; 4.65% 11/4/44 | 10000 | 8853 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp; Wells Fargo & <br> Co. (continued)<br>|  |  |
| &nbsp;&nbsp; 4.75% 12/7/46 | 580000 | $514704 |
| &nbsp;&nbsp; 4.90% 11/17/45 | 360000 | 327827 |
| μ5.01% 4/4/51 | 2310000 | 2157205 |
|  |  | **43970381** |
| **Beverages–0.39%** | **Beverages–0.39%** | **Beverages–0.39%** |
| &nbsp;&nbsp; Anheuser-Busch Cos. <br> LLC/Anheuser-Busch InBev <br> Worldwide, Inc. 4.90% <br> 2/1/46<br>| 750000 | 702622 |
| &nbsp;&nbsp; Anheuser-Busch InBev <br> Worldwide, Inc.<br>|  |  |
| &nbsp;&nbsp; 3.50% 6/1/30 | 680000 | 662041 |
| &nbsp;&nbsp; 5.55% 1/23/49 | 510000 | 515646 |
| Constellation Brands, Inc. |  |  |
| &nbsp;&nbsp; 2.25% 8/1/31 | 30000 | 26444 |
| &nbsp;&nbsp; 4.35% 5/9/27 | 160000 | 160461 |
|  |  | **2067214** |
| **Biotechnology–0.03%** | **Biotechnology–0.03%** | **Biotechnology–0.03%** |
| &nbsp;&nbsp; Gilead Sciences, Inc. 4.75% <br> 3/1/46<br>| 160000 | 147053 |
|  |  | **147053** |
| **Building Materials–0.04%** | **Building Materials–0.04%** | **Building Materials–0.04%** |
| Amrize Finance U.S. LLC |  |  |
| &nbsp;&nbsp; 4.95% 4/7/30 | 70000 | 71546 |
| &nbsp;&nbsp; 5.40% 4/7/35 | 120000 | 123616 |
|  |  | **195162** |
| **Chemicals–0.29%** | **Chemicals–0.29%** | **Chemicals–0.29%** |
| &nbsp;&nbsp; EQUATE Petrochemical Co. <br> KSC 4.25% 11/3/26<br>| 510000 | 508189 |
| MEGlobal BV 2.63% 4/28/28 | 770000 | 733864 |
| OCP SA 4.50% 10/22/25 | 297000 | 296774 |
|  |  | **1538827** |
| **Commercial Services–0.18%** | **Commercial Services–0.18%** | **Commercial Services–0.18%** |
| &nbsp;&nbsp; Cintas Corp. No. 2 4.00% <br> 5/1/32<br>| 100000 | 97772 |
| DP World Ltd. 5.63% 9/25/48 | 770000 | 757661 |
| &nbsp;&nbsp; PayPal Holdings, Inc. 2.30% <br> 6/1/30<br>| 120000 | 110466 |
|  |  | **965899** |
| **Cosmetics & Personal Care–0.14%** | **Cosmetics & Personal Care–0.14%** | **Cosmetics & Personal Care–0.14%** |
| Haleon U.S. Capital LLC |  |  |
| &nbsp;&nbsp; 3.38% 3/24/27 | 250000 | 247404 |
| &nbsp;&nbsp; 3.63% 3/24/32 | 250000 | 236910 |
| Kenvue, Inc. 4.90% 3/22/33 | 150000 | 152484 |
| &nbsp;&nbsp; Procter & Gamble Co. 3.00% <br> 3/25/30<br>| 120000 | 115157 |
|  |  | **751955** |

---

*LVIP Western Asset Core Bond Fund–10*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Diversified Financial Services–0.74%** | **Diversified Financial Services–0.74%** | **Diversified Financial Services–0.74%** |
| &nbsp;&nbsp; AerCap Ireland Capital <br> DAC/AerCap Global Aviation <br> Trust<br>|  |  |
| &nbsp;&nbsp; 2.45% 10/29/26 | 370000 | $363519 |
| &nbsp;&nbsp; 3.00% 10/29/28 | 1070000 | 1031151 |
| &nbsp;&nbsp; 5.00% 11/15/35 | 160000 | 158241 |
| Air Lease Corp. 5.30% 2/1/28 | 180000 | 183252 |
| &nbsp;&nbsp; American Express Co. 4.05% <br> 5/3/29<br>| 250000 | 250466 |
| &nbsp;&nbsp; μCharles Schwab Corp. 6.14% <br> 8/24/34<br>| 110000 | 119822 |
| &nbsp;&nbsp; CI Financial Corp. 7.50% <br> 5/30/29<br>| 560000 | 596835 |
| &nbsp;&nbsp; Intercontinental Exchange, <br> Inc. 4.60% 3/15/33<br>| 80000 | 80488 |
| &nbsp;&nbsp; Mastercard, Inc. 3.85% <br> 3/26/50<br>| 660000 | 528864 |
| Visa, Inc. 4.30% 12/14/45 | 610000 | 538500 |
|  |  | **3851138** |
| **Electric–1.20%** | **Electric–1.20%** | **Electric–1.20%** |
| &nbsp;&nbsp; American Transmission <br> Systems, Inc. 2.65% 1/15/32<br>| 80000 | 71773 |
| &nbsp;&nbsp; Cleveland Electric <br> Illuminating Co. 3.50% <br> 4/1/28<br>| 70000 | 68748 |
| &nbsp;&nbsp; Comision Federal de <br> Electricidad 3.88% 7/26/33<br>| 1220000 | 1077903 |
| &nbsp;&nbsp; Consolidated Edison Co. of <br> New York, Inc.<br>|  |  |
| &nbsp;&nbsp; 3.35% 4/1/30 | 80000 | 77460 |
| &nbsp;&nbsp; 3.95% 4/1/50 | 60000 | 47769 |
| FirstEnergy Corp. |  |  |
| &nbsp;&nbsp; 1.60% 1/15/26 | 80000 | 79301 |
| &nbsp;&nbsp; 3.90% 7/15/27 | 510000 | 506872 |
| &nbsp;&nbsp; Florida Power & Light Co. <br> 5.70% 3/15/55<br>| 240000 | 248772 |
| &nbsp;&nbsp; Georgia Power Co. 5.20% <br> 3/15/35<br>| 210000 | 215195 |
| &nbsp;&nbsp; MidAmerican Energy Co. <br> 3.65% 4/15/29<br>| 260000 | 256209 |
| &nbsp;&nbsp; Mid-Atlantic Interstate <br> Transmission LLC 4.10% <br> 5/15/28<br>| 200000 | 199778 |
| &nbsp;&nbsp; NRG Energy, Inc. 5.41% <br> 10/15/35<br>| 210000 | 210714 |
| &nbsp;&nbsp; Oglethorpe Power Corp. <br> 5.90% 2/1/55<br>| 240000 | 242758 |
| &nbsp;&nbsp; Oncor Electric Delivery Co. <br> LLC<br>|  |  |
| &nbsp;&nbsp; 5.35% 4/1/35 | 120000 | 124116 |
| &nbsp;&nbsp; 5.80% 4/1/55 | 150000 | 154275 |
| Pacific Gas & Electric Co. |  |  |
| &nbsp;&nbsp; 2.10% 8/1/27 | 50000 | 48062 |
| &nbsp;&nbsp; 2.50% 2/1/31 | 110000 | 97999 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electric (continued)** | **Electric (continued)** | **Electric (continued)** |
| &nbsp;&nbsp; Pacific Gas & Electric <br> Co. (continued)<br>|  |  |
| &nbsp;&nbsp; 3.30% 8/1/40 | 230000 | $174260 |
| &nbsp;&nbsp; 3.50% 8/1/50 | 50000 | 34110 |
| &nbsp;&nbsp; 5.05% 10/15/32 | 350000 | 349335 |
| &nbsp;&nbsp; Perusahaan Perseroan <br> Persero PT Perusahaan <br> Listrik Negara<br>|  |  |
| &nbsp;&nbsp; 4.13% 5/15/27 | 310000 | 308806 |
| &nbsp;&nbsp; 5.45% 5/21/28 | 200000 | 205462 |
| &nbsp;&nbsp; 6.15% 5/21/48 | 890000 | 906345 |
| &nbsp;&nbsp; RWE Finance U.S. LLC 5.13% <br> 9/18/35<br>| 570000 | 562231 |
|  |  | **6268253** |
| **Electrical Components & Equipment–0.04%** | **Electrical Components & Equipment–0.04%** | **Electrical Components & Equipment–0.04%** |
| &nbsp;&nbsp; Emerson Electric Co. 2.80% <br> 12/21/51<br>| 350000 | 224828 |
|  |  | **224828** |
| **Electronics–0.08%** | **Electronics–0.08%** | **Electronics–0.08%** |
| &nbsp;&nbsp; Honeywell International, Inc. <br> 5.00% 3/1/35<br>| 400000 | 406664 |
|  |  | **406664** |
| **Environmental Control–0.05%** | **Environmental Control–0.05%** | **Environmental Control–0.05%** |
| &nbsp;&nbsp; Waste Connections, Inc. 5.00% <br> 3/1/34<br>| 240000 | 245031 |
|  |  | **245031** |
| **Food–0.29%** | **Food–0.29%** | **Food–0.29%** |
| Kroger Co. 5.00% 9/15/34 | 220000 | 221868 |
| Mars, Inc. |  |  |
| &nbsp;&nbsp; 2.38% 7/16/40 | 300000 | 215009 |
| &nbsp;&nbsp; 3.20% 4/1/30 | 250000 | 240495 |
| &nbsp;&nbsp; 5.00% 3/1/32 | 70000 | 71615 |
| &nbsp;&nbsp; 5.20% 3/1/35 | 170000 | 173763 |
| &nbsp;&nbsp; 5.70% 5/1/55 | 570000 | 577379 |
|  |  | **1500129** |
| **Forest Products & Paper–0.14%** | **Forest Products & Paper–0.14%** | **Forest Products & Paper–0.14%** |
| &nbsp;&nbsp; Georgia-Pacific LLC 4.95% <br> 6/30/32<br>| 370000 | 379600 |
| &nbsp;&nbsp; Suzano Austria GmbH 3.13% <br> 1/15/32<br>| 380000 | 340987 |
|  |  | **720587** |
| **Health Care Products–0.24%** | **Health Care Products–0.24%** | **Health Care Products–0.24%** |
| &nbsp;&nbsp; Abbott Laboratories 4.75% <br> 11/30/36<br>| 160000 | 161466 |
| Solventum Corp. |  |  |
| &nbsp;&nbsp; 5.40% 3/1/29 | 121000 | 124871 |
| &nbsp;&nbsp; 5.45% 3/13/31 | 310000 | 323268 |
| &nbsp;&nbsp; 5.60% 3/23/34 | 200000 | 208226 |

---

*LVIP Western Asset Core Bond Fund–11*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Health Care Products (continued)** | **Health Care Products (continued)** | **Health Care Products (continued)** |
| Solventum Corp. (continued) |  |  |
| &nbsp;&nbsp; 5.90% 4/30/54 | 439000 | $450856 |
|  |  | **1268687** |
| **Health Care Services–0.72%** | **Health Care Services–0.72%** | **Health Care Services–0.72%** |
| Cigna Group |  |  |
| &nbsp;&nbsp; 4.38% 10/15/28 | 600000 | 603156 |
| &nbsp;&nbsp; 4.80% 8/15/38 | 120000 | 114509 |
| Elevance Health, Inc. |  |  |
| &nbsp;&nbsp; 3.65% 12/1/27 | 100000 | 99292 |
| &nbsp;&nbsp; 4.10% 5/15/32 | 190000 | 184567 |
| &nbsp;&nbsp; 4.55% 5/15/52 | 160000 | 133961 |
| Humana, Inc. |  |  |
| &nbsp;&nbsp; 3.13% 8/15/29 | 260000 | 247477 |
| &nbsp;&nbsp; 3.70% 3/23/29 | 420000 | 410438 |
| &nbsp;&nbsp; 3.95% 3/15/27 | 290000 | 289048 |
| &nbsp;&nbsp; Roche Holdings, Inc. 2.61% <br> 12/13/51<br>| 300000 | 186462 |
| UnitedHealth Group, Inc. |  |  |
| &nbsp;&nbsp; 1.25% 1/15/26 | 70000 | 69368 |
| &nbsp;&nbsp; 2.00% 5/15/30 | 230000 | 208483 |
| &nbsp;&nbsp; 2.30% 5/15/31 | 40000 | 35857 |
| &nbsp;&nbsp; 2.90% 5/15/50 | 120000 | 77360 |
| &nbsp;&nbsp; 3.13% 5/15/60 | 20000 | 12373 |
| &nbsp;&nbsp; 3.70% 8/15/49 | 560000 | 419253 |
| &nbsp;&nbsp; 3.88% 12/15/28 | 70000 | 69617 |
| &nbsp;&nbsp; 3.88% 8/15/59 | 160000 | 117266 |
| &nbsp;&nbsp; 4.00% 5/15/29 | 200000 | 199342 |
| &nbsp;&nbsp; 4.20% 5/15/32 | 240000 | 236572 |
| &nbsp;&nbsp; 4.25% 6/15/48 | 50000 | 41334 |
| &nbsp;&nbsp; 4.45% 12/15/48 | 40000 | 33926 |
|  |  | **3789661** |
| **Insurance–0.26%** | **Insurance–0.26%** | **Insurance–0.26%** |
| &nbsp;&nbsp; Aon North America, Inc. <br> 5.45% 3/1/34<br>| 540000 | 562520 |
| &nbsp;&nbsp; Berkshire Hathaway Finance <br> Corp. 4.25% 1/15/49<br>| 280000 | 239973 |
| &nbsp;&nbsp; Chubb INA Holdings LLC <br> 3.35% 5/3/26<br>| 140000 | 139414 |
| MetLife, Inc. 6.40% 12/15/66 | 380000 | 399879 |
|  |  | **1341786** |
| **Internet–0.65%** | **Internet–0.65%** | **Internet–0.65%** |
| Alphabet, Inc. |  |  |
| &nbsp;&nbsp; 1.10% 8/15/30 | 360000 | 315292 |
| &nbsp;&nbsp; 1.90% 8/15/40 | 150000 | 102501 |
| &nbsp;&nbsp; 4.50% 5/15/35 | 100000 | 100086 |
| &nbsp;&nbsp; 5.25% 5/15/55 | 140000 | 140305 |
| &nbsp;&nbsp; 5.30% 5/15/65 | 150000 | 149255 |
| Amazon.com, Inc. |  |  |
| &nbsp;&nbsp; 2.50% 6/3/50 | 1750000 | 1081090 |
| &nbsp;&nbsp; 3.88% 8/22/37 | 120000 | 110639 |
| &nbsp;&nbsp; 4.25% 8/22/57 | 50000 | 42012 |
| &nbsp;&nbsp; 4.95% 12/5/44 | 150000 | 148412 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Internet (continued)** | **Internet (continued)** | **Internet (continued)** |
| &nbsp;&nbsp; Meta Platforms, Inc. 4.75% <br> 8/15/34<br>| 430000 | $435602 |
| Prosus NV |  |  |
| &nbsp;&nbsp; 3.68% 1/21/30 | 200000 | 192141 |
| &nbsp;&nbsp; 4.03% 8/3/50 | 850000 | 594835 |
|  |  | **3412170** |
| **Leisure Time–0.12%** | **Leisure Time–0.12%** | **Leisure Time–0.12%** |
| Royal Caribbean Cruises Ltd. |  |  |
| &nbsp;&nbsp; 5.63% 9/30/31 | 340000 | 346691 |
| &nbsp;&nbsp; 6.00% 2/1/33 | 290000 | 297390 |
|  |  | **644081** |
| **Lodging–0.29%** | **Lodging–0.29%** | **Lodging–0.29%** |
| Las Vegas Sands Corp. |  |  |
| &nbsp;&nbsp; 5.63% 6/15/28 | 630000 | 644081 |
| &nbsp;&nbsp; 6.00% 8/15/29 | 140000 | 145813 |
| &nbsp;&nbsp; 6.00% 6/14/30 | 110000 | 114548 |
| &nbsp;&nbsp; Sands China Ltd. 4.38% <br> 6/18/30<br>| 600000 | 589990 |
|  |  | **1494432** |
| **Machinery Diversified–0.04%** | **Machinery Diversified–0.04%** | **Machinery Diversified–0.04%** |
| Deere & Co. |  |  |
| &nbsp;&nbsp; 3.10% 4/15/30 | 150000 | 143786 |
| &nbsp;&nbsp; 3.75% 4/15/50 | 100000 | 79056 |
|  |  | **222842** |
| **Media–1.34%** | **Media–1.34%** | **Media–1.34%** |
| &nbsp;&nbsp; Charter Communications <br> Operating LLC/Charter <br> Communications Operating <br> Capital<br>|  |  |
| &nbsp;&nbsp; 3.50% 3/1/42 | 90000 | 64822 |
| &nbsp;&nbsp; 4.20% 3/15/28 | 420000 | 418077 |
| &nbsp;&nbsp; 4.40% 4/1/33 | 540000 | 512189 |
| &nbsp;&nbsp; 4.80% 3/1/50 | 230000 | 182167 |
| &nbsp;&nbsp; 5.05% 3/30/29 | 410000 | 415368 |
| &nbsp;&nbsp; 5.13% 7/1/49 | 370000 | 305958 |
| &nbsp;&nbsp; 5.38% 4/1/38 | 400000 | 377264 |
| &nbsp;&nbsp; 5.38% 5/1/47 | 200000 | 172867 |
| &nbsp;&nbsp; 5.50% 4/1/63 | 150000 | 125699 |
| &nbsp;&nbsp; 6.48% 10/23/45 | 290000 | 286493 |
| &nbsp;&nbsp; 6.55% 6/1/34 | 120000 | 127886 |
| Comcast Corp. |  |  |
| &nbsp;&nbsp; 2.80% 1/15/51 | 290000 | 177043 |
| &nbsp;&nbsp; 2.89% 11/1/51 | 320000 | 197111 |
| &nbsp;&nbsp; 2.94% 11/1/56 | 54000 | 32044 |
| &nbsp;&nbsp; 3.40% 4/1/30 | 180000 | 174143 |
| &nbsp;&nbsp; 3.45% 2/1/50 | 120000 | 83889 |
| &nbsp;&nbsp; 3.75% 4/1/40 | 100000 | 84091 |
| &nbsp;&nbsp; 3.97% 11/1/47 | 350000 | 273501 |
| &nbsp;&nbsp; 4.05% 11/1/52 | 590000 | 452367 |
| &nbsp;&nbsp; 4.15% 10/15/28 | 730000 | 732142 |
| &nbsp;&nbsp; 4.25% 10/15/30 | 570000 | 570981 |

---

*LVIP Western Asset Core Bond Fund–12*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Media (continued)** | **Media (continued)** | **Media (continued)** |
| Comcast Corp. (continued) |  |  |
| &nbsp;&nbsp; 4.95% 10/15/58 | 30000 | $26287 |
| Fox Corp. 5.48% 1/25/39 | 710000 | 712702 |
| Time Warner Cable LLC |  |  |
| &nbsp;&nbsp; 6.55% 5/1/37 | 60000 | 62416 |
| &nbsp;&nbsp; 7.30% 7/1/38 | 270000 | 295026 |
| &nbsp;&nbsp; Walt Disney Co. 6.65% <br> 11/15/37<br>| 110000 | 127069 |
|  |  | **6989602** |
| **Mining–0.33%** | **Mining–0.33%** | **Mining–0.33%** |
| &nbsp;&nbsp; Barrick PD Australia Finance <br> Pty. Ltd. 5.95% 10/15/39<br>| 390000 | 414158 |
| Freeport-McMoRan, Inc. |  |  |
| &nbsp;&nbsp; 5.40% 11/14/34 | 270000 | 276723 |
| &nbsp;&nbsp; 5.45% 3/15/43 | 180000 | 173373 |
| Glencore Funding LLC |  |  |
| &nbsp;&nbsp; 3.88% 10/27/27 | 30000 | 29758 |
| &nbsp;&nbsp; 4.00% 3/27/27 | 130000 | 129382 |
| &nbsp;&nbsp; 5.67% 4/1/35 | 480000 | 498879 |
| &nbsp;&nbsp; 6.14% 4/1/55 | 210000 | 219535 |
|  |  | **1741808** |
| **Miscellaneous Manufacturing–0.09%** | **Miscellaneous Manufacturing–0.09%** | **Miscellaneous Manufacturing–0.09%** |
| Eaton Corp. 4.15% 11/2/42 | 250000 | 220930 |
| &nbsp;&nbsp; Siemens Funding BV 5.90% <br> 5/28/65<br>| 220000 | 238536 |
|  |  | **459466** |
| **Oil & Gas–1.99%** | **Oil & Gas–1.99%** | **Oil & Gas–1.99%** |
| &nbsp;&nbsp; BP Capital Markets America, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 2.77% 11/10/50 | 70000 | 43981 |
| &nbsp;&nbsp; 2.94% 6/4/51 | 50000 | 32310 |
| &nbsp;&nbsp; 3.00% 2/24/50 | 340000 | 224889 |
| &nbsp;&nbsp; 3.41% 2/11/26 | 50000 | 49879 |
| &nbsp;&nbsp; 3.63% 4/6/30 | 70000 | 68562 |
| Chevron Corp. 3.08% 5/11/50 | 150000 | 104067 |
| &nbsp;&nbsp; Chevron USA, Inc. 3.25% <br> 10/15/29<br>| 490000 | 477376 |
| &nbsp;&nbsp; Continental Resources, Inc. <br> 4.38% 1/15/28<br>| 290000 | 288164 |
| Coterra Energy, Inc. |  |  |
| &nbsp;&nbsp; 3.90% 5/15/27 | 300000 | 298029 |
| &nbsp;&nbsp; 4.38% 3/15/29 | 850000 | 848237 |
| &nbsp;&nbsp; Devon Energy Corp. 5.60% <br> 7/15/41<br>| 277000 | 266660 |
| Ecopetrol SA 5.88% 5/28/45 | 970000 | 741883 |
| &nbsp;&nbsp; EOG Resources, Inc. 4.38% <br> 4/15/30<br>| 190000 | 191039 |
| EQT Corp. 7.00% 2/1/30 | 220000 | 239524 |
| &nbsp;&nbsp; Expand Energy Corp. 4.75% <br> 2/1/32<br>| 320000 | 314488 |
| Exxon Mobil Corp. |  |  |
| &nbsp;&nbsp; 3.45% 4/15/51 | 180000 | 131882 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Oil & Gas (continued)** | **Oil & Gas (continued)** | **Oil & Gas (continued)** |
| &nbsp;&nbsp; Exxon Mobil <br> Corp. (continued)<br>|  |  |
| &nbsp;&nbsp; 3.48% 3/19/30 | 220000 | $214878 |
| &nbsp;&nbsp; 4.11% 3/1/46 | 180000 | 152621 |
| &nbsp;&nbsp; 4.33% 3/19/50 | 30000 | 25713 |
| &nbsp;&nbsp; KazMunayGas National Co. <br> JSC<br>|  |  |
| &nbsp;&nbsp; 5.38% 4/24/30 | 250000 | 256884 |
| &nbsp;&nbsp; 5.75% 4/19/47 | 1810000 | 1685530 |
| Occidental Petroleum Corp. |  |  |
| &nbsp;&nbsp; 3.00% 2/15/27 | 200000 | 195642 |
| &nbsp;&nbsp; 3.50% 8/15/29 | 120000 | 114467 |
| &nbsp;&nbsp; 4.20% 3/15/48 | 40000 | 29320 |
| &nbsp;&nbsp; 4.40% 4/15/46 | 90000 | 70602 |
| &nbsp;&nbsp; 4.50% 7/15/44 | 560000 | 444774 |
| &nbsp;&nbsp; Petroleos Mexicanos 6.88% <br> 8/4/26<br>| 85000 | 86091 |
| &nbsp;&nbsp; Pioneer Natural Resources <br> Co.<br>|  |  |
| &nbsp;&nbsp; 1.13% 1/15/26 | 50000 | 49543 |
| &nbsp;&nbsp; 1.90% 8/15/30 | 200000 | 179616 |
| &nbsp;&nbsp; 2.15% 1/15/31 | 440000 | 395605 |
| Reliance Industries Ltd. |  |  |
| &nbsp;&nbsp; 2.88% 1/12/32 | 360000 | 326913 |
| &nbsp;&nbsp; 3.63% 1/12/52 | 630000 | 465780 |
| Shell Finance U.S., Inc. |  |  |
| &nbsp;&nbsp; 2.38% 11/7/29 | 50000 | 46915 |
| &nbsp;&nbsp; 2.75% 4/6/30 | 100000 | 94431 |
| &nbsp;&nbsp; 3.25% 4/6/50 | 380000 | 269731 |
| &nbsp;&nbsp; 4.00% 5/10/46 | 660000 | 543195 |
| &nbsp;&nbsp; Viper Energy Partners LLC <br> 5.70% 8/1/35<br>| 410000 | 416855 |
|  |  | **10386076** |
| **Oil & Gas Services–0.03%** | **Oil & Gas Services–0.03%** | **Oil & Gas Services–0.03%** |
| &nbsp;&nbsp; Halliburton Co. 5.00% <br> 11/15/45<br>| 70000 | 63647 |
| &nbsp;&nbsp; Schlumberger Holdings Corp. <br> 3.90% 5/17/28<br>| 75000 | 74659 |
|  |  | **138306** |
| **Pharmaceuticals–1.34%** | **Pharmaceuticals–1.34%** | **Pharmaceuticals–1.34%** |
| AbbVie, Inc. |  |  |
| &nbsp;&nbsp; 2.95% 11/21/26 | 160000 | 158163 |
| &nbsp;&nbsp; 3.20% 11/21/29 | 1200000 | 1157700 |
| &nbsp;&nbsp; 4.25% 11/21/49 | 380000 | 320143 |
| &nbsp;&nbsp; 4.55% 3/15/35 | 20000 | 19688 |
| &nbsp;&nbsp; 4.80% 3/15/29 | 300000 | 306788 |
| &nbsp;&nbsp; 4.88% 11/14/48 | 30000 | 27823 |
| &nbsp;&nbsp; 4.95% 3/15/31 | 130000 | 134371 |
| &nbsp;&nbsp; 5.05% 3/15/34 | 180000 | 185224 |
| &nbsp;&nbsp; Becton Dickinson & Co. 4.69% <br> 12/15/44<br>| 93000 | 83287 |
| Bristol-Myers Squibb Co. |  |  |
| &nbsp;&nbsp; 3.40% 7/26/29 | 81000 | 78980 |

---

*LVIP Western Asset Core Bond Fund–13*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** |
| &nbsp;&nbsp; Bristol-Myers Squibb <br> Co. (continued)<br>|  |  |
| &nbsp;&nbsp; 5.10% 2/22/31 | 160000 | $166381 |
| &nbsp;&nbsp; 5.20% 2/22/34 | 450000 | 466632 |
| &nbsp;&nbsp; 5.55% 2/22/54 | 10000 | 9967 |
| CVS Health Corp. |  |  |
| &nbsp;&nbsp; 1.88% 2/28/31 | 50000 | 43456 |
| &nbsp;&nbsp; 2.13% 9/15/31 | 180000 | 156242 |
| &nbsp;&nbsp; 3.63% 4/1/27 | 70000 | 69401 |
| &nbsp;&nbsp; 3.75% 4/1/30 | 230000 | 222803 |
| &nbsp;&nbsp; 4.13% 4/1/40 | 30000 | 25484 |
| &nbsp;&nbsp; 4.30% 3/25/28 | 392000 | 392258 |
| &nbsp;&nbsp; 5.13% 7/20/45 | 270000 | 245096 |
| Eli Lilly & Co. |  |  |
| &nbsp;&nbsp; 4.60% 8/14/34 | 190000 | 190712 |
| &nbsp;&nbsp; 4.70% 2/9/34 | 420000 | 424638 |
| &nbsp;&nbsp; 5.00% 2/9/54 | 40000 | 37844 |
| &nbsp;&nbsp; 5.10% 2/9/64 | 330000 | 311714 |
| &nbsp;&nbsp; Johnson & Johnson 2.10% <br> 9/1/40<br>| 440000 | 310184 |
| Merck & Co., Inc. |  |  |
| &nbsp;&nbsp; 1.45% 6/24/30 | 600000 | 531579 |
| &nbsp;&nbsp; 2.75% 12/10/51 | 50000 | 31570 |
| Pfizer, Inc. 1.70% 5/28/30 | 1030000 | 923347 |
|  |  | **7031475** |
| **Pipelines–2.02%** | **Pipelines–2.02%** | **Pipelines–2.02%** |
| &nbsp;&nbsp; Cameron LNG LLC 3.30% <br> 1/15/35<br>| 760000 | 659907 |
| &nbsp;&nbsp; Cheniere Energy Partners LP <br> 5.55% 10/30/35<br>| 220000 | 224755 |
| &nbsp;&nbsp; Columbia Pipelines Holding <br> Co. LLC 6.04% 8/15/28<br>| 220000 | 229572 |
| Energy Transfer LP |  |  |
| &nbsp;&nbsp; 3.75% 5/15/30 | 1240000 | 1204127 |
| &nbsp;&nbsp; 4.95% 6/15/28 | 80000 | 81380 |
| &nbsp;&nbsp; 5.25% 4/15/29 | 250000 | 257216 |
| &nbsp;&nbsp; 5.40% 10/1/47 | 210000 | 192224 |
| &nbsp;&nbsp; 5.50% 6/1/27 | 170000 | 172948 |
| &nbsp;&nbsp; 5.55% 5/15/34 | 210000 | 215460 |
| &nbsp;&nbsp; 6.25% 4/15/49 | 410000 | 413858 |
| &nbsp;&nbsp; Enterprise Products <br> Operating LLC<br>|  |  |
| &nbsp;&nbsp; 2.80% 1/31/30 | 470000 | 444116 |
| &nbsp;&nbsp; 3.13% 7/31/29 | 50000 | 48232 |
| &nbsp;&nbsp; 3.70% 1/31/51 | 60000 | 44632 |
| &nbsp;&nbsp; 3.95% 2/15/27 | 303000 | 302808 |
| &nbsp;&nbsp; 4.15% 10/16/28 | 260000 | 260683 |
| &nbsp;&nbsp; 4.85% 1/31/34 | 480000 | 484080 |
| &nbsp;&nbsp; 4.85% 3/15/44 | 40000 | 36788 |
| &nbsp;&nbsp; 5.10% 2/15/45 | 180000 | 170695 |
| μ5.38% 2/15/78 | 70000 | 69522 |
| &nbsp;&nbsp; 5.55% 2/16/55 | 40000 | 39535 |
| &nbsp;&nbsp; 6.65% 10/15/34 | 110000 | 124944 |
| &nbsp;&nbsp; 7.55% 4/15/38 | 40000 | 48012 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Pipelines (continued)** | **Pipelines (continued)** | **Pipelines (continued)** |
| &nbsp;&nbsp; Florida Gas Transmission Co. <br> LLC 5.75% 7/15/35<br>| 420000 | $435534 |
| &nbsp;&nbsp; Gulfstream Natural Gas <br> System LLC 5.60% 7/23/35<br>| 550000 | 563511 |
| &nbsp;&nbsp; Kinder Morgan Energy <br> Partners LP 5.50% 3/1/44<br>| 140000 | 135146 |
| &nbsp;&nbsp; Kinder Morgan, Inc. 4.30% <br> 3/1/28<br>| 220000 | 220947 |
| MPLX LP |  |  |
| &nbsp;&nbsp; 4.50% 4/15/38 | 230000 | 208038 |
| &nbsp;&nbsp; 4.80% 2/15/29 | 310000 | 314314 |
| &nbsp;&nbsp; 5.20% 3/1/47 | 100000 | 89866 |
| &nbsp;&nbsp; 5.20% 12/1/47 | 50000 | 44727 |
| ONEOK, Inc. |  |  |
| &nbsp;&nbsp; 5.55% 11/1/26 | 100000 | 101267 |
| &nbsp;&nbsp; 5.80% 11/1/30 | 160000 | 168581 |
| &nbsp;&nbsp; 6.63% 9/1/53 | 140000 | 148930 |
| &nbsp;&nbsp; Targa Resources Corp. 4.95% <br> 4/15/52<br>| 70000 | 59918 |
| &nbsp;&nbsp; Tennessee Gas Pipeline Co. <br> LLC 2.90% 3/1/30<br>| 210000 | 196687 |
| &nbsp;&nbsp; Transcontinental Gas Pipe <br> Line Co. LLC<br>|  |  |
| &nbsp;&nbsp; 3.25% 5/15/30 | 180000 | 171630 |
| &nbsp;&nbsp; 7.85% 2/1/26 | 930000 | 931921 |
| &nbsp;&nbsp; Western Midstream <br> Operating LP 4.05% 2/1/30<br>| 40000 | 39043 |
| Williams Cos., Inc. |  |  |
| &nbsp;&nbsp; 4.85% 3/1/48 | 50000 | 44338 |
| &nbsp;&nbsp; 4.90% 1/15/45 | 270000 | 242629 |
| &nbsp;&nbsp; 5.10% 9/15/45 | 190000 | 175893 |
| &nbsp;&nbsp; 5.15% 3/15/34 | 380000 | 385784 |
| &nbsp;&nbsp; 8.75% 3/15/32 | 120000 | 145609 |
|  |  | **10549807** |
| **Retail–0.47%** | **Retail–0.47%** | **Retail–0.47%** |
| Home Depot, Inc. |  |  |
| &nbsp;&nbsp; 1.38% 3/15/31 | 260000 | 224099 |
| &nbsp;&nbsp; 2.50% 4/15/27 | 100000 | 98033 |
| &nbsp;&nbsp; 2.70% 4/15/30 | 150000 | 141292 |
| &nbsp;&nbsp; 3.25% 4/15/32 | 270000 | 252866 |
| &nbsp;&nbsp; 3.30% 4/15/40 | 160000 | 131107 |
| &nbsp;&nbsp; 3.35% 4/15/50 | 210000 | 151664 |
| &nbsp;&nbsp; 3.90% 6/15/47 | 30000 | 24222 |
| Lowe's Cos., Inc. |  |  |
| &nbsp;&nbsp; 1.70% 9/15/28 | 250000 | 233662 |
| &nbsp;&nbsp; 4.50% 4/15/30 | 240000 | 243146 |
| McDonald's Corp. |  |  |
| &nbsp;&nbsp; 2.13% 3/1/30 | 220000 | 201755 |
| &nbsp;&nbsp; 3.60% 7/1/30 | 140000 | 136699 |
| &nbsp;&nbsp; 3.63% 9/1/49 | 30000 | 22473 |
| &nbsp;&nbsp; 4.20% 4/1/50 | 160000 | 131544 |
| &nbsp;&nbsp; 4.88% 12/9/45 | 330000 | 305176 |
| Walmart, Inc. |  |  |
| &nbsp;&nbsp; 1.50% 9/22/28 | 80000 | 74953 |

---

*LVIP Western Asset Core Bond Fund–14*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Retail (continued)** | **Retail (continued)** | **Retail (continued)** |
| Walmart, Inc. (continued) |  |  |
| &nbsp;&nbsp; 1.80% 9/22/31 | 50000 | $44113 |
| &nbsp;&nbsp; 2.38% 9/24/29 | 30000 | 28349 |
|  |  | **2445153** |
| **Semiconductors–0.95%** | **Semiconductors–0.95%** | **Semiconductors–0.95%** |
| &nbsp;&nbsp; Applied Materials, Inc. 1.75% <br> 6/1/30<br>| 90000 | 80909 |
| Broadcom, Inc. |  |  |
| &nbsp;&nbsp; 3.14% 11/15/35 | 380000 | 328763 |
| &nbsp;&nbsp; 3.19% 11/15/36 | 8000 | 6827 |
| &nbsp;&nbsp; 4.15% 11/15/30 | 72000 | 71717 |
| &nbsp;&nbsp; 4.80% 2/15/36 | 220000 | 219329 |
| &nbsp;&nbsp; 4.93% 5/15/37 | 199000 | 198466 |
| &nbsp;&nbsp; 5.20% 7/15/35 | 60000 | 61836 |
| Foundry JV Holdco LLC |  |  |
| &nbsp;&nbsp; 5.88% 1/25/34 | 300000 | 312530 |
| &nbsp;&nbsp; 5.90% 1/25/30 | 460000 | 485074 |
| Intel Corp. |  |  |
| &nbsp;&nbsp; 1.60% 8/12/28 | 120000 | 111916 |
| &nbsp;&nbsp; 3.05% 8/12/51 | 60000 | 38069 |
| &nbsp;&nbsp; 4.75% 3/25/50 | 200000 | 169424 |
| &nbsp;&nbsp; 5.13% 2/10/30 | 170000 | 174940 |
| KLA Corp. 4.65% 7/15/32 | 160000 | 162365 |
| Micron Technology, Inc. |  |  |
| &nbsp;&nbsp; 5.30% 1/15/31 | 190000 | 196611 |
| &nbsp;&nbsp; 5.88% 2/9/33 | 190000 | 201802 |
| &nbsp;&nbsp; 5.88% 9/15/33 | 20000 | 21276 |
| &nbsp;&nbsp; 6.05% 11/1/35 | 170000 | 181635 |
| NVIDIA Corp. 3.70% 4/1/60 | 210000 | 159248 |
| &nbsp;&nbsp; QUALCOMM, Inc. 5.00% <br> 5/20/35<br>| 260000 | 265447 |
| Texas Instruments, Inc. |  |  |
| &nbsp;&nbsp; 1.75% 5/4/30 | 130000 | 117377 |
| &nbsp;&nbsp; 3.88% 3/15/39 | 70000 | 62478 |
| TSMC Arizona Corp. |  |  |
| &nbsp;&nbsp; 1.75% 10/25/26 | 210000 | 204932 |
| &nbsp;&nbsp; 2.50% 10/25/31 | 1250000 | 1135289 |
|  |  | **4968260** |
| **Software–0.56%** | **Software–0.56%** | **Software–0.56%** |
| Adobe, Inc. 2.30% 2/1/30 | 260000 | 241985 |
| Oracle Corp. |  |  |
| &nbsp;&nbsp; 2.88% 3/25/31 | 510000 | 468301 |
| &nbsp;&nbsp; 2.95% 4/1/30 | 40000 | 37689 |
| &nbsp;&nbsp; 3.60% 4/1/50 | 90000 | 63356 |
| &nbsp;&nbsp; 4.65% 5/6/30 | 170000 | 172384 |
| &nbsp;&nbsp; 4.80% 9/26/32 | 290000 | 290349 |
| &nbsp;&nbsp; 5.20% 9/26/35 | 130000 | 130716 |
| &nbsp;&nbsp; 5.38% 9/27/54 | 330000 | 303145 |
| &nbsp;&nbsp; 5.88% 9/26/45 | 340000 | 340923 |
| &nbsp;&nbsp; 5.95% 9/26/55 | 270000 | 269169 |
| Synopsys, Inc. |  |  |
| &nbsp;&nbsp; 4.85% 4/1/30 | 160000 | 162971 |
| &nbsp;&nbsp; 5.00% 4/1/32 | 130000 | 132847 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Software (continued)** | **Software (continued)** | **Software (continued)** |
| Synopsys, Inc. (continued) |  |  |
| &nbsp;&nbsp; 5.15% 4/1/35 | 110000 | $111898 |
| &nbsp;&nbsp; 5.70% 4/1/55 | 210000 | 211938 |
|  |  | **2937671** |
| **Telecommunications–2.12%** | **Telecommunications–2.12%** | **Telecommunications–2.12%** |
| AT&T, Inc. |  |  |
| &nbsp;&nbsp; 2.25% 2/1/32 | 330000 | 288901 |
| &nbsp;&nbsp; 2.55% 12/1/33 | 340000 | 289513 |
| &nbsp;&nbsp; 3.55% 9/15/55 | 408000 | 281160 |
| &nbsp;&nbsp; 3.65% 9/15/59 | 50000 | 34185 |
| &nbsp;&nbsp; 3.80% 12/1/57 | 60000 | 42783 |
| &nbsp;&nbsp; 4.35% 3/1/29 | 1300000 | 1305773 |
| &nbsp;&nbsp; 4.35% 6/15/45 | 58000 | 49004 |
| &nbsp;&nbsp; 5.38% 8/15/35 | 650000 | 669453 |
| NTT Finance Corp. |  |  |
| &nbsp;&nbsp; 4.88% 7/16/30 | 470000 | 477554 |
| &nbsp;&nbsp; 5.17% 7/16/32 | 730000 | 747642 |
| T-Mobile USA, Inc. |  |  |
| &nbsp;&nbsp; 2.25% 11/15/31 | 220000 | 193540 |
| &nbsp;&nbsp; 2.55% 2/15/31 | 130000 | 118121 |
| &nbsp;&nbsp; 2.63% 2/15/29 | 450000 | 427081 |
| &nbsp;&nbsp; 3.00% 2/15/41 | 250000 | 187856 |
| &nbsp;&nbsp; 3.30% 2/15/51 | 60000 | 40895 |
| &nbsp;&nbsp; 3.75% 4/15/27 | 40000 | 39762 |
| &nbsp;&nbsp; 3.88% 4/15/30 | 1910000 | 1872924 |
| &nbsp;&nbsp; 5.15% 4/15/34 | 190000 | 194365 |
| &nbsp;&nbsp; 5.88% 11/15/55 | 340000 | 347298 |
| Verizon Communications, Inc. |  |  |
| &nbsp;&nbsp; 1.75% 1/20/31 | 840000 | 734892 |
| &nbsp;&nbsp; 2.55% 3/21/31 | 398000 | 361866 |
| &nbsp;&nbsp; 2.65% 11/20/40 | 100000 | 72326 |
| &nbsp;&nbsp; 3.15% 3/22/30 | 170000 | 162566 |
| &nbsp;&nbsp; 3.40% 3/22/41 | 60000 | 47407 |
| &nbsp;&nbsp; 3.85% 11/1/42 | 530000 | 430024 |
| &nbsp;&nbsp; 4.00% 3/22/50 | 210000 | 165203 |
| &nbsp;&nbsp; 4.40% 11/1/34 | 220000 | 212223 |
| &nbsp;&nbsp; 4.50% 8/10/33 | 840000 | 827848 |
| &nbsp;&nbsp; 4.78% 2/15/35 | 296000 | 291179 |
| &nbsp;&nbsp; 4.86% 8/21/46 | 20000 | 18198 |
| &nbsp;&nbsp; 5.25% 3/16/37 | 130000 | 131369 |
| &nbsp;&nbsp; 5.50% 3/16/47 | 30000 | 29459 |
|  |  | **11092370** |
| **Transportation–0.10%** | **Transportation–0.10%** | **Transportation–0.10%** |
| Union Pacific Corp. |  |  |
| &nbsp;&nbsp; 2.15% 2/5/27 | 170000 | 166055 |
| &nbsp;&nbsp; 2.40% 2/5/30 | 160000 | 149060 |
| &nbsp;&nbsp; 3.75% 2/5/70 | 220000 | 153067 |
| &nbsp;&nbsp; 3.84% 3/20/60 | 90000 | 66660 |
|  |  | **534842** |
| **Total Corporate Bonds** <br>**(Cost $151,712,902)** | **Total Corporate Bonds** <br>**(Cost $151,712,902)** | **145251250** |

---

*LVIP Western Asset Core Bond Fund–15*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES–10.06%** | **NON-AGENCY ASSET-BACKED SECURITIES–10.06%** | **NON-AGENCY ASSET-BACKED SECURITIES–10.06%** |
| &nbsp;&nbsp; •AIMCO CLO 15 Ltd. Series <br> 2021-15A Class AR 5.52% (3 <br> mo. USD Term SOFR + <br> 1.20%) 4/17/38<br>| 1070000 | $1070713 |
| &nbsp;&nbsp; •Apex Credit CLO Ltd. Series <br> 2020-1A Class A1RR 5.78% <br> (3 mo. USD Term SOFR + <br> 1.45%) 4/20/35<br>| 680000 | 680205 |
| &nbsp;&nbsp; •Apidos Loan Fund Ltd. Series <br> 2024-1A Class A1R 5.38% (3 <br> mo. USD Term SOFR + <br> 1.25%) 10/25/38<br>| 1490000 | 1494988 |
| &nbsp;&nbsp; •Arbor Realty Commercial <br> Real Estate Notes Ltd. <br> Series 2022-FL1 Class A <br> 5.82% (30 day USD SOFR <br> Average + 1.45%) 1/15/37<br>| 260194 | 260194 |
| &nbsp;&nbsp; •ARES Loan Funding IV Ltd. <br> Series 2023-ALF4A Class A1 <br> 6.07% (3 mo. USD Term <br> SOFR + 1.75%) 10/15/36<br>| 710000 | 711040 |
| &nbsp;&nbsp; •ARES XLIV CLO Ltd. Series <br> 2017-44A Class A1RR 5.42% <br> (3 mo. USD Term SOFR + <br> 1.13%) 4/15/34<br>| 740000 | 739990 |
| Avis Budget Rental Car Funding AESOP LLC | Avis Budget Rental Car Funding AESOP LLC | Avis Budget Rental Car Funding AESOP LLC |
| &nbsp;&nbsp;&nbsp; Series 2024-1A Class A 5.36% <br> 6/20/30<br>| 500000 | 517119 |
| &nbsp;&nbsp;&nbsp; Series 2025-4A Class A 4.40% <br> 2/20/32<br>| 260000 | 258467 |
| &nbsp;&nbsp; •Battery Park CLO Ltd. Series <br> 2019-1A Class AR 5.72% (3 <br> mo. USD Term SOFR + <br> 1.40%) 7/15/36<br>| 370000 | 370105 |
| &nbsp;&nbsp; •Bayview Opportunity Master <br> Fund VII LLC Series <br> 2025-EDU1 Class C 6.13% <br> (30 day USD SOFR Average <br> + 1.80%) 7/27/48<br>| 1250000 | 1250489 |
| &nbsp;&nbsp; •Birch Grove CLO 4 Ltd. Series <br> 2022-4A Class A1R 5.80% (3 <br> mo. USD Term SOFR + <br> 1.48%) 7/15/37<br>| 410000 | 411013 |
| &nbsp;&nbsp; •Birch Grove CLO 7 Ltd. Series <br> 2023-7A Class A1 6.13% (3 <br> mo. USD Term SOFR + <br> 1.80%) 10/20/36<br>| 1760000 | 1761760 |
| &nbsp;&nbsp; •Birch Grove CLO 8 Ltd. Series <br> 2024-8A Class A1 5.96% (3 <br> mo. USD Term SOFR + <br> 1.63%) 4/20/37<br>| 240000 | 241001 |
| &nbsp;&nbsp; •Black Diamond CLO Ltd. <br> Series 2024-1A Class A1 <br> 5.97% (3 mo. USD Term <br> SOFR + 1.65%) 10/25/37<br>| 1360000 | 1364007 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; Blackbird Capital II Aircraft <br> Lease Ltd. Series 2021-1A <br> Class A 2.44% 7/15/46<br>| 187744 | $177357 |
| &nbsp;&nbsp; •BlueMountain CLO XXX Ltd. <br> Series 2020-30A Class AR2 <br> 5.14% (3 mo. USD Term <br> SOFR + 1.15%) 4/15/35<br>| 860000 | 860377 |
| &nbsp;&nbsp; •BlueMountain CLO XXXI Ltd. <br> Series 2021-31A Class A1 <br> 5.74% (3 mo. USD Term <br> SOFR + 1.41%) 4/19/34<br>| 440000 | 440283 |
| &nbsp;&nbsp; •CarVal CLO XI C Ltd. Series <br> 2024-3A Class A1 5.72% (3 <br> mo. USD Term SOFR + <br> 1.39%) 10/20/37<br>| 970000 | 973466 |
| &nbsp;&nbsp; •Cayuga Park CLO Ltd. Series <br> 2020-1A Class AR 5.70% (3 <br> mo. USD Term SOFR + <br> 1.38%) 7/17/34<br>| 620000 | 620531 |
| •CIFC Funding Ltd. | •CIFC Funding Ltd. | •CIFC Funding Ltd. |
| &nbsp;&nbsp;&nbsp; Series 2015-4A Class A1A2 <br> 5.66% (3 mo. USD Term <br> SOFR + 1.33%) 4/20/34<br>| 440000 | 440455 |
| &nbsp;&nbsp;&nbsp; Series 2018-1A Class A1R <br> 5.65% (3 mo. USD Term <br> SOFR + 1.32%) 1/18/38<br>| 440000 | 441497 |
| &nbsp;&nbsp; CLI Funding IX LLC Series <br> 2024-1A Class A 5.63% <br> 7/20/49<br>| 633527 | 637814 |
| &nbsp;&nbsp; DLLMT LLC Series 2024-1A <br> Class A4 4.98% 4/20/32<br>| 320000 | 326158 |
| Driven Brands Funding LLC | Driven Brands Funding LLC | Driven Brands Funding LLC |
| &nbsp;&nbsp;&nbsp; Series 2024-1A Class A2 <br> 6.37% 10/20/54<br>| 841500 | 871081 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A Class A2 <br> 5.30% 10/20/55<br>| 260000 | 259381 |
| &nbsp;&nbsp; •Elevation CLO Ltd. Series <br> 2025-18A Class A1 5.53% (3 <br> mo. USD Term SOFR + <br> 1.24%) 3/28/38<br>| 650000 | 650601 |
| &nbsp;&nbsp; •Elmwood CLO 26 Ltd. Series <br> 2024-1A Class A1 5.83% (3 <br> mo. USD Term SOFR + <br> 1.50%) 4/18/37<br>| 200000 | 200784 |
| &nbsp;&nbsp; •Elmwood CLO I Ltd. Series <br> 2019-1A Class A1RR 5.85% <br> (3 mo. USD Term SOFR + <br> 1.52%) 4/20/37<br>| 670000 | 672533 |
| &nbsp;&nbsp; •Empower CLO Ltd. Series <br> 2024-1A Class A1 5.92% (3 <br> mo. USD Term SOFR + <br> 1.60%) 4/25/37<br>| 250000 | 250966 |
| &nbsp;&nbsp; GoodLeap Sustainable Home <br> Solutions Trust Series <br> 2022-1GS Class A 2.70% <br> 1/20/49<br>| 341468 | 307382 |

---

*LVIP Western Asset Core Bond Fund–16*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; •Greystone CRE Notes LLC <br> Series 2025-FL4 Class A <br> 5.63% (1 mo. USD Term <br> SOFR + 1.48%) 1/15/43<br>| 1240000 | $1244986 |
| &nbsp;&nbsp; •HalseyPoint CLO 3 Ltd. Series <br> 2020-3A Class A1R 5.79% (3 <br> mo. USD Term SOFR + <br> 1.48%) 7/30/37<br>| 510000 | 512429 |
| &nbsp;&nbsp; Hardee's Funding LLC Series <br> 2021-1A Class A2 2.87% <br> 6/20/51<br>| 689400 | 639294 |
| Hertz Vehicle Financing III LLC | Hertz Vehicle Financing III LLC | Hertz Vehicle Financing III LLC |
| &nbsp;&nbsp;&nbsp; Series 2023-3A Class A 5.94% <br> 2/25/28<br>| 250000 | 254671 |
| &nbsp;&nbsp;&nbsp; Series 2023-4A Class A 6.15% <br> 3/25/30<br>| 400000 | 418015 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A Class A 4.91% <br> 9/25/29<br>| 780000 | 786851 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A Class A 5.13% <br> 9/25/31<br>| 780000 | 790607 |
| &nbsp;&nbsp; Hildene Community Funding <br> CDO Ltd. Series 2015-1A <br> Class ARR 2.60% 11/1/35<br>| 415611 | 367538 |
| &nbsp;&nbsp; Huntington Bank Auto <br> Credit-Linked Notes Series <br> 2024-2 Class B1 5.44% <br> 10/20/32<br>| 806418 | 814248 |
| &nbsp;&nbsp; •Kings Park CLO Ltd. Series <br> 2021-1A Class A 5.72% (3 <br> mo. USD Term SOFR + <br> 1.39%) 1/21/35<br>| 880000 | 880581 |
| &nbsp;&nbsp; •Magnetite XXIX Ltd. Series <br> 2021-29A Class BR 6.07% (3 <br> mo. USD Term SOFR + <br> 1.75%) 7/15/37<br>| 690000 | 692374 |
| &nbsp;&nbsp; MetroNet Infrastructure <br> Issuer LLC Series 2025-2A <br> Class A2 5.40% 8/20/55<br>| 740000 | 751054 |
| &nbsp;&nbsp; •MF1 LLC Series 2025-FL19 <br> Class A 5.62% (1 mo. USD <br> Term SOFR + 1.49%) <br> 5/18/42<br>| 1330000 | 1334571 |
| &nbsp;&nbsp; MMAF Equipment <br> Finance LLC Series 2024-A <br> Class A4 5.10% 7/13/49<br>| 520000 | 536446 |
| &nbsp;&nbsp; MVW LLC Series 2023-2A <br> Class A 6.18% 11/20/40<br>| 153994 | 158035 |
| &nbsp;&nbsp; •Navient Student Loan Trust <br> Series 2016-3A Class A3 <br> 5.82% (30 day USD SOFR <br> Average + 1.46%) 6/25/65<br>| 272738 | 276021 |
| &nbsp;&nbsp; •Nelnet Student Loan Trust <br> Series 2021-BA Class AFL <br> 5.03% (1 mo. USD Term <br> SOFR + 0.89%) 4/20/62<br>| 483393 | 483394 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; NMEF Funding LLC Series <br> 2025-A Class A2 4.72% <br> 7/15/32<br>| 966546 | $970934 |
| &nbsp;&nbsp; NP SPE X LP Series 2021-1A <br> Class A1 2.23% 3/19/51<br>| 537149 | 443168 |
| &nbsp;&nbsp; •Oaktree CLO Ltd. Series <br> 2024-25A Class A 5.88% (3 <br> mo. USD Term SOFR + <br> 1.55%) 4/20/37<br>| 750000 | 752724 |
| &nbsp;&nbsp; OCCU Auto Receivables Trust <br> Series 2025-1A Class D <br> 5.60% 11/15/34<br>| 750000 | 756232 |
| &nbsp;&nbsp; •Ocean Trails CLO X Series <br> 2020-10A Class AR2 5.62% (3 <br> mo. USD Term SOFR + <br> 1.30%) 10/15/34<br>| 690000 | 690366 |
| &nbsp;&nbsp; •OHA Loan Funding Ltd. <br> Series 2013-2A Class AR <br> 5.50% (3 mo. USD Term <br> SOFR + 1.30%) 5/23/31<br>| 121646 | 121646 |
| &nbsp;&nbsp; •Palmer Square CLO Ltd. <br> Series 2021-1A Class A1AR <br> 5.48% (3 mo. USD Term <br> SOFR + 1.15%) 4/20/38<br>| 890000 | 889750 |
| •Parallel Ltd. | •Parallel Ltd. | •Parallel Ltd. |
| &nbsp;&nbsp;&nbsp; Series 2020-1A Class A1R <br> 5.81% (3 mo. USD Term <br> SOFR + 1.48%) 7/20/34<br>| 520000 | 520799 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A Class A1R <br> 5.72% (3 mo. USD Term <br> SOFR + 1.39%) 7/20/36<br>| 1070000 | 1072174 |
| •Park Blue CLO Ltd. | •Park Blue CLO Ltd. | •Park Blue CLO Ltd. |
| &nbsp;&nbsp;&nbsp; Series 2022-2A Class A1R <br> 5.75% (3 mo. USD Term <br> SOFR + 1.42%) 7/20/37<br>| 770000 | 772448 |
| &nbsp;&nbsp;&nbsp; Series 2024-5A Class A1 <br> 5.80% (3 mo. USD Term <br> SOFR + 1.48%) 7/25/37<br>| 620000 | 622445 |
| &nbsp;&nbsp; •Point Au Roche Park CLO <br> Ltd. Series 2021-1A Class A <br> 5.67% (3 mo. USD Term <br> SOFR + 1.34%) 7/20/34<br>| 2050000 | 2051970 |
| &nbsp;&nbsp; •Rad CLO 22 Ltd. Series <br> 2023-22A Class A1 6.16% (3 <br> mo. USD Term SOFR + <br> 1.83%) 1/20/37<br>| 1500000 | 1503750 |
| &nbsp;&nbsp; •Recette CLO Ltd. Series <br> 2015-1A Class ARR 5.67% (3 <br> mo. USD Term SOFR + <br> 1.34%) 4/20/34<br>| 250000 | 250312 |
| &nbsp;&nbsp; •Sagard-Halseypoint CLO 8 <br> Ltd. Series 2024-8A Class A1 <br> 5.70% (3 mo. USD Term <br> SOFR + 1.39%) 1/30/38<br>| 460000 | 461532 |
| &nbsp;&nbsp; SCF Equipment Trust LLC <br> Series 2025-1A Class A3 <br> 5.11% 11/21/33<br>| 1030000 | 1054172 |

---

*LVIP Western Asset Core Bond Fund–17*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; •Silver Point CLO 8 Ltd. Series <br> 2025-8A Class A1 5.43% (3 <br> mo. USD Term SOFR + <br> 1.21%) 4/15/38<br>| 500000 | $500247 |
| &nbsp;&nbsp; •SLC Student Loan Trust <br> Series 2008-1 Class A4A <br> 6.23% (90 day USD SOFR <br> Average + 1.86%) 12/15/32<br>| 215669 | 215659 |
| &nbsp;&nbsp; •SLM Private Credit Student <br> Loan Trust Series 2006-A <br> Class A5 4.59% (3 mo. USD <br> Term SOFR + 0.55%) <br> 6/15/39<br>| 127993 | 122855 |
| SMB Private Education Loan Trust | SMB Private Education Loan Trust | SMB Private Education Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-A Class A2A <br> 2.23% 9/15/37<br>| 96753 | 93853 |
| &nbsp;&nbsp;&nbsp; Series 2021-C Class APT1 <br> 1.39% 1/15/53<br>| 406117 | 374202 |
| &nbsp;&nbsp;&nbsp; Series 2021-C Class B 2.30% <br> 1/15/53<br>| 178414 | 174188 |
| &nbsp;&nbsp;&nbsp; Series 2022-C Class A1A <br> 4.48% 5/16/50<br>| 760160 | 758411 |
| &nbsp;&nbsp;&nbsp; •Series 2024-C Class A1B <br> 5.47% (30 day USD SOFR <br> Average + 1.10%) 6/17/52<br>| 342125 | 341711 |
| &nbsp;&nbsp;&nbsp; Series 2024-E Class A1A <br> 5.09% 10/16/56<br>| 540004 | 546833 |
| &nbsp;&nbsp; •Sycamore Tree CLO Ltd. <br> Series 2025-6A Class A1 <br> 5.53% (3 mo. USD Term <br> SOFR + 1.20%) 4/20/38<br>| 800000 | 800800 |
| &nbsp;&nbsp; Taco Bell Funding LLC Series <br> 2025-1A Class A2I 4.82% <br> 8/25/55<br>| 1210000 | 1212528 |
| &nbsp;&nbsp; •Trestles CLO VII Ltd. Series <br> 2024-7A Class A1 5.70% (3 <br> mo. USD Term SOFR + <br> 1.38%) 10/25/37<br>| 650000 | 652046 |
| &nbsp;&nbsp; •Trinitas CLO XVI Ltd. Series <br> 2021-16A Class A1R 5.27% (3 <br> mo. USD Term SOFR + <br> 1.13%) 7/20/34<br>| 860000 | 860616 |
| &nbsp;&nbsp; Triumph Rail Holdings LLC <br> Series 2021-2 Class A 2.15% <br> 6/19/51<br>| 410181 | 392120 |
| &nbsp;&nbsp; •Warwick Capital CLO 7 Ltd. <br> Series 2025-7A Class A1 <br> 5.25% (3 mo. USD Term <br> SOFR + 1.30%) 10/21/38<br>| 760000 | 761088 |
| &nbsp;&nbsp; •Whitebox CLO I Ltd. Series <br> 2019-1A Class A1RR 5.64% <br> (3 mo. USD Term SOFR + <br> 1.32%) 7/24/36<br>| 680000 | 681074 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; •Woodmont Trust Series <br> 2023-12A Class A1R 5.72% (3 <br> mo. USD Term SOFR + <br> 1.40%) 10/25/32<br>| 994270 | $995390 |
| **Total Non-Agency Asset-Backed Securities** <br>**(Cost $52,638,178)** | **Total Non-Agency Asset-Backed Securities** <br>**(Cost $52,638,178)** | **52620915** |
| **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–3.62%** | **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–3.62%** | **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–3.62%** |
| Angel Oak Mortgage Trust | Angel Oak Mortgage Trust | Angel Oak Mortgage Trust |
| &nbsp;&nbsp;&nbsp; •Series 2021-7 Class A3 2.34% <br> 10/25/66<br>| 170714 | 149709 |
| &nbsp;&nbsp;&nbsp; Series 2022-3 Class A1 4.00% <br> 1/25/67<br>| 373254 | 362833 |
| BRAVO Residential Funding Trust | BRAVO Residential Funding Trust | BRAVO Residential Funding Trust |
| &nbsp;&nbsp;&nbsp; •Series 2022-NQM3 Class A1 <br> 5.11% 7/25/62<br>| 618802 | 628060 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-NQM3 Class A1 <br> 6.19% 3/25/64<br>| 362594 | 367210 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-NQM5 Class A1 <br> 5.80% 6/25/64<br>| 195792 | 197953 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-NQM5 Class A3 <br> 6.16% 6/25/64<br>| 278626 | 281216 |
| &nbsp;&nbsp; •CIM Trust Series 2024-R1 <br> Class A1 4.75% 6/25/64<br>| 835034 | 833748 |
| CSMC Trust | CSMC Trust | CSMC Trust |
| &nbsp;&nbsp;&nbsp; •Series 2020-RPL4 Class A1 <br> 2.00% 1/25/60<br>| 213976 | 192620 |
| &nbsp;&nbsp;&nbsp; •Series 2021-AFC1 Class A1 <br> 0.83% 3/25/56<br>| 184205 | 155312 |
| &nbsp;&nbsp;&nbsp; •Series 2021-AFC1 Class A3 <br> 1.17% 3/25/56<br>| 247003 | 210019 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM3 Class A3 <br> 1.63% 4/25/66<br>| 439559 | 390304 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM7 Class A1 <br> 1.76% 10/25/66<br>| 140690 | 124539 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM8 Class A1 <br> 1.84% 10/25/66<br>| 750449 | 690515 |
| &nbsp;&nbsp;&nbsp; Series 2021-RPL2 Class A1 <br> 2.00% 1/25/60<br>| 134041 | 118023 |
| &nbsp;&nbsp;&nbsp; •Series 2022-NQM1 Class A1 <br> 2.27% 11/25/66<br>| 773398 | 710308 |
| &nbsp;&nbsp; •Deephaven Residential <br> Mortgage Trust Series <br> 2022-1 Class A1 2.21% <br> 1/25/67<br>| 504290 | 465914 |
| &nbsp;&nbsp; •Ellington Financial Mortgage <br> Trust Series 2021-2 Class A1 <br> 0.93% 6/25/66<br>| 205284 | 173301 |
| &nbsp;&nbsp; φGCAT Trust Series <br> 2020-NQM1 Class A3 3.55% <br> 1/25/60<br>| 385910 | 377147 |
| JP Morgan Mortgage Trust | JP Morgan Mortgage Trust | JP Morgan Mortgage Trust |
| &nbsp;&nbsp;&nbsp; •Series 2017-5 Class A2 4.97% <br> 10/26/48<br>| 765530 | 772100 |
| &nbsp;&nbsp;&nbsp; φSeries 2025-NQM1 Class A3 <br> 5.97% 6/25/65<br>| 1185845 | 1196106 |

---

*LVIP Western Asset Core Bond Fund–18*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; •MFA Trust Series 2020-NQM1 <br> Class A3 3.30% 8/25/49<br>| 89110 | $86072 |
| &nbsp;&nbsp; •Morgan Stanley Residential <br> Mortgage Loan Trust Series <br> 2024-INV2 Class A1 6.50% <br> 2/25/54<br>| 566804 | 577963 |
| •New Residential Mortgage Loan Trust | •New Residential Mortgage Loan Trust | •New Residential Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2014-2A Class A3 <br> 3.75% 5/25/54<br>| 133408 | 127898 |
| &nbsp;&nbsp;&nbsp; Series 2015-2A Class A1 <br> 3.75% 8/25/55<br>| 449938 | 438266 |
| &nbsp;&nbsp;&nbsp; Series 2015-2A Class A2 <br> 3.75% 8/25/55<br>| 256107 | 247918 |
| &nbsp;&nbsp;&nbsp; Series 2016-3A Class A1B <br> 3.25% 9/25/56<br>| 143379 | 134763 |
| &nbsp;&nbsp;&nbsp; Series 2017-2A Class B2 <br> 4.75% 3/25/57<br>| 308879 | 307575 |
| &nbsp;&nbsp;&nbsp; Series 2017-4A Class A1 <br> 4.00% 5/25/57<br>| 343798 | 333653 |
| &nbsp;&nbsp;&nbsp; Series 2017-6A Class A1 <br> 4.00% 8/27/57<br>| 734128 | 713608 |
| &nbsp;&nbsp;&nbsp; Series 2022-NQM2 Class A1 <br> 3.08% 3/27/62<br>| 773548 | 737382 |
| OBX Trust | OBX Trust | OBX Trust |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM2 Class A1 <br> 1.10% 5/25/61<br>| 145495 | 120804 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM3 Class A1 <br> 1.05% 7/25/61<br>| 215468 | 175119 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM4 Class A1 <br> 1.96% 10/25/61<br>| 474675 | 407561 |
| &nbsp;&nbsp;&nbsp; •Series 2022-NQM1 Class A1 <br> 2.31% 11/25/61<br>| 730476 | 660694 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-NQM1 Class A1 <br> 5.93% 11/25/63<br>| 725631 | 731443 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-NQM11 Class A1 <br> 5.88% 6/25/64<br>| 189689 | 191746 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-NQM17 Class A3 <br> 6.02% 11/25/64<br>| 896560 | 903840 |
| &nbsp;&nbsp;&nbsp; φSeries 2025-NQM4 Class A3 <br> 5.76% 2/25/55<br>| 1003764 | 1010170 |
| PRKCM Trust | PRKCM Trust | PRKCM Trust |
| &nbsp;&nbsp;&nbsp; •Series 2021-AFC2 Class A1 <br> 2.07% 11/25/56<br>| 206807 | 184579 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-HOME1 Class A1 <br> 6.43% 5/25/59<br>| 478119 | 485784 |
| &nbsp;&nbsp; φPRPM LLC Series 2024-RCF1 <br> Class A1 4.00% 1/25/54<br>| 197635 | 194757 |
| &nbsp;&nbsp; •RCKT Mortgage Trust Series <br> 2024-INV1 Class A1 6.50% <br> 6/25/54<br>| 242080 | 247149 |
| &nbsp;&nbsp; •SG Residential Mortgage <br> Trust Series 2022-1 Class A1 <br> 3.17% 3/27/62<br>| 749473 | 710540 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; •Towd Point Mortgage Trust <br> Series 2019-HY2 Class M2 <br> 6.17% (1 mo. USD Term <br> SOFR + 2.01%) 5/25/58<br>| 300000 | $303286 |
| φVerus Securitization Trust | φVerus Securitization Trust | φVerus Securitization Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-6 Class A3 6.15% <br> 7/25/69<br>| 199323 | 201421 |
| &nbsp;&nbsp;&nbsp; Series 2025-1 Class A3 5.98% <br> 1/25/70<br>| 307175 | 309890 |
| **Total Non-Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $19,699,827)** | **Total Non-Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $19,699,827)** | **18940818** |
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–2.45%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–2.45%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–2.45%** |
| &nbsp;&nbsp; •AREIT Trust Series <br> 2022-CRE6 Class A 5.64% <br> (30 day USD SOFR Average <br> + 1.25%) 1/20/37<br>| 303625 | 303627 |
| &nbsp;&nbsp; BBCMS Mortgage Trust Series <br> 2025-5C34 Class A3 5.66% <br> 5/15/58<br>| 400000 | 418705 |
| &nbsp;&nbsp; •BMP Trust Series 2024-MF23 <br> Class A 5.52% (1 mo. USD <br> Term SOFR + 1.37%) <br> 6/15/41<br>| 1000000 | 1001251 |
| &nbsp;&nbsp; •BOCA Commercial Mortgage <br> Trust Series 2024-BOCA <br> Class A 6.07% (1 mo. USD <br> Term SOFR + 1.92%) <br> 8/15/41<br>| 940000 | 944114 |
| •BX Commercial Mortgage Trust | •BX Commercial Mortgage Trust | •BX Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-SOAR Class A <br> 4.94% (1 mo. USD Term <br> SOFR + 0.78%) 6/15/38<br>| 350695 | 350476 |
| &nbsp;&nbsp;&nbsp; Series 2021-XL2 Class A <br> 4.95% (1 mo. USD Term <br> SOFR + 0.80%) 10/15/38<br>| 383874 | 383633 |
| &nbsp;&nbsp;&nbsp; Series 2023-XL3 Class A <br> 5.91% (1 mo. USD Term <br> SOFR + 1.76%) 12/9/40<br>| 336524 | 336945 |
| &nbsp;&nbsp;&nbsp; Series 2024-XL5 Class A <br> 5.54% (1 mo. USD Term <br> SOFR + 1.39%) 3/15/41<br>| 274759 | 274930 |
| BX Trust | BX Trust | BX Trust |
| &nbsp;&nbsp;&nbsp; Series 2019-OC11 Class A <br> 3.20% 12/9/41<br>| 270000 | 254907 |
| &nbsp;&nbsp;&nbsp; •Series 2021-BXMF Class A <br> 4.90% (1 mo. USD Term <br> SOFR + 0.75%) 10/15/26<br>| 509056 | 508420 |
| &nbsp;&nbsp;&nbsp; •Series 2022-LBA6 Class A <br> 5.15% (1 mo. USD Term <br> SOFR + 1.00%) 1/15/39<br>| 530000 | 529669 |
| &nbsp;&nbsp;&nbsp; •Series 2024-PALM Class A <br> 5.69% (1 mo. USD Term <br> SOFR + 1.54%) 6/15/37<br>| 216346 | 216684 |

---

*LVIP Western Asset Core Bond Fund–19*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| BX Trust (continued) | BX Trust (continued) | BX Trust (continued) |
| &nbsp;&nbsp;&nbsp; •Series 2024-VLT4 Class B <br> 6.09% (1 mo. USD Term <br> SOFR + 1.94%) 6/15/41<br>| 750000 | $750704 |
| &nbsp;&nbsp; CD Mortgage Trust Series <br> 2016-CD1 Class A4 2.72% <br> 8/10/49<br>| 610000 | 596592 |
| Citigroup Commercial Mortgage Trust | Citigroup Commercial Mortgage Trust | Citigroup Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-P3 Class A4 <br> 3.33% 4/15/49<br>| 178000 | 176398 |
| &nbsp;&nbsp;&nbsp; Series 2016-P6 Class A4 <br> 3.46% 12/10/49<br>| 88681 | 87987 |
| &nbsp;&nbsp; DB-JPM Mortgage Trust <br> Series 2016-C1 Class A4 <br> 3.28% 5/10/49<br>| 225000 | 223253 |
| &nbsp;&nbsp; JP Morgan Chase Commercial <br> Mortgage Securities Trust <br> Series 2015-JP1 Class A5 <br> 3.91% 1/15/49<br>| 275486 | 273863 |
| &nbsp;&nbsp; JPM-BB Commercial <br> Mortgage Securities Trust <br> Series 2015-C33 Class A4 <br> 3.77% 12/15/48<br>| 222969 | 222408 |
| &nbsp;&nbsp; JPM-DB Commercial <br> Mortgage Securities Trust <br> Series 2016-C2 Class A4 <br> 3.14% 6/15/49<br>| 404000 | 391919 |
| &nbsp;&nbsp; •MHC Commercial Mortgage <br> Trust Series 2021-MHC <br> Class A 5.07% (1 mo. USD <br> Term SOFR + 0.92%) <br> 4/15/38<br>| 43188 | 43188 |
| Morgan Stanley Bank of America Merrill Lynch Trust | Morgan Stanley Bank of America Merrill Lynch Trust | Morgan Stanley Bank of America Merrill Lynch Trust |
| &nbsp;&nbsp;&nbsp; Series 2015-C26 Class A5 <br> 3.53% 10/15/48<br>| 64678 | 64331 |
| &nbsp;&nbsp;&nbsp; Series 2016-C29 Class A4 <br> 3.33% 5/15/49<br>| 170000 | 168722 |
| &nbsp;&nbsp; •MSWF Commercial Mortgage <br> Trust Series 2023-2 Class A5 <br> 6.01% 12/15/56<br>| 540000 | 582790 |
| &nbsp;&nbsp; •MTN Commercial Mortgage <br> Trust Series 2022-LPFL <br> Class A 5.56% (1 mo. USD <br> Term SOFR + 1.40%) <br> 3/15/39<br>| 320000 | 320000 |
| &nbsp;&nbsp; •NJ Trust Series 2023-GSP <br> Class A 6.70% 1/6/29<br>| 420000 | 440026 |
| &nbsp;&nbsp; •NYCT Trust Series 2024-3ELV <br> Class A 6.14% (1 mo. USD <br> Term SOFR + 1.99%) <br> 8/15/29<br>| 310000 | 310776 |
| &nbsp;&nbsp; •PFP Ltd. Series 2024-11 <br> Class A 6.05% (1 mo. USD <br> Term SOFR + 1.83%) <br> 9/17/39<br>| 176262 | 176538 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| &nbsp;&nbsp; •SMRT Commercial Mortgage <br> Trust Series 2022-MINI <br> Class A 5.15% (1 mo. USD <br> Term SOFR + 1.00%) <br> 1/15/39<br>| 540000 | $539325 |
| &nbsp;&nbsp; VLS Commercial Mortgage <br> Trust Series 2020-LAB <br> Class A 2.13% 10/10/42<br>| 480000 | 409677 |
| &nbsp;&nbsp; VNDO Trust Series 2016-350P <br> Class A 3.81% 1/10/35<br>| 1080000 | 1068633 |
| Wells Fargo Commercial Mortgage Trust | Wells Fargo Commercial Mortgage Trust | Wells Fargo Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-BNK1 Class XA <br> 1.83% 8/15/49<br>| 3633948 | 19330 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-C36 Class XA <br> 1.29% 11/15/59<br>| 7583374 | 49911 |
| &nbsp;&nbsp;&nbsp; Series 2024-C63 Class A5 <br> 5.31% 8/15/57<br>| 350000 | 361943 |
| **Total Non-Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $13,045,195)** | **Total Non-Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $13,045,195)** | **12801675** |
| **ΔSOVEREIGN BONDS–0.85%** | **ΔSOVEREIGN BONDS–0.85%** | **ΔSOVEREIGN BONDS–0.85%** |
| **Chile—0.03%** | **Chile—0.03%** | **Chile—0.03%** |
| &nbsp;&nbsp; Chile Government <br> International Bonds 3.10% <br> 1/22/61<br>| 290000 | 179177 |
|  |  | **179177** |
| **Colombia—0.12%** | **Colombia—0.12%** | **Colombia—0.12%** |
| &nbsp;&nbsp; Colombia Government <br> International Bonds 5.63% <br> 2/26/44<br>| 760000 | 621338 |
|  |  | **621338** |
| **Israel—0.07%** | **Israel—0.07%** | **Israel—0.07%** |
| &nbsp;&nbsp; Israel Government <br> International Bonds 3.25% <br> 1/17/28<br>| 400000 | 390711 |
|  |  | **390711** |
| **Mexico—0.33%** | **Mexico—0.33%** | **Mexico—0.33%** |
| &nbsp;&nbsp; Mexico Government <br> International Bonds 3.50% <br> 2/12/34<br>| 2010000 | 1745685 |
|  |  | **1745685** |
| **Peru—0.28%** | **Peru—0.28%** | **Peru—0.28%** |
| Peru Government International Bonds | Peru Government International Bonds | Peru Government International Bonds |
| &nbsp;&nbsp; 3.30% 3/11/41 | 70000 | 54355 |
| &nbsp;&nbsp; 3.55% 3/10/51 | 160000 | 113944 |
| &nbsp;&nbsp; 5.50% 3/30/36 | 1250000 | 1273437 |
|  |  | **1441736** |

---

*LVIP Western Asset Core Bond Fund–20*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** |
| **Uruguay—0.02%** | **Uruguay—0.02%** | **Uruguay—0.02%** |
| &nbsp;&nbsp; Uruguay Government <br> International Bonds 7.63% <br> 3/21/36<br>| 80000 | $96944 |
|  |  | **96944** |
| **Total Sovereign Bonds** <br>**(Cost $4,740,051)** | **Total Sovereign Bonds** <br>**(Cost $4,740,051)** | **4475591** |
| **U.S. TREASURY OBLIGATIONS–22.80%** | **U.S. TREASURY OBLIGATIONS–22.80%** | **U.S. TREASURY OBLIGATIONS–22.80%** |
| U.S. Treasury Bonds | U.S. Treasury Bonds | U.S. Treasury Bonds |
| &nbsp;&nbsp; 3.38% 11/15/48 | 21830000 | 17536482 |
| &nbsp;&nbsp; 4.50% 8/15/39 | 15000000 | 15111328 |
| &nbsp;&nbsp; 4.63% 5/15/54 | 7200000 | 7074000 |
| U.S. Treasury Inflation Indexed Notes | U.S. Treasury Inflation Indexed Notes | U.S. Treasury Inflation Indexed Notes |
| &nbsp;&nbsp; 1.88% 7/15/34 | 3047231 | 3091452 |
| &nbsp;&nbsp; 2.13% 1/15/35 | 2866052 | 2950446 |
| U.S. Treasury Notes | U.S. Treasury Notes | U.S. Treasury Notes |
| &nbsp;&nbsp; 3.63% 8/31/27 | 190000 | 189993 |
| &nbsp;&nbsp; 3.88% 8/15/33 | 33000000 | 32726719 |
| &nbsp;&nbsp; 4.25% 11/15/34 | 12000000 | 12135469 |
| &nbsp;&nbsp; 4.25% 5/15/35 | 5930000 | 5984667 |
| &nbsp;&nbsp; 4.63% 5/31/31 | 21620000 | 22505069 |
| **Total U.S. Treasury Obligations** <br>**(Cost $117,201,771)** | **Total U.S. Treasury Obligations** <br>**(Cost $117,201,771)** | **119305625** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Number of** <br>**Shares**<br>| **Value**<br> **(U.S. $)**<br>|
| **MONEY MARKET FUND–0.79%** | **MONEY MARKET FUND–0.79%** | **MONEY MARKET FUND–0.79%** |
| &nbsp;&nbsp; State Street Institutional <br> U.S. Government Money <br> Market Fund - Premier Class <br> (seven-day effective yield <br> 4.09%)<br>| 4133010 | $4133010 |
| **Total Money Market Fund** <br>**(Cost $4,133,010)** | **Total Money Market Fund** <br>**(Cost $4,133,010)** | **4133010** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Number of** <br>**Contracts**<br>|  |
| **OPTIONS PURCHASED–0.02%** | **OPTIONS PURCHASED–0.02%** | **OPTIONS PURCHASED–0.02%** |
| **Centrally Cleared–0.02%** | **Centrally Cleared–0.02%** | **Centrally Cleared–0.02%** |
| **Call Options–0.02%** | **Call Options–0.02%** | **Call Options–0.02%** |
| &nbsp;&nbsp; Three-Month SOFR Futures <br> Strike price $96.75, <br> expiration date 6/12/26, <br> notional amount <br> $50,310,000<br>| 208 | 114400 |
|  |  | **114400** |
| **Total Options Purchased** <br>**(Cost $182,437)** | **Total Options Purchased** <br>**(Cost $182,437)** | **114400** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **TOTAL INVESTMENTS–99.74% (Cost $532,093,339)** | **521812948** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.26%** | **1365261** |
| **NET ASSETS APPLICABLE TO 66,365,898 SHARES OUTSTANDING–100.00%** | **$523178209** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

---

| |
|:---|
| °Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; \*Interest only security. An interest only security is the interest only portion of a fixed income security which is sold separately from the <br> principal portion of the security. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; •Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at September 30, 2025. For securities based on a <br> published reference rate and spread, the reference rate and spread are indicated in their description above and may be subject to caps <br> and/or floors or include a multiplier. Certain variable rate securities are not based on a published reference rate and spread but are <br> determined by the issuer or agent and are based on current market conditions such as changes in current interest rate and prepayments <br> on the underlying pool of assets. These securities do not indicate a reference rate and spread in their description above. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ♦Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the <br> counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
| μFixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2025. Rate will reset at a future date. |
| φStep coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at September 30, 2025. |
| ΔSecurities have been classified by country of origin. |

---

*LVIP Western Asset Core Bond Fund–21*

------

**LVIP Western Asset Core Bond Fund**

**Schedule of Investments (continued)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

The following futures contracts and swap contracts were outstanding at September 30, 2025:<br>

**Futures Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Contracts to Buy (Sell)** | **Contracts to Buy (Sell)** | **Notional** <br>**Amount**<br>| **Notional** <br>**Cost (Proceeds)**<br>| **Expiration** <br>**Date**<br>| **Value/** <br>**Unrealized** <br>**Appreciation**<sup>1</sup> <br>| **Value/** <br>**Unrealized** <br>**Depreciation**<sup>1</sup> <br>|
| **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** |
| 55 | CBOT 10 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; $6187500 | &nbsp;&nbsp; $6221970 | &nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $(34470)<br>|
| 378 | CBOT 5 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; 41275828 | &nbsp;&nbsp; 41270990 | &nbsp;&nbsp; 12/31/25 | &nbsp;&nbsp; 4838 | &nbsp;&nbsp; — |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | &nbsp;&nbsp; $4838 | &nbsp;&nbsp; $(34470)<br>|

---

**Swap Contract**

**Credit Default Swap (CDS) Contracts** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference**<br> **Obligation/**<br> **Payment**<br> **Frequency**<br>| **Notional**<br> **Amount**<sup>2</sup> <br>| **Annual**<br> **Protection**<br> **Payments**<br>| **Termination**<br> **Date**<br>| **Value** | **Upfront**<br> **Payments**<br> **Paid**<br> **(Received)**<br>| **Unrealized**<br> **Appreciation**<sup>1</sup> <br>| **Unrealized**<br> **Depreciation**<sup>1</sup> <br>|
| **Centrally Cleared/** |  |  |  |  |  |  |  |
| **Protection Sold** |  |  |  |  |  |  |  |
| CDX.NA.IG.45- Quarterly<sup>3</sup> <br>| 41803000 | (1.00%) | 12/20/30 | $960759 | $956600 | $4159 | $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

The use of futures contracts and swap contracts involves elements of market risk and risks in excess of the amounts recognized in the financial <br> statements. The notional amounts presented above represent the Fund's total exposure in such contracts, whereas only the net unrealized <br> appreciation (depreciation) is reflected in the Fund's net assets.<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>1</sup> Includes cumulative appreciation (depreciation) of futures and centrally cleared swap contracts from the date the contracts were opened <br> through September 30, 2025. |
| &nbsp;&nbsp;&nbsp;&nbsp; <sup>2</sup> Notional amount shown is stated in U.S. dollars unless noted that the swap is denominated in another currency. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>3</sup> Markit's North America Investment Grade Index, or CDX.NA.IG Index, is composed of 125 of the most liquid North American entities with <br> investment grade credit ratings that trade in the CDS market. Constituents for the index can be found at www.markit.com/Documentation. |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| **Summary of Abbreviations:** |
| CBOT–Chicago Board of Trade |
| CDX.NA.IG–Credit Default Swap Index North American Investment Grade |
| CLO–Collateralized Loan Obligation |
| CMT–Constant Maturity Treasury |
| DB-JPM–Deutsche Bank JPMorgan |
| HSBC–Hong Kong and Shanghai Banking Corporation |
| JPM-BB–JPMorgan Barclays Bank |
| JPM-DB–JPMorgan Deutsche Bank |
| LNG–Liquefied Natural Gas |
| REMIC–Real Estate Mortgage Investment Conduits |
| RFUCCT–Refinitiv USD IBOR Consumer Cash Fallbacks Term |
| SOFR–Secured Overnight Financing Rate |
| STACR–Structured Agency Credit Risk |
| yr.–Year |

---

*LVIP Western Asset Core Bond Fund–22*

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

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

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

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

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

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

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

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

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

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **Yes**

### Fund Information

**Total Assets:** $524632437.71

**Total Liabilities:** $1068641.40

**Net Assets:** $523563796.31

**Delayed Delivery Securities:** $628629.90

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -569.84000000 | **1-Year:** -13434.89000000 | **5-Year:** -40404.88000000 | **10-Year:** -46867.19000000 | **30-Year:** -26008.64000000

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

- **3-Month:** -12.83000000 | **1-Year:** -315.62000000 | **5-Year:** -19275.95000000 | **10-Year:** -2417.82000000 | **30-Year:** -642.12000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000170902 | -0.28%               | 1.34%                | 1.03%                |
| Class ID C000170901 | -0.27%               | 1.37%                | 1.04%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-214711.83              | $-2068752.48                               |
| Month 2  | $-471198.47              | $4673017.07                                |
| Month 3  | $-57694.91               | $3805451.49                                |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                       | Title                                                                                          | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518341.00    | 0.10%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                   | Mars Inc                                                                                       | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    170000 | PA      | $173763.21    | 0.03%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                              | Boeing Co/The                                                                                  | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $91256.25     | 0.02%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                      | Time Warner Cable LLC                                                                          | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62415.70     | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                                             | CUSIP: 907818FH6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    160000 | PA      | $149059.81    | 0.03%             | 2030-02-05      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                                      | Oglethorpe Power Corp                                                                          | CUSIP: 677050AY2<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    240000 | PA      | $242758.16    | 0.05%             | 2055-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2882508 | PA      | $138686.69    | 0.03%             | 2031-06-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73269 | PA      | $65408.91     | 0.01%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381NUY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3881600 | PA      | $372541.23    | 0.07%             | 2055-06-20      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                            | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21300000 | PA      | $17110722.60  | 3.27%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                 | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1077036.73   | 0.21%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                   | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    730000 | PA      | $732142.45    | 0.14%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74924 | PA      | $64707.56     | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                   | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6827.02      | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38384ERJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1363441 | PA      | $246909.13    | 0.05%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77055 | PA      | $66078.36     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69102 | PA      | $59552.30     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148994 | PA      | $127804.19    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1595771 | PA      | $27505.51     | 0.01%             | 2032-03-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392029 | PA      | $375794.60    | 0.07%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125317 | PA      | $112735.53    | 0.02%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39535.51     | 0.01%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACFU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    601909 | PA      | $609733.84    | 0.12%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59598.54     | 0.01%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                               | QUALCOMM Inc                                                                                   | CUSIP: 747525BW2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    260000 | PA      | $265446.92    | 0.05%             | 2035-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76149 | PA      | $65286.64     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                                      | Becton Dickinson & Co                                                                          | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     93000 | PA      | $83287.15     | 0.02%             | 2044-12-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                   | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    220000 | PA      | $219328.81    | 0.04%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                               | Synopsys Inc                                                                                   | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    160000 | PA      | $162971.34    | 0.03%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                        | Elevance Health Inc                                                                            | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99291.62     | 0.02%             | 2027-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H9QG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    836926 | PA      | $105796.59    | 0.02%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    260000 | PA      | $260682.83    | 0.05%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    848385 | PA      | $815508.25    | 0.16%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93930 | PA      | $92105.78     | 0.02%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136AX4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226215 | PA      | $29391.40     | 0.01%             | 2057-10-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABE65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357435 | PA      | $306431.71    | 0.06%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    330000 | PA      | $326645.94    | 0.06%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    840000 | PA      | $827848.06    | 0.16%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MEGLOBAL BV                                                | MEGlobal BV                                                                                    | CUSIP: 29441WAD7<br>LEI: 549300WBVLU2FILR7W19 | Long             | DBT              | CORP              | NL        |    770000 | PA      | $733863.90    | 0.14%             | 2028-04-28      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1092050 | PA      | $73011.21     | 0.01%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H4BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3765499 | PA      | $67052.62     | 0.01%             | 2031-09-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80730 | PA      | $77920.73     | 0.01%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78836 | PA      | $77891.62     | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39154 | PA      | $34698.47     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61116 | PA      | $52263.63     | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XCDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306487 | PA      | $274959.66    | 0.05%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                   | Angel Oak Mortgage Trust 2021-7                                                                | CUSIP: 03464JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170714 | PA      | $149708.62    | 0.03%             | 2066-10-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103415 | PA      | $99628.11     | 0.02%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                       | Royal Bank of Canada                                                                           | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    600000 | PA      | $582176.96    | 0.11%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                                 | MMAF Equipment Finance LLC 2024-A                                                              | CUSIP: 55318CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    520000 | PA      | $536445.88    | 0.10%             | 2049-07-13      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                   | Constellation Brands Inc                                                                       | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26444.40     | 0.01%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2023-XL3                                                          | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336524 | PA      | $336944.80    | 0.06%             | 2040-12-09      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157930 | PA      | $149989.91    | 0.03%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XLCK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237618 | PA      | $245238.60    | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                    | Morgan Stanley Private Bank NA                                                                 | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    330000 | PA      | $334927.98    | 0.06%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    398000 | PA      | $361865.57    | 0.07%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    483876 | PA      | $416590.38    | 0.08%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95449 | PA      | $90787.35     | 0.02%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                        | Peru Government International Bonds                                                            | CUSIP: 715638DS8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     70000 | PA      | $54355.00     | 0.01%             | 2041-03-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2318618 | PA      | $1988949.45   | 0.38%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    380000 | PA      | $320142.74    | 0.06%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    300000 | PA      | $306788.28    | 0.06%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                   | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    360000 | PA      | $315291.94    | 0.06%             | 2030-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68282 | PA      | $58264.23     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272494 | PA      | $5697.90      | 0.00%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2021-C                                                        | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406117 | PA      | $374202.50    | 0.07%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                       | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     60000 | PA      | $42782.85     | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381H8D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1383592 | PA      | $75114.24     | 0.01%             | 2064-06-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                       | Shell Finance US Inc                                                                           | CUSIP: 822905AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $269731.01    | 0.05%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63937 | PA      | $54945.23     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418DSU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34458 | PA      | $32098.96     | 0.01%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                   | Intercontinental Exchange Inc                                                                  | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     80000 | PA      | $80488.18     | 0.02%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133C1NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69172 | PA      | $69995.62     | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293071 | PA      | $259831.04    | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                           | NTT Finance Corp                                                                               | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    470000 | PA      | $477554.01    | 0.09%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1204126.95   | 0.23%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                        | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    100000 | PA      | $89866.08     | 0.02%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70531 | PA      | $63124.97     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QSHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1503426 | PA      | $1553320.34   | 0.30%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                       | Chile Government International Bonds                                                           | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    290000 | PA      | $179176.50    | 0.03%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| MetLife Inc                                                | MetLife Inc                                                                                    | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    380000 | PA      | $399879.32    | 0.08%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2017-4                                                     | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343798 | PA      | $333653.00    | 0.06%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52626 | PA      | $43039.21     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1092047 | PA      | $885309.32    | 0.17%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    230000 | PA      | $196231.37    | 0.04%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407349 | PA      | $358607.02    | 0.07%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                      | Time Warner Cable LLC                                                                          | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    270000 | PA      | $295026.61    | 0.06%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                | Hertz Vehicle Financing III LLC                                                                | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $254670.68    | 0.05%             | 2028-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                                 | Blackbird Capital II Aircraft Lease Ltd                                                        | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187744 | PA      | $177356.61    | 0.03%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2021-BXMF                                                                             | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    509056 | PA      | $508419.93    | 0.10%             | 2026-10-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171444 | PA      | $149441.78    | 0.03%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                                       | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    120000 | PA      | $108514.76    | 0.02%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                           | BAT Capital Corp                                                                               | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    270000 | PA      | $226405.64    | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    624206 | PA      | $40967.26     | 0.01%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| NP SPE X LP                                                | NP SPE X LP                                                                                    | CUSIP: 62947AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    537149 | PA      | $443168.21    | 0.08%             | 2051-03-19      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                 | JPMBB Commercial Mortgage Securities Trust 2015-C33                                            | CUSIP: 46645JAD4<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |    222969 | PA      | $222408.40    | 0.04%             | 2048-12-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381HK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    390261 | PA      | $21388.50     | 0.00%             | 2065-07-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                      | General Dynamics Corp                                                                          | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9142.47      | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                          | CUSIP: 3132WKFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96938 | PA      | $87692.97     | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146336 | PA      | $125567.21    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                           | CIFC Funding 2018-I Ltd                                                                        | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |    440000 | PA      | $441496.88    | 0.08%             | 2038-01-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                      | Micron Technology Inc                                                                          | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    190000 | PA      | $196610.90    | 0.04%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                   | Mars Inc                                                                                       | CUSIP: 571676AN5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    300000 | PA      | $215009.04    | 0.04%             | 2040-07-16      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141687 | PA      | $143710.70    | 0.03%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-DNA6                                                        | CUSIP: 35564KKY4<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |    667662 | PA      | $670179.83    | 0.13%             | 2041-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H8UB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5787799 | PA      | $97215.34     | 0.02%             | 2032-07-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133USH95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240039 | PA      | $223152.94    | 0.04%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217131 | PA      | $194814.65    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    664268 | PA      | $574105.14    | 0.11%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X8CP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126763 | PA      | $108490.59    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                | Rad CLO 22 Ltd                                                                                 | CUSIP: 74923VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503750.00   | 0.29%             | 2037-01-20      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203405 | PA      | $191987.83    | 0.04%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78802 | PA      | $78515.48     | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                          | Magnetite XXIX Ltd                                                                             | CUSIP: 55955KAN4<br>LEI: 549300XSCWZTP19VRZ67 | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $692374.29    | 0.13%             | 2037-07-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9K29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    716417 | PA      | $619172.59    | 0.12%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XQ2W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288586 | PA      | $298496.99    | 0.06%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380LHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39467 | PA      | $39255.79     | 0.01%             | 2068-07-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKLX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159965 | PA      | $159431.11    | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                   | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    140000 | PA      | $140305.12    | 0.03%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DN6L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252817 | PA      | $247107.93    | 0.05%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45461 | PA      | $43494.54     | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381PWW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1993217 | PA      | $90990.37     | 0.02%             | 2055-07-20      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                         | RWE Finance US LLC                                                                             | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |    570000 | PA      | $562231.01    | 0.11%             | 2035-09-18      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Aimco                                                      | Aimco CLO 15 Ltd                                                                               | CUSIP: 00889BAE1<br>LEI: 254900QER1MDK5C1YE06 | Long             | ABS-CBDO         | CORP              | KY        |   1070000 | PA      | $1070712.62   | 0.20%             | 2038-04-17      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| PFP III                                                    | PFP 2024-11 Ltd                                                                                | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    176262 | PA      | $176537.85    | 0.03%             | 2039-09-17      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35303 | PA      | $32630.13     | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                               | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    158000 | PA      | $164066.49    | 0.03%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79242 | PA      | $80505.41     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24222.46     | 0.00%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                            | AREIT 2022-CRE6 Trust                                                                          | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    303625 | PA      | $303627.20    | 0.06%             | 2037-01-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225564 | PA      | $215385.14    | 0.04%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520004 | PA      | $29541.82     | 0.01%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                   | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    320000 | PA      | $197110.72    | 0.04%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140GPAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253212 | PA      | $250072.19    | 0.05%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50542 | PA      | $43194.74     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81508 | PA      | $73910.27     | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29458.47     | 0.01%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57662 | PA      | $47035.84     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    160000 | PA      | $158163.17    | 0.03%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75715 | PA      | $61937.19     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                           | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    240000 | PA      | $222404.79    | 0.04%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $125699.33    | 0.02%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                 | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    540000 | PA      | $504594.58    | 0.10%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AC4M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1953503 | PA      | $2017157.38   | 0.39%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                      | Waste Connections Inc                                                                          | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    240000 | PA      | $245030.88    | 0.05%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26435 | PA      | $25095.64     | 0.00%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39762.19     | 0.01%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75563 | PA      | $65643.68     | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    509662 | PA      | $471428.33    | 0.09%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                       | OHA Loan Funding 2013-2 Ltd                                                                    | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    121646 | PA      | $121645.94    | 0.02%             | 2031-05-23      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77769 | PA      | $69761.45     | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381DPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3144023 | PA      | $225039.09    | 0.04%             | 2061-06-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQJE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72010 | PA      | $71974.18     | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300311 | PA      | $259549.72    | 0.05%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1224565 | PA      | $1013918.13   | 0.19%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                   | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    180000 | PA      | $174142.79    | 0.03%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                                           | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    110000 | PA      | $114547.68    | 0.02%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                   | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    380000 | PA      | $328762.94    | 0.06%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    720000 | PA      | $714821.70    | 0.14%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FEXM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82640 | PA      | $72987.54     | 0.01%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    210000 | PA      | $165202.98    | 0.03%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                       | BlueMountain CLO XXX Ltd                                                                       | CUSIP: 09630QAU5<br>LEI: 5493002GUQ80FGGGNP40 | Long             | ABS-CBDO         | CORP              | KY        |    860000 | PA      | $860376.68    | 0.16%             | 2035-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138WJSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63131 | PA      | $57071.81     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179V6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    613994 | PA      | $492399.97    | 0.09%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H0TS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    681618 | PA      | $90190.26     | 0.02%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    705487 | PA      | $594719.74    | 0.11%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                               | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    190000 | PA      | $147270.31    | 0.03%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                       | Lockheed Martin Corp                                                                           | CUSIP: 539830CE7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     90000 | PA      | $84928.09     | 0.02%             | 2064-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    593438 | PA      | $35702.23     | 0.01%             | 2062-10-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76450 | PA      | $68580.20     | 0.01%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86717 | PA      | $85736.66     | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69401.29     | 0.01%             | 2027-04-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                      | Amrize Finance US LLC                                                                          | CUSIP: 43475RAD8<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    120000 | PA      | $123616.42    | 0.02%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                      | Palmer Square CLO 2021-1 Ltd                                                                   | CUSIP: 69701WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    890000 | PA      | $889749.91    | 0.17%             | 2038-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XQFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355153 | PA      | $300337.66    | 0.06%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                   | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    570000 | PA      | $570980.81    | 0.11%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65956 | PA      | $59258.79     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                | Walmart Inc                                                                                    | CUSIP: 931142EQ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28348.81     | 0.01%             | 2029-09-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                 | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68561.68     | 0.01%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631695 | PA      | $615625.36    | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XJAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285372 | PA      | $262957.68    | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    691823 | PA      | $647548.09    | 0.12%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69146 | PA      | $65997.52     | 0.01%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127860 | PA      | $113823.36    | 0.02%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153565 | PA      | $125853.85    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                             | Halliburton Co                                                                                 | CUSIP: 406216BK6<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63646.38     | 0.01%             | 2045-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89874 | PA      | $82543.34     | 0.02%             | 2047-11-16      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    130000 | PA      | $134371.41    | 0.03%             | 2031-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    480000 | PA      | $477666.25    | 0.09%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                            | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5930000 | PA      | $5984667.19   | 1.14%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                  | CUSIP: 172967DR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    250000 | PA      | $266969.67    | 0.05%             | 2036-08-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38375UY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126612 | PA      | $4749.76      | 0.00%             | 2067-11-20      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XJ7B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711364 | PA      | $710154.91    | 0.14%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XN6S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173385 | PA      | $149702.39    | 0.03%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                            | Cigna Group/The                                                                                | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    600000 | PA      | $603156.10    | 0.12%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146482 | PA      | $119286.50    | 0.02%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                          | L3Harris Technologies Inc                                                                      | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    140000 | PA      | $139553.46    | 0.03%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DS5M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85836 | PA      | $82692.65     | 0.02%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X6L74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269393 | PA      | $261516.59    | 0.05%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                 | Pfizer Inc                                                                                     | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $923346.51    | 0.18%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1361202 | PA      | $1216773.28   | 0.23%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                       | Freeport-McMoRan Inc                                                                           | CUSIP: 35671DBJ3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    270000 | PA      | $276722.79    | 0.05%             | 2034-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89325.01     | 0.02%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9M92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    486248 | PA      | $421929.92    | 0.08%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                         | BX Trust 2019-OC11                                                                             | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $254907.46    | 0.05%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPXB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70622 | PA      | $71872.07     | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                 | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49878.62     | 0.01%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                       | Glencore Funding LLC                                                                           | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29758.45     | 0.01%             | 2027-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XK6S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74386 | PA      | $74014.16     | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2025-NQM4 Trust                                                                            | CUSIP: 67120QAC0<br>LEI: 254900IAVXYLOCPK6W54 | Long             | ABS-MBS          | CORP              | US        |   1003764 | PA      | $1010169.73   | 0.19%             | 2055-02-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                | CUSIP: 58013MFM1<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    220000 | PA      | $201754.89    | 0.04%             | 2030-03-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                   | OCP SA                                                                                         | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    297000 | PA      | $296774.28    | 0.06%             | 2025-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                        | Bank of Nova Scotia/The                                                                        | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    180000 | PA      | $174192.82    | 0.03%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9C69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291609 | PA      | $254373.55    | 0.05%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124586 | PA      | $119467.69    | 0.02%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                   | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84090.89     | 0.02%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                   | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    199000 | PA      | $198466.31    | 0.04%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255248 | PA      | $38621.14     | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     60000 | PA      | $44631.69     | 0.01%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                   | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                      | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    370000 | PA      | $363519.37    | 0.07%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                             | Solventum Corp                                                                                 | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    200000 | PA      | $208225.88    | 0.04%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                   | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    286000 | PA      | $285998.36    | 0.05%             | 2026-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     80000 | PA      | $61853.04     | 0.01%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                        | SG Residential Mortgage Trust 2022-1                                                           | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749473 | PA      | $710540.49    | 0.14%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140MHS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65468 | PA      | $58099.70     | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138WJWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222853 | PA      | $202082.47    | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2025-DNA1                                                        | CUSIP: 35564NGA5<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $1049995.91   | 0.20%             | 2045-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QS3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677996 | PA      | $689299.85    | 0.13%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                   | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     72000 | PA      | $71716.75     | 0.01%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142418 | PA      | $121992.84    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1472916 | PA      | $14055.75     | 0.00%             | 2028-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                      | Foundry JV Holdco LLC                                                                          | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    300000 | PA      | $312530.03    | 0.06%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37806 | PA      | $36476.00     | 0.01%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                               | Ecopetrol SA                                                                                   | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    970000 | PA      | $741883.16    | 0.14%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381Q3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2197796 | PA      | $216000.50    | 0.04%             | 2055-08-20      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 26 Ltd                                         | Elmwood CLO 26 Ltd                                                                             | CUSIP: 29004CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $200784.00    | 0.04%             | 2037-04-18      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                 | US Bancorp                                                                                     | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38969.08     | 0.01%             | 2028-01-27      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140NBPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73799 | PA      | $75137.37     | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66493 | PA      | $54544.99     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    290000 | PA      | $290560.88    | 0.06%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65652 | PA      | $9918.90      | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2016-3                                                     | CUSIP: 64829HAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143379 | PA      | $134762.95    | 0.03%             | 2056-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                  | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29                                    | CUSIP: 61766EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $168722.52    | 0.03%             | 2049-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL CO                                    | EQUATE Petrochemical Co KSC                                                                    | CUSIP: 29441WAC9<br>LEI: 635400J73BDO4TTGXD45 | Long             | DBT              | CORP              | KW        |    510000 | PA      | $508188.48    | 0.10%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAVM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128683 | PA      | $106227.79    | 0.02%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13007 | PA      | $12667.79     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184316 | PA      | $188494.31    | 0.04%             | 2047-11-01      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $257215.84    | 0.05%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYWA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74171 | PA      | $64150.23     | 0.01%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                   | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                      | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    160000 | PA      | $158241.15    | 0.03%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390118 | PA      | $55502.65     | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186610 | PA      | $161666.86    | 0.03%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283360 | PA      | $47054.49     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72228 | PA      | $59084.62     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2022-LBA6                                                                             | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $529668.59    | 0.10%             | 2039-01-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XPPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155101 | PA      | $161022.57    | 0.03%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39115.89     | 0.01%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140MAWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76020 | PA      | $76252.62     | 0.01%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                                        | Apex Credit CLO 2020 LTD                                                                       | CUSIP: 03756ABC0<br>LEI: 549300WAK1RS0910RU63 | Long             | ABS-CBDO         | CORP              | BM        |    680000 | PA      | $680205.36    | 0.13%             | 2035-04-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KN6X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    596993 | PA      | $568502.07    | 0.11%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418DUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148803 | PA      | $134957.90    | 0.03%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    688381 | PA      | $35335.09     | 0.01%             | 2030-06-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197577 | PA      | $162612.43    | 0.03%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25688 | PA      | $23433.55     | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66814 | PA      | $59719.12     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472323 | PA      | $75416.48     | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                   | JP Morgan Mortgage Trust 2017-5                                                                | CUSIP: 46590YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    765530 | PA      | $772099.65    | 0.15%             | 2048-10-26      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                                       | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    180000 | PA      | $164858.38    | 0.03%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142991 | PA      | $126815.06    | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    190000 | PA      | $194365.27    | 0.04%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2022-NQM1 Trust                                                                            | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730476 | PA      | $660694.41    | 0.13%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                           | Trestles CLO VII Ltd                                                                           | CUSIP: 89532XAC1<br>LEI: 254900F81BZ53L0B6092 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $652045.55    | 0.12%             | 2037-10-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                   | Cheniere Energy Partners LP                                                                    | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    220000 | PA      | $224754.78    | 0.04%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                            | CUSIP: 91282CNV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    190000 | PA      | $189992.58    | 0.04%             | 2027-08-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABJF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70265 | PA      | $60238.33     | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                   | Pioneer Natural Resources Co                                                                   | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    440000 | PA      | $395605.22    | 0.08%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust 2022-LPFL                    | MTN Commercial Mortgage Trust 2022-LPFL                                                        | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $319999.65    | 0.06%             | 2039-03-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146002 | PA      | $129661.88    | 0.02%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322022 | PA      | $317237.24    | 0.06%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACTU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    826209 | PA      | $853619.00    | 0.16%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                   | Delta Air Lines Inc / SkyMiles IP Ltd                                                          | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     28334 | PA      | $28299.44     | 0.01%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUS                             | BRAVO RESIDENTIAL FUNDING TRUS                                                                 | CUSIP: 105925AC5<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-MBS          | CORP              | US        |    278626 | PA      | $281216.35    | 0.05%             | 2064-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AMS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124204 | PA      | $111052.04    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                   | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    410000 | PA      | $413507.39    | 0.08%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                           | BAT Capital Corp                                                                               | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     70000 | PA      | $80234.02     | 0.02%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    180000 | PA      | $201671.81    | 0.04%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192983.57    | 0.04%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266778 | PA      | $258844.27    | 0.05%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                               | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    130000 | PA      | $134822.26    | 0.03%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29946 | PA      | $30353.53     | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68802 | PA      | $59508.43     | 0.01%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    907932 | PA      | $741799.60    | 0.14%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65836 | PA      | $53935.44     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                             | Solventum Corp                                                                                 | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    310000 | PA      | $323268.54    | 0.06%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73231 | PA      | $62903.35     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                          | EOG Resources Inc                                                                              | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    190000 | PA      | $191038.92    | 0.04%             | 2030-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70871 | PA      | $63489.62     | 0.01%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                  | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     10000 | PA      | $12820.14     | 0.00%             | 2039-07-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    240000 | PA      | $248074.39    | 0.05%             | 2042-03-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                 | MFA 2020-NQM1 Trust                                                                            | CUSIP: 552754AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89110 | PA      | $86072.45     | 0.02%             | 2049-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    950000 | PA      | $854363.41    | 0.16%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                       | CUSIP: 00206RMY5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    650000 | PA      | $669453.41    | 0.13%             | 2035-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    140000 | PA      | $136698.62    | 0.03%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                    | Colombia Government International Bonds                                                        | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    760000 | PA      | $621338.00    | 0.12%             | 2044-02-26      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQ2G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254260 | PA      | $258869.54    | 0.05%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                            | McDonald's Corp                                                                                | CUSIP: 58013MFA7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    330000 | PA      | $305175.71    | 0.06%             | 2045-12-09      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383CNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164688 | PA      | $31195.66     | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                 | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    430000 | PA      | $431292.55    | 0.08%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122857 | PA      | $18346.81     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                   | American Transmission Systems Inc                                                              | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $71773.01     | 0.01%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                               | Synopsys Inc                                                                                   | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    130000 | PA      | $132846.60    | 0.03%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80737 | PA      | $82200.33     | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3142GRBY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221163 | PA      | $229563.41    | 0.04%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1024732 | PA      | $1027317.78   | 0.20%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206129 | PA      | $178664.03    | 0.03%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138WDH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1544505 | PA      | $1452019.06   | 0.28%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    560000 | PA      | $419252.84    | 0.08%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220294 | PA      | $29783.56     | 0.01%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                      | Micron Technology Inc                                                                          | CUSIP: 595112BZ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    190000 | PA      | $201801.89    | 0.04%             | 2033-02-09      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BG4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122253 | PA      | $111513.86    | 0.02%             | 2046-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137HBDW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    766384 | PA      | $96430.40     | 0.02%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137AJYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91752 | PA      | $10079.06     | 0.00%             | 2041-12-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                       | Targa Resources Corp                                                                           | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59918.35     | 0.01%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140J8VU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1025203 | PA      | $933490.48    | 0.18%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29615 | PA      | $28333.08     | 0.01%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                      | Reynolds American Inc                                                                          | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49548.61     | 0.01%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                                        | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    160000 | PA      | $166380.62    | 0.03%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2024-RCF1 LLC                                                                             | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197635 | PA      | $194756.82    | 0.04%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                          | TSMC Arizona Corp                                                                              | CUSIP: 872898AA9<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    210000 | PA      | $204931.88    | 0.04%             | 2026-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                          | CUSIP: 3132WKLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252853 | PA      | $229567.03    | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12562 | PA      | $11401.35     | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPUU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159933 | PA      | $160298.71    | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                     | Tennessee Gas Pipeline Co LLC                                                                  | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $196687.16    | 0.04%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                          | HSBC Holdings PLC                                                                              | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    630000 | PA      | $628242.75    | 0.12%             | 2028-03-13      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYT41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103448 | PA      | $89807.46     | 0.02%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140F9WR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176853 | PA      | $159877.86    | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    176942 | PA      | $177609.30    | 0.03%             | 2041-10-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                      | Micron Technology Inc                                                                          | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    170000 | PA      | $181634.50    | 0.03%             | 2035-11-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142367 | PA      | $141006.05    | 0.03%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62383 | PA      | $51105.95     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250735 | PA      | $225033.59    | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                           | FirstEnergy Corp                                                                               | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79300.55     | 0.02%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE                                    | Mid-Atlantic Interstate Transmission LLC                                                       | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $199778.03    | 0.04%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74731 | PA      | $64191.60     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    540000 | PA      | $512189.06    | 0.10%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                            | CVS Health Corp                                                                                | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    270000 | PA      | $245096.44    | 0.05%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241486 | PA      | $240903.12    | 0.05%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242670 | PA      | $202061.81    | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                         | Coterra Energy Inc                                                                             | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    850000 | PA      | $848236.51    | 0.16%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                               | Hardee's Funding LLC                                                                           | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    689400 | PA      | $639294.27    | 0.12%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                    | Consolidated Edison Co of New York Inc                                                         | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     60000 | PA      | $47768.57     | 0.01%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 31398NJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187955 | PA      | $19705.11     | 0.00%             | 2040-09-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                                        | Georgia-Pacific LLC                                                                            | CUSIP: 37331NAT8<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |    370000 | PA      | $379599.81    | 0.07%             | 2032-06-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58471 | PA      | $54411.49     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                    | KazMunayGas National Co JSC                                                                    | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |   1810000 | PA      | $1685530.35   | 0.32%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1664961 | PA      | $90234.42     | 0.02%             | 2030-01-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                             | Amazon.com Inc                                                                                 | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42011.69     | 0.01%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2684643 | PA      | $48930.30     | 0.01%             | 2032-08-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    204000 | PA      | $204718.43    | 0.04%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52762 | PA      | $43155.23     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118666 | PA      | $113372.16    | 0.02%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FMU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $44490.17     | 0.01%             | 2029-06-25      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $117266.23    | 0.02%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208669 | PA      | $197123.49    | 0.04%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138EK7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130857 | PA      | $127269.85    | 0.02%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                    | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48062.11     | 0.01%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BARRICK PD AU FIN PTY LT                                   | Barrick PD Australia Finance Pty Ltd                                                           | CUSIP: 06849UAD7<br>LEI: 5493008DX0TK7OFLV260 | Long             | DBT              | CORP              | AU        |    390000 | PA      | $414158.30    | 0.08%             | 2039-10-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284496 | PA      | $246604.43    | 0.05%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                        | PayPal Holdings Inc                                                                            | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    120000 | PA      | $110465.79    | 0.02%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132163 | PA      | $125660.11    | 0.02%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                          | CI Financial Corp                                                                              | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    560000 | PA      | $596834.44    | 0.11%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44407 | PA      | $40236.70     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XNEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244874 | PA      | $248647.28    | 0.05%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    869340 | PA      | $778844.03    | 0.15%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                   | Anheuser-Busch InBev Worldwide Inc                                                             | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    680000 | PA      | $662041.32    | 0.13%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                    | Reliance Industries Ltd                                                                        | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    630000 | PA      | $465780.23    | 0.09%             | 2052-01-12      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                               | Synopsys Inc                                                                                   | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    110000 | PA      | $111897.98    | 0.02%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                | Oracle Corp                                                                                    | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     90000 | PA      | $63356.36     | 0.01%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US LONG BOND(CBT) DEC25                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -2 | NC      | $-628.46      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Elmwood CLO I Ltd.                                         | Elmwood CLO I Ltd                                                                              | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $672532.60    | 0.13%             | 2037-04-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KRPW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80416 | PA      | $81548.10     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90547 | PA      | $84307.97     | 0.02%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117333 | PA      | $18273.40     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2024-NQM1 Trust                                                                            | CUSIP: 67448LAA0<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |    725631 | PA      | $731442.77    | 0.14%             | 2063-11-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                  | Kroger Co/The                                                                                  | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    220000 | PA      | $221867.73    | 0.04%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                               | Parallel 2023-1 Ltd                                                                            | CUSIP: 69915NAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1070000 | PA      | $1072174.24   | 0.20%             | 2036-07-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218960 | PA      | $215932.99    | 0.04%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                        | American Express Co                                                                            | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    250000 | PA      | $250466.01    | 0.05%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                                        | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    450000 | PA      | $466631.51    | 0.09%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68708 | PA      | $62981.04     | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2019-HY2                                                             | CUSIP: 89177HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $303286.08    | 0.06%             | 2058-05-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228541 | PA      | $196019.99    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                          | CUSIP: 31307WYS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9300 | PA      | $8993.31      | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    689311 | PA      | $6768.76      | 0.00%             | 2027-12-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                            | Deere & Co                                                                                     | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    150000 | PA      | $143786.18    | 0.03%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                                      | Texas Instruments Inc                                                                          | CUSIP: 882508BF0<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62478.38     | 0.01%             | 2039-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434681 | PA      | $372048.40    | 0.07%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12907 | PA      | $12005.51     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179RLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2615 | PA      | $2591.56      | 0.00%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33926.02     | 0.01%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT                                         | UBS AG/Stamford CT                                                                             | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    820000 | PA      | $882855.72    | 0.17%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                         | Meta Platforms Inc                                                                             | CUSIP: 30303M8U9<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    430000 | PA      | $435602.26    | 0.08%             | 2034-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2017-6                                                     | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734128 | PA      | $713607.93    | 0.14%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79662 | PA      | $68171.97     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    581574 | PA      | $25718.00     | 0.00%             | 2034-03-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VCF8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    480000 | PA      | $484079.68    | 0.09%             | 2034-01-31      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140N6NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89107 | PA      | $87175.24     | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XADE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68050 | PA      | $55668.88     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    530000 | PA      | $430024.01    | 0.08%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38385GTJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2188076 | PA      | $182819.65    | 0.03%             | 2055-05-20      | Floating      | 1.41%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT                                         | UBS AG/Stamford CT                                                                             | CUSIP: 22550L2K6<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    490000 | PA      | $498245.35    | 0.10%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2021-SOAR                                                         | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350695 | PA      | $350476.01    | 0.07%             | 2038-06-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202523 | PA      | $174393.34    | 0.03%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                          | NatWest Group PLC                                                                              | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $203142.86    | 0.04%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24306 | PA      | $22942.05     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                            | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    330000 | PA      | $342684.38    | 0.07%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                 | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    680000 | PA      | $701657.05    | 0.13%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                            | CLI Funding IX LLC                                                                             | CUSIP: 12571WAA1<br>LEI: 2549008S2Z91ASJFZL83 | Long             | ABS-O            | CORP              | US        |    633527 | PA      | $637813.76    | 0.12%             | 2049-07-20      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                        | Peru Government International Bonds                                                            | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    160000 | PA      | $113944.00    | 0.02%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248409 | PA      | $252089.93    | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                   | Cooperatieve Rabobank UA                                                                       | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $248154.41    | 0.05%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                              | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66041 | PA      | $60488.56     | 0.01%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140M2SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226962 | PA      | $202016.07    | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420495 | PA      | $316708.52    | 0.06%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1489082 | PA      | $72668.86     | 0.01%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                   | Lloyds Banking Group PLC                                                                       | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    340000 | PA      | $340238.39    | 0.06%             | 2026-03-24      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24679 | PA      | $24053.10     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45511 | PA      | $43644.65     | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143211 | PA      | $144659.55    | 0.03%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                   | Anheuser-Busch InBev Worldwide Inc                                                             | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    510000 | PA      | $515645.67    | 0.10%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226601 | PA      | $199627.43    | 0.04%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                        | Suzano Austria GmbH                                                                            | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    380000 | PA      | $340987.64    | 0.07%             | 2032-01-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355817 | PA      | $307713.59    | 0.06%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38376R4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4981156 | PA      | $171124.12    | 0.03%             | 2067-05-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                    | Kinder Morgan Energy Partners LP                                                               | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    140000 | PA      | $135145.86    | 0.03%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                   | Avis Budget Rental Car Funding AESOP LLC                                                       | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $517119.25    | 0.10%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QRDB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399463 | PA      | $418641.84    | 0.08%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                | CUSIP: 3136B3YD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $287307.18    | 0.05%             | 2036-01-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39184 | PA      | $38127.31     | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154610 | PA      | $133527.91    | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218417 | PA      | $188907.93    | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43455.82     | 0.01%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2021-XL2                                                          | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    383874 | PA      | $383633.48    | 0.07%             | 2038-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XPC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632939 | PA      | $660996.44    | 0.13%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                    | Transcontinental Gas Pipe Line Co LLC                                                          | CUSIP: 893574AH6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    930000 | PA      | $931921.08    | 0.18%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198731 | PA      | $162812.51    | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                          | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2010000 | PA      | $1745685.00   | 0.33%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                 | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     70000 | PA      | $43980.71     | 0.01%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    230000 | PA      | $223584.21    | 0.04%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140MRBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67344 | PA      | $67279.27     | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136ATQK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218158 | PA      | $15043.67     | 0.00%             | 2046-09-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225598 | PA      | $220593.25    | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16989 | PA      | $15372.92     | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98032.96     | 0.02%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                  | Prosus NV                                                                                      | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $192141.39    | 0.04%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110954 | PA      | $105167.42    | 0.02%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25483.67     | 0.00%             | 2040-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                               | CUSIP: 02209SBR3<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    650000 | PA      | $734460.73    | 0.14%             | 2033-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297080 | PA      | $242269.62    | 0.05%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617BFM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42283 | PA      | $38910.86     | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                    | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    510000 | PA      | $468300.59    | 0.09%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248009 | PA      | $201813.85    | 0.04%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135540 | PA      | $22376.35     | 0.00%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    450000 | PA      | $427081.41    | 0.08%             | 2029-02-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                     | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     60000 | PA      | $38068.85     | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53570 | PA      | $49900.27     | 0.01%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132E0Z62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173393 | PA      | $176106.84    | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                   | Western Midstream Operating LP                                                                 | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39043.51     | 0.01%             | 2030-02-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BH7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    807703 | PA      | $127350.22    | 0.02%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XCM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302792 | PA      | $268718.99    | 0.05%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133009 | PA      | $119802.48    | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    720071 | PA      | $619943.89    | 0.12%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                             | Lowe's Cos Inc                                                                                 | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    250000 | PA      | $233662.10    | 0.04%             | 2028-09-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                  | CIM Trust 2024-R1                                                                              | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    835034 | PA      | $833748.13    | 0.16%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076CP5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    270000 | PA      | $252865.85    | 0.05%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62339 | PA      | $50952.24     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273408 | PA      | $245779.54    | 0.05%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210501 | PA      | $182759.63    | 0.03%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FUVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88938 | PA      | $77359.72     | 0.01%             | 2045-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                  | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     90000 | PA      | $90676.79     | 0.02%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                       | Birch Grove CLO 4 Ltd                                                                          | CUSIP: 09077CAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $411012.70    | 0.08%             | 2037-07-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133BUGZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53563 | PA      | $55601.37     | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                            | Fannie Mae Interest Strip                                                                      | CUSIP: 31424U6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1706308 | PA      | $213754.21    | 0.04%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $439416.93    | 0.08%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36329 | PA      | $35147.21     | 0.01%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82396 | PA      | $67283.57     | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                   | Pioneer Natural Resources Co                                                                   | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49543.07     | 0.01%             | 2026-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                                    | HalseyPoint CLO 3 Ltd                                                                          | CUSIP: 40638UAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $512428.62    | 0.10%             | 2037-07-30      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LL                                   | Viper Energy Partners LLC                                                                      | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    410000 | PA      | $416855.20    | 0.08%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KQUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    652104 | PA      | $650476.00    | 0.12%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                      | Amrize Finance US LLC                                                                          | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71545.65     | 0.01%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140846 | PA      | $130561.58    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2024-6                                                              | CUSIP: 92540JAC6<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    199323 | PA      | $201420.74    | 0.04%             | 2069-07-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                             | MSWF Commercial Mortgage Trust 2023-2                                                          | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $582790.30    | 0.11%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Mars Inc                                                   | Mars Inc                                                                                       | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    250000 | PA      | $240495.16    | 0.05%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $12372.81     | 0.00%             | 2060-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                    | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                                    | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $702622.40    | 0.13%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                          | Johnson & Johnson                                                                              | CUSIP: 478160CR3<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    440000 | PA      | $310184.37    | 0.06%             | 2040-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                           | Triumph Rail Holdings LLC                                                                      | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410181 | PA      | $392120.11    | 0.07%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                                   | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    290000 | PA      | $288164.18    | 0.06%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                       | Shell Finance US Inc                                                                           | CUSIP: 822905AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $94431.26     | 0.02%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX 2024-PALM                                                                                   | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216346 | PA      | $216684.00    | 0.04%             | 2037-06-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301768 | PA      | $293854.65    | 0.06%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                     | SLC Student Loan Trust 2008-1                                                                  | CUSIP: 78444LAD5<br>LEI: 5493007QNQ56NU0MGE13 | Long             | ABS-O            | CORP              | US        |    215669 | PA      | $215659.40    | 0.04%             | 2032-12-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    210000 | PA      | $205719.87    | 0.04%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                            | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33000000 | PA      | $32726718.75  | 6.25%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156552 | PA      | $153053.17    | 0.03%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69680 | PA      | $59848.17     | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                                  | BMP 2024-MF23                                                                                  | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1001251.50   | 0.19%             | 2041-06-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138ERVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91175 | PA      | $82678.11     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105822 | PA      | $87619.34     | 0.02%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                           | BAT Capital Corp                                                                               | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    185000 | PA      | $183107.65    | 0.03%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2021-C                                                        | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178414 | PA      | $174188.29    | 0.03%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60118 | PA      | $51758.31     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVL86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2627915 | PA      | $2344057.35   | 0.45%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    220000 | PA      | $212223.03    | 0.04%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133APLD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67269 | PA      | $57860.75     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                         | Credit Agricole SA                                                                             | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    410000 | PA      | $407480.09    | 0.08%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                             | NRG Energy Inc                                                                                 | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    210000 | PA      | $210714.21    | 0.04%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                      | Texas Instruments Inc                                                                          | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    130000 | PA      | $117376.93    | 0.02%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141934 | PA      | $136463.44    | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    390000 | PA      | $392134.67    | 0.07%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124967 | PA      | $110936.87    | 0.02%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS LLC                                     | Chubb INA Holdings LLC                                                                         | CUSIP: 00440EAV9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    140000 | PA      | $139413.48    | 0.03%             | 2026-05-03      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418D4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278244 | PA      | $241170.34    | 0.05%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137HAAJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2199064 | PA      | $43383.35     | 0.01%             | 2033-05-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                   | CUSIP: 20030NCG4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    590000 | PA      | $452366.81    | 0.09%             | 2052-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $497251.02    | 0.09%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KQ3M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127084 | PA      | $132511.41    | 0.03%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                | Walmart Inc                                                                                    | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44112.70     | 0.01%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QFG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1458566 | PA      | $1265681.01   | 0.24%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38375K4K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24301 | PA      | $2447.18      | 0.00%             | 2037-08-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140KXAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59800 | PA      | $51271.97     | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                                       | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    310000 | PA      | $309760.97    | 0.06%             | 2028-11-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57655 | PA      | $55391.61     | 0.01%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Estate Notes                     | Greystone CRE Notes 2025-FL4 LLC                                                               | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1240000 | PA      | $1244985.54   | 0.24%             | 2043-01-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800728 | PA      | $801866.39    | 0.15%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75675 | PA      | $69868.15     | 0.01%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78384.14     | 0.01%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                           | NMEF Funding 2025-A LLC                                                                        | CUSIP: 62919VAB7<br>LEI: 549300LKWL3P0UPHKL72 | Long             | ABS-O            | CORP              | US        |    966546 | PA      | $970934.47    | 0.19%             | 2032-07-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Student Loan Trust 2016-3                                                              | CUSIP: 63940HAC7<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |    272738 | PA      | $276020.59    | 0.05%             | 2065-06-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                   | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    271000 | PA      | $271719.17    | 0.05%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62028 | PA      | $50698.66     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133D4QF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151261 | PA      | $130729.32    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                   | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                      | CUSIP: 71568PAC3<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    310000 | PA      | $308806.13    | 0.06%             | 2027-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292534 | PA      | $261700.20    | 0.05%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                             | Eli Lilly & Co                                                                                 | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37844.13     | 0.01%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                               | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25713.02     | 0.00%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                               | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    220000 | PA      | $214877.69    | 0.04%             | 2030-03-19      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31398 | PA      | $30339.15     | 0.01%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                            | Cameron LNG LLC                                                                                | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    760000 | PA      | $659907.00    | 0.13%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2025-1                                                              | CUSIP: 92540TAC4<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |    307175 | PA      | $309889.94    | 0.06%             | 2070-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                  | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2380000 | PA      | $2389687.34   | 0.46%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103209 | PA      | $88930.07     | 0.02%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74018 | PA      | $63578.85     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BPPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497689 | PA      | $69085.44     | 0.01%             | 2050-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142018 | PA      | $121443.63    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1498701 | PA      | $218815.94    | 0.04%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                               | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     27000 | PA      | $27418.46     | 0.01%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329489 | PA      | $283283.18    | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 207932AB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    760000 | PA      | $800485.35    | 0.15%             | 2042-12-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    532028 | PA      | $493429.92    | 0.09%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    810000 | PA      | $811075.47    | 0.15%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XJTF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200832 | PA      | $200472.83    | 0.04%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2024-NQM11 Trust                                                                           | CUSIP: 67119EAA4<br>LEI: 254900F5LT8CA1U6PK21 | Long             | ABS-MBS          | CORP              | US        |    189689 | PA      | $191746.25    | 0.04%             | 2064-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    288704 | PA      | $267281.86    | 0.05%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                        | United Airlines Inc                                                                            | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1024076.30   | 0.20%             | 2029-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                          | Park Blue CLO 2022-II Ltd                                                                      | CUSIP: 70018CAQ9<br>LEI: 2138008W8XU9WO8BZO09 | Long             | ABS-CBDO         | CORP              | KY        |    770000 | PA      | $772447.83    | 0.15%             | 2037-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132E0PA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1473869 | PA      | $1522715.17   | 0.29%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                   | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26286.69     | 0.01%             | 2058-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129743 | PA      | $116861.28    | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Battery Park CLO Ltd.                                      | Battery Park Clo Ltd                                                                           | CUSIP: 07133YAL4<br>LEI: 549300HAR0K520KW1A03 | Long             | ABS-CBDO         | CORP              | KY        |    370000 | PA      | $370104.71    | 0.07%             | 2036-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XD6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144051 | PA      | $124677.85    | 0.02%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                             | Merck & Co Inc                                                                                 | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     50000 | PA      | $31570.40     | 0.01%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABKA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72830 | PA      | $62329.61     | 0.01%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1193710 | PA      | $79631.67     | 0.02%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                                           | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    630000 | PA      | $644080.80    | 0.12%             | 2028-06-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232885 | PA      | $199416.89    | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                           | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    410000 | PA      | $366216.48    | 0.07%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                    | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    330000 | PA      | $303144.98    | 0.06%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62102 | PA      | $55879.21     | 0.01%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8853.07      | 0.00%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                       | Lockheed Martin Corp                                                                           | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195730.46    | 0.04%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138Y4M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1526870 | PA      | $1474481.02   | 0.28%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275650 | PA      | $253404.34    | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                    | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    230000 | PA      | $174260.27    | 0.03%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36202D6C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       411 | PA      | $408.60       | 0.00%             | 2034-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eaton Corp                                                 | Eaton Corp                                                                                     | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    250000 | PA      | $220929.78    | 0.04%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66641 | PA      | $57164.72     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138WKUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198480 | PA      | $190539.73    | 0.04%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Institutional US Government Money Market Fund | State Street Institutional US Government Money Market Fund                                     | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   4133010 | NS      | $4133010.45   | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                   | Comision Federal de Electricidad                                                               | CUSIP: 200447AK6<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   1220000 | PA      | $1077902.45   | 0.21%             | 2033-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57979 | PA      | $47601.21     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                               | Huntington Bank Auto Credit-Linked Notes Series 2024-2                                         | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    806418 | PA      | $814248.03    | 0.16%             | 2032-10-20      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Truist Bank                                                | Truist Bank                                                                                    | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    320000 | PA      | $322392.24    | 0.06%             | 2029-09-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    180000 | PA      | $156242.24    | 0.03%             | 2031-09-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156775 | PA      | $144947.24    | 0.03%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58111 | PA      | $56992.40     | 0.01%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                            | Fannie Mae Interest Strip                                                                      | CUSIP: 31424U8E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1749844 | PA      | $392227.27    | 0.07%             | 2053-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                            | Cigna Group/The                                                                                | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    120000 | PA      | $114508.83    | 0.02%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                   | Visa Inc                                                                                       | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    610000 | PA      | $538499.97    | 0.10%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179WDG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    555680 | PA      | $445631.89    | 0.09%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2022-C                                                        | CUSIP: 78449CAA6<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |    760160 | PA      | $758410.82    | 0.14%             | 2050-05-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69521.56     | 0.01%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1302973 | PA      | $1077229.80   | 0.21%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                             | Solventum Corp                                                                                 | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    439000 | PA      | $450856.04    | 0.09%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACA67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80081 | PA      | $75760.80     | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                                      | Black Diamond CLO 2024-1 Ltd                                                                   | CUSIP: 09204UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1360000 | PA      | $1364006.56   | 0.26%             | 2037-10-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                      | Haleon US Capital LLC                                                                          | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247403.76    | 0.05%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69367.72     | 0.01%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133B3ZF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76108 | PA      | $65374.78     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                    | Oncor Electric Delivery Co LLC                                                                 | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    120000 | PA      | $124115.73    | 0.02%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                         | Expand Energy Corp                                                                             | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    320000 | PA      | $314487.96    | 0.06%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228595 | PA      | $228747.11    | 0.04%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305148 | PA      | $271085.87    | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                    | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    110000 | PA      | $97999.23     | 0.02%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                                    | Walt Disney Co/The                                                                             | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    110000 | PA      | $127069.15    | 0.02%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446516 | PA      | $440882.67    | 0.08%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133BSPH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110340 | PA      | $114022.46    | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53119 | PA      | $43487.71     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    240000 | PA      | $165939.17    | 0.03%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                   | Angel Oak Mortgage Trust 2022-3                                                                | CUSIP: 03464TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373254 | PA      | $362833.12    | 0.07%             | 2067-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368128 | PA      | $315981.13    | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19688.00     | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| EMERSON ELECTRIC CO                                        | Emerson Electric Co                                                                            | CUSIP: 291011BS2<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | DBT              | CORP              | US        |    350000 | PA      | $224828.39    | 0.04%             | 2051-12-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138823 | PA      | $123727.76    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                      | Toronto-Dominion Bank/The                                                                      | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    170000 | PA      | $169870.98    | 0.03%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                       | Shell Finance US Inc                                                                           | CUSIP: 822905AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $46914.86     | 0.01%             | 2029-11-07      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38378MVC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74874 | PA      | $9717.94      | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BJWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590777 | PA      | $94420.07     | 0.02%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBL6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    303000 | PA      | $302808.37    | 0.06%             | 2027-02-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $377263.75    | 0.07%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBA0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36787.66     | 0.01%             | 2044-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104401 | PA      | $105876.54    | 0.02%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    150000 | PA      | $141292.44    | 0.03%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16338 | PA      | $15922.59     | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    170000 | PA      | $172947.82    | 0.03%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1030000 | PA      | $1031780.05   | 0.20%             | 2044-09-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214951 | PA      | $194027.25    | 0.04%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGLT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70072 | PA      | $65104.22     | 0.01%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                          | Elevation CLO 2025-18 Ltd                                                                      | CUSIP: 28623JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $650600.60    | 0.12%             | 2038-03-28      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172159 | PA      | $174811.91    | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XHCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    661503 | PA      | $606736.00    | 0.12%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X7WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269280 | PA      | $219187.75    | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133B2MQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71017 | PA      | $63344.15     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                               | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    180000 | PA      | $152621.25    | 0.03%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC                                   | OBX 2021-NQM3 Trust                                                                            | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215468 | PA      | $175118.81    | 0.03%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                               | Synopsys Inc                                                                                   | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    210000 | PA      | $211938.47    | 0.04%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164814 | PA      | $167270.55    | 0.03%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    399767 | PA      | $395471.94    | 0.08%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190935 | PA      | $182674.43    | 0.03%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112664 | PA      | $114372.37    | 0.02%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XJGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235100 | PA      | $230393.22    | 0.04%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75891 | PA      | $76064.25     | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO Ltd                          | Hildene Community Funding CDO Ltd                                                              | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |    415611 | PA      | $367537.69    | 0.07%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BMZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1230385 | PA      | $217857.57    | 0.04%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138ETD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134331 | PA      | $134654.68    | 0.03%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                      | Northrop Grumman Corp                                                                          | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1020744.73   | 0.19%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                            | Fannie Mae Interest Strip                                                                      | CUSIP: 31423XMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729270 | PA      | $91221.49     | 0.02%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383RXB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    676665 | PA      | $100553.75    | 0.02%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                    | SCF Equipment Trust 2016-1 LLC                                                                 | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1030000 | PA      | $1054171.63   | 0.20%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55106 | PA      | $7945.56      | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41334.48     | 0.01%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                    | Procter & Gamble Co/The                                                                        | CUSIP: 742718FH7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    120000 | PA      | $115157.56    | 0.02%             | 2030-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133BWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56010 | PA      | $58400.21     | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    230000 | PA      | $208483.31    | 0.04%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                                 | Driven Brands Funding LLC                                                                      | CUSIP: 26209XAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    841500 | PA      | $871080.91    | 0.17%             | 2054-10-20      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75642 | PA      | $67549.73     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148507 | PA      | $150962.50    | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59126 | PA      | $48318.22     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    170000 | PA      | $162566.06    | 0.03%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BPUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1672764 | PA      | $210183.69    | 0.04%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                            | MVW 2023-2 LLC                                                                                 | CUSIP: 55400WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153994 | PA      | $158035.08    | 0.03%             | 2040-11-20      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                      | CUSIP: 674599DK8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    560000 | PA      | $444774.40    | 0.08%             | 2044-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140LRT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68454 | PA      | $58799.50     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    957563 | PA      | $854993.18    | 0.16%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    661085 | PA      | $536944.28    | 0.10%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    501672 | PA      | $423688.73    | 0.08%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3142GRQL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175256 | PA      | $181942.43    | 0.03%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                                        | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9966.60      | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                            | Long: SWS125567 CDS USD R F  1.00000 2 CCPCDX / Short: SWS125567 CDS USD P V 03MEVENT 1 CCPCDX | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  41803000 | OU      | $950308.02    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91370 | PA      | $87417.27     | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172089 | PA      | $162978.92    | 0.03%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KRCQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71817 | PA      | $75559.91     | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                    | KazMunayGas National Co JSC                                                                    | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    250000 | PA      | $256884.37    | 0.05%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DS3U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2667763 | PA      | $2711408.53   | 0.52%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | Csmc 2022-Nqm1 Trust                                                                           | CUSIP: 126416AA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    773398 | PA      | $710308.36    | 0.14%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1054450 | PA      | $977573.12    | 0.19%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR OPT JUN26C 96.75                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       208 | NC      | $114400.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                    | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    170000 | PA      | $172384.12    | 0.03%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                       | Glencore Funding LLC                                                                           | CUSIP: 378272CB2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    210000 | PA      | $219534.92    | 0.04%             | 2055-04-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1971421 | PA      | $44341.20     | 0.01%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                            | Deere & Co                                                                                     | CUSIP: 244199BK0<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79056.13     | 0.02%             | 2050-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                            | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7200000 | PA      | $7074000.00   | 1.35%             | 2054-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    360000 | PA      | $327826.80    | 0.06%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367849 | PA      | $315424.59    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                       | Birch Grove CLO 7 Ltd                                                                          | CUSIP: 09077RAA7<br>LEI: 254900FP4VB7V5ZG0W95 | Long             | ABS-CBDO         | CORP              | JE        |   1760000 | PA      | $1761760.00   | 0.34%             | 2036-10-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                 | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    160000 | PA      | $166647.08    | 0.03%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    797559 | PA      | $119852.90    | 0.02%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     60000 | PA      | $40894.96     | 0.01%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81734 | PA      | $81229.23     | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                   | NIKE Inc                                                                                       | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    100000 | PA      | $81028.29     | 0.02%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                       | Freeport-McMoRan Inc                                                                           | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    180000 | PA      | $173372.51    | 0.03%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    130000 | PA      | $118120.69    | 0.02%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125693 | PA      | $102825.23    | 0.02%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79975 | PA      | $81358.25     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                               | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    410000 | PA      | $360910.82    | 0.07%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    250000 | PA      | $187855.77    | 0.04%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70015 | PA      | $60029.42     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188789 | PA      | $162240.09    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                     | SLM Private Credit Student Loan Trust 2006-A                                                   | CUSIP: 78443CCL6<br>LEI: 549300I2YWZ9E1B0EY33 | Long             | ABS-O            | CORP              | US        |    127993 | PA      | $122855.44    | 0.02%             | 2039-06-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                   | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100085.77    | 0.02%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118112 | PA      | $114131.26    | 0.02%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136AHGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32389 | PA      | $3431.22      | 0.00%             | 2043-12-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140570 | PA      | $137765.80    | 0.03%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                | PRKCM 2021-AFC2 Trust                                                                          | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206807 | PA      | $184579.49    | 0.04%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                  | ONEOK Inc                                                                                      | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $148930.54    | 0.03%             | 2053-09-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46409 | PA      | $39824.25     | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-NQM8                                                                                 | CUSIP: 12659FAA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    750449 | PA      | $690515.12    | 0.13%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                       | Royal Bank of Canada                                                                           | CUSIP: 78016HZW3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     80000 | PA      | $83344.32     | 0.02%             | 2034-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134277 | PA      | $141494.27    | 0.03%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59488 | PA      | $53420.70     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                          | Park Blue Clo 2024-V Ltd                                                                       | CUSIP: 70019CAA3<br>LEI: 213800H9UFJ6SS8AMF70 | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $622445.28    | 0.12%             | 2037-07-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $369345.32    | 0.07%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                                      | Sycamore Tree CLO 2025-6 Ltd                                                                   | CUSIP: 87122HAA0<br>LEI: 2138001M3BAXCUCAUG38 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $800800.00    | 0.15%             | 2038-04-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                  | ONEOK Inc                                                                                      | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101266.69    | 0.02%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    370000 | PA      | $305958.32    | 0.06%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215614 | PA      | $190266.82    | 0.04%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378271 | PA      | $307881.47    | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70375 | PA      | $61937.08     | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    470000 | PA      | $444115.81    | 0.08%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    160000 | PA      | $131106.69    | 0.03%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103258.96    | 0.02%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                 | JPMDB Commercial Mortgage Securities Trust 2016-C2                                             | CUSIP: 46590LAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    404000 | PA      | $391918.74    | 0.07%             | 2049-06-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    679889 | PA      | $18689.67     | 0.00%             | 2029-06-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     30000 | PA      | $22473.23     | 0.00%             | 2049-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                   | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149254.85    | 0.03%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81379.88     | 0.02%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XEAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148906 | PA      | $128879.76    | 0.02%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66918 | PA      | $54684.71     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMRT                                                       | SMRT 2022-MINI                                                                                 | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $539324.68    | 0.10%             | 2039-01-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                 | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    340000 | PA      | $224889.21    | 0.04%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                           | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $974381.17    | 0.19%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449118 | PA      | $75419.92     | 0.01%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-AFC1 Trust                                                                           | CUSIP: 12657LAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    247003 | PA      | $210018.86    | 0.04%             | 2056-03-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DNBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78546 | PA      | $69771.62     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                   | EQT Corp                                                                                       | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    220000 | PA      | $239523.57    | 0.05%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                   | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     54000 | PA      | $32044.12     | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                        | Elevance Health Inc                                                                            | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    160000 | PA      | $133961.33    | 0.03%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                  | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    620000 | PA      | $627492.21    | 0.12%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BBF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539063 | PA      | $87951.42     | 0.02%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2016-C36                                                 | CUSIP: 95000MBS9<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-MBS          | CORP              | US        |   7583374 | PA      | $49910.74     | 0.01%             | 2059-11-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust             | Morgan Stanley Residential Mortgage Loan Trust 2024-INV2                                       | CUSIP: 617939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566804 | PA      | $577963.26    | 0.11%             | 2054-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust              | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                                  | CUSIP: 46590KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275486 | PA      | $273862.91    | 0.05%             | 2049-01-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7648 | PA      | $7556.38      | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64137 | PA      | $52415.46     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust                             | BOCA Commercial Mortgage Trust 2024-BOCA                                                       | CUSIP: 096817AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    940000 | PA      | $944113.63    | 0.18%             | 2041-08-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                   | Cooperatieve Rabobank UA                                                                       | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $237431.48    | 0.05%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199342.41    | 0.04%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                | CUSIP: 3136AT5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26786 | PA      | $25461.15     | 0.00%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76609 | PA      | $68717.72     | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117596 | PA      | $96041.91     | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73745 | PA      | $63667.59     | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81874 | PA      | $80824.29     | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    260000 | PA      | $237516.12    | 0.05%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66557 | PA      | $57267.67     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9196 | PA      | $9178.90      | 0.00%             | 2069-08-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                              | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52023 | PA      | $47700.03     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                    | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    290000 | PA      | $290348.72    | 0.06%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9LV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235691 | PA      | $218049.06    | 0.04%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339399 | PA      | $277293.47    | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                    | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    270000 | PA      | $269169.43    | 0.05%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                      | Haleon US Capital LLC                                                                          | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $236910.21    | 0.05%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                  | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    240000 | PA      | $213210.03    | 0.04%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                           | CIFC Funding 2015-IV Ltd                                                                       | CUSIP: 12550TAY1<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |    440000 | PA      | $440454.96    | 0.08%             | 2034-04-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    268067 | PA      | $233349.85    | 0.04%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 31427MUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3260508 | PA      | $3258753.08   | 0.62%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                           | Georgia Power Co                                                                               | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    210000 | PA      | $215194.52    | 0.04%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169702 | PA      | $145501.56    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                   | AT&T Inc                                                                                       | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1305773.29   | 0.25%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                        | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    310000 | PA      | $314313.68    | 0.06%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237757 | PA      | $209037.29    | 0.04%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                   | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    120000 | PA      | $83888.90     | 0.02%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| OCCU Auto Receivables Trust                                | OCCU Auto Receivables Trust 2025-1                                                             | CUSIP: 67098SAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $756231.68    | 0.14%             | 2034-11-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133B5EE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81512 | PA      | $72267.04     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                          | General Motors Co                                                                              | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72697.02     | 0.01%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132E0KM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159082 | PA      | $160992.98    | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABLA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143408 | PA      | $122944.31    | 0.02%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                   | Avis Budget Rental Car Funding AESOP LLC                                                       | CUSIP: 05377RLA0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $258467.46    | 0.05%             | 2032-02-20      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36202DUS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2227 | PA      | $2208.78      | 0.00%             | 2032-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-DNA2                                                        | CUSIP: 35564KDB2<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |    165302 | PA      | $168854.02    | 0.03%             | 2033-08-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                      | Truist Financial Corp                                                                          | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    250000 | PA      | $252901.22    | 0.05%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                       | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    340000 | PA      | $289513.15    | 0.06%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                          | CUSIP: 3132WKPM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40209 | PA      | $36350.68     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                               | CD 2016-CD1 Mortgage Trust                                                                     | CUSIP: 12514MBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610000 | PA      | $596591.71    | 0.11%             | 2049-08-10      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29836 | PA      | $27771.86     | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                   | Fox Corp                                                                                       | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    710000 | PA      | $712702.05    | 0.14%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300000 | PA      | $207955.29    | 0.04%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380PHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2465466 | PA      | $258552.97    | 0.05%             | 2060-05-16      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270354 | PA      | $262311.68    | 0.05%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138LJB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338982 | PA      | $332633.61    | 0.06%             | 2027-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KRCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65598 | PA      | $68949.83     | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380R2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3333214 | PA      | $197667.91    | 0.04%             | 2061-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BBEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359974 | PA      | $323712.65    | 0.06%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                   | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    290000 | PA      | $177042.62    | 0.03%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                              | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11493 | PA      | $10514.29     | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                   | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $395457.59    | 0.08%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445447 | PA      | $414810.22    | 0.08%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                             | Air Lease Corp                                                                                 | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    180000 | PA      | $183251.76    | 0.04%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                      | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     40000 | PA      | $29319.69     | 0.01%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234181 | PA      | $215308.57    | 0.04%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BCER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123318 | PA      | $22045.69     | 0.00%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                               | CaixaBank SA                                                                                   | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    500000 | PA      | $505131.18    | 0.10%             | 2031-07-03      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300646 | PA      | $246788.51    | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    702792 | PA      | $609586.46    | 0.12%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                           | Trinitas CLO XVI Ltd                                                                           | CUSIP: 89642DAQ1<br>LEI: 5493004FCKEPFTK2QI86 | Long             | ABS-CBDO         | CORP              | KY        |    860000 | PA      | $860615.76    | 0.16%             | 2034-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                         | Ford Motor Co                                                                                  | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    270000 | PA      | $276579.35    | 0.05%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67028 | PA      | $67995.65     | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KJDA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290177 | PA      | $255398.05    | 0.05%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AC6M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1097005 | PA      | $1133492.68   | 0.22%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                   | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    750000 | PA      | $939649.94    | 0.18%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70082 | PA      | $60172.51     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1657207 | PA      | $1658483.25   | 0.32%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1693719 | PA      | $1432348.63   | 0.27%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | Morgan Stanley                                                                                 | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20095.74     | 0.00%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56948 | PA      | $11078.81     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $286493.24    | 0.05%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd            | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                                         | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    260194 | PA      | $260193.92    | 0.05%             | 2037-01-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    210000 | PA      | $151664.23    | 0.03%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                  | NYCT Trust 2024-3ELV                                                                           | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310000 | PA      | $310775.56    | 0.06%             | 2029-08-15      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                           | FirstEnergy Corp                                                                               | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    510000 | PA      | $506872.26    | 0.10%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                             | Apidos Loan Fund 2024-1 Ltd                                                                    | CUSIP: 037986AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1490000 | PA      | $1494988.52   | 0.29%             | 2038-10-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230901 | PA      | $212838.20    | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO Ltd                                    | Warwick Capital CLO 7 Ltd                                                                      | CUSIP: 93656JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    760000 | PA      | $761087.56    | 0.15%             | 2038-10-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                          | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3047231 | PA      | $3091451.95   | 0.59%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    979809 | PA      | $20163.38     | 0.00%             | 2028-05-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                   | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                      | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1070000 | PA      | $1031150.96   | 0.20%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                           | BAT Capital Corp                                                                               | CUSIP: 05526DCD5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    130000 | PA      | $135931.40    | 0.03%             | 2055-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                                             | CUSIP: 31325WSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76841 | PA      | $8242.05      | 0.00%             | 2046-12-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133B9NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227917 | PA      | $202306.40    | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XMZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488970 | PA      | $462209.26    | 0.09%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    640000 | PA      | $595759.94    | 0.11%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    516488 | PA      | $446463.85    | 0.09%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    693624 | PA      | $21451.15     | 0.00%             | 2030-12-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X8P84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152189 | PA      | $152751.87    | 0.03%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                | RCKT Mortgage Trust 2024-INV1                                                                  | CUSIP: 74938QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242080 | PA      | $247148.55    | 0.05%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221856 | PA      | $192019.60    | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-E                                                        | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    540004 | PA      | $546832.99    | 0.10%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QEYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192398 | PA      | $156689.49    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    464327 | PA      | $378340.93    | 0.07%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31416RRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107413 | PA      | $108234.39    | 0.02%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1691547 | PA      | $34594.68     | 0.01%             | 2055-04-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                | Hertz Vehicle Financing III LLC                                                                | CUSIP: 42806MCT4<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    780000 | PA      | $786851.05    | 0.15%             | 2029-09-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70767 | PA      | $60560.08     | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $64822.13     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31673 | PA      | $30432.74     | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67792 | PA      | $65962.41     | 0.01%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QNM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69154 | PA      | $63438.55     | 0.01%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140LHQV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95617 | PA      | $95093.09     | 0.02%             | 2032-10-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159495 | PA      | $159601.48    | 0.03%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                       | Glencore Funding LLC                                                                           | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    130000 | PA      | $129381.60    | 0.02%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                | MF1 2025-FL19 LLC                                                                              | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1330000 | PA      | $1334571.34   | 0.25%             | 2042-05-18      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322490 | PA      | $3046.11      | 0.00%             | 2027-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    410000 | PA      | $409824.66    | 0.08%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    666760 | PA      | $677101.21    | 0.13%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 5YR NOTE (CBT) DEC25                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       378 | NC      | $4838.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69766 | PA      | $60427.33     | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190501 | PA      | $5758.46      | 0.00%             | 2059-12-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    190000 | PA      | $179304.42    | 0.03%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2020-A                                                        | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96753 | PA      | $93853.28     | 0.02%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360021 | PA      | $294515.73    | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                         | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-1                                  | CUSIP: 35563PR43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366133 | PA      | $306171.79    | 0.06%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68111 | PA      | $59247.79     | 0.01%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    250000 | PA      | $227826.10    | 0.04%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| NJ Trust 2023-GSP                                          | NJ Trust 2023-GSP                                                                              | CUSIP: 65486XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $440026.19    | 0.08%             | 2029-01-06      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222123 | PA      | $140296.81    | 0.03%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                           | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    120000 | PA      | $145609.33    | 0.03%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                                       | Sagard-Halseypoint Clo 8 Ltd                                                                   | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |    460000 | PA      | $461532.26    | 0.09%             | 2038-01-30      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140NCRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61509 | PA      | $63994.44     | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    997500 | PA      | $1030524.73   | 0.20%             | 2043-07-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                             | Eli Lilly & Co                                                                                 | CUSIP: 532457CR7<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    190000 | PA      | $190711.97    | 0.04%             | 2034-08-14      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    120000 | PA      | $77359.64     | 0.01%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68755 | PA      | $63287.50     | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3682 | PA      | $3326.67      | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                                   | Columbia Pipelines Holding Co LLC                                                              | CUSIP: 19828AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    220000 | PA      | $229572.30    | 0.04%             | 2028-08-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    810578 | PA      | $718948.08    | 0.14%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    580000 | PA      | $514704.39    | 0.10%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XNQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220632 | PA      | $229054.65    | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    180000 | PA      | $170694.63    | 0.03%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                      | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     90000 | PA      | $70601.55     | 0.01%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACEG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154854 | PA      | $156484.23    | 0.03%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383FHR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289114 | PA      | $257367.23    | 0.05%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381HN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $140905.82    | 0.03%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                                   | Cleveland Electric Illuminating Co/The                                                         | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $68747.89     | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42756 | PA      | $3841.49      | 0.00%             | 2047-11-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62368 | PA      | $63216.95     | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ADOBE INC                                                  | Adobe Inc                                                                                      | CUSIP: 00724PAD1<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | DBT              | CORP              | US        |    260000 | PA      | $241984.48    | 0.05%             | 2030-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9QM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82155 | PA      | $71208.93     | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1358382 | PA      | $1379397.75   | 0.26%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    930509 | PA      | $2419.42      | 0.00%             | 2048-10-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6821 | PA      | $6559.91      | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XNVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1936590 | PA      | $1647575.12   | 0.31%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1667058 | PA      | $1434886.29   | 0.27%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151682 | PA      | $148384.29    | 0.03%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381DHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3191497 | PA      | $189055.33    | 0.04%             | 2063-02-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383R7N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $79551.73     | 0.02%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    460000 | PA      | $463806.61    | 0.09%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                        | Petroleos Mexicanos                                                                            | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     85000 | PA      | $86091.06     | 0.02%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    296000 | PA      | $291178.70    | 0.06%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1157699.76   | 0.22%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69980 | PA      | $60048.23     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $932797.07    | 0.18%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79830 | PA      | $77985.06     | 0.01%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212320 | PA      | $187645.21    | 0.04%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299326 | PA      | $286376.78    | 0.05%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56205 | PA      | $46551.22     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| APPLIED MATERIALS INC                                      | Applied Materials Inc                                                                          | CUSIP: 038222AN5<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |     90000 | PA      | $80909.29     | 0.02%             | 2030-06-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31046.88     | 0.01%             | 2031-02-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132E0BE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3373227 | PA      | $3456401.14   | 0.66%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233208 | PA      | $237436.38    | 0.05%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                     | Mitsubishi UFJ Financial Group Inc                                                             | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $199785.04    | 0.04%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                       | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    330000 | PA      | $288901.33    | 0.06%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                    | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     50000 | PA      | $34110.30     | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                | Walmart Inc                                                                                    | CUSIP: 931142ES8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     80000 | PA      | $74952.83     | 0.01%             | 2028-09-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133APF79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73467 | PA      | $63079.94     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128994 | PA      | $17097.49     | 0.00%             | 2046-10-16      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $418077.07    | 0.08%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140AQS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1873640 | PA      | $1895224.93   | 0.36%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                    | Royal Caribbean Cruises Ltd                                                                    | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    340000 | PA      | $346691.07    | 0.07%             | 2031-09-30      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2024-DNA1                                                        | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | USGSE             | US        |    470000 | PA      | $474903.09    | 0.09%             | 2044-02-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                                   | KLA Corp                                                                                       | CUSIP: 482480AL4<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    160000 | PA      | $162365.29    | 0.03%             | 2032-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SWAP CCPC GOLDMAN SACHS COC                                | SWAP CCPC GOLDMAN SACHS COC                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     28285 | NS      | $28285.42     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70484 | PA      | $11757.73     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BHGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326020 | PA      | $273121.72    | 0.05%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204208 | PA      | $175468.74    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                      | Foundry JV Holdco LLC                                                                          | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    460000 | PA      | $485073.82    | 0.09%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137HBW42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423590 | PA      | $92923.78     | 0.02%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338030 | PA      | $313800.58    | 0.06%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                   | Constellation Brands Inc                                                                       | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    160000 | PA      | $160460.42    | 0.03%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                   | Florida Power & Light Co                                                                       | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    240000 | PA      | $248772.36    | 0.05%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                           | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    270000 | PA      | $242629.40    | 0.05%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Kings Park CLO Ltd                                         | Kings Park CLO Ltd                                                                             | CUSIP: 496094AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    880000 | PA      | $880580.80    | 0.17%             | 2035-01-21      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                | Oracle Corp                                                                                    | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37689.40     | 0.01%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138EPDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73339 | PA      | $76907.51     | 0.01%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XJCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564297 | PA      | $459407.92    | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    429633 | PA      | $370056.71    | 0.07%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62447 | PA      | $53682.60     | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219137 | PA      | $208129.98    | 0.04%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XNQ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156185 | PA      | $163151.04    | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QNQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72913 | PA      | $67069.98     | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73630 | PA      | $70635.48     | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2022-NQM2                                                  | CUSIP: 64831MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    773548 | PA      | $737382.05    | 0.14%             | 2062-03-27      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72768 | PA      | $72688.98     | 0.01%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XLKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80332 | PA      | $81424.66     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                 | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     50000 | PA      | $32309.56     | 0.01%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445005 | PA      | $374998.35    | 0.07%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121294 | PA      | $103463.33    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                   | JP Morgan Mortgage Trust Series 2025-NQM1                                                      | CUSIP: 46593QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1185845 | PA      | $1196105.89   | 0.23%             | 2065-06-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FYJM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408941 | PA      | $93145.53     | 0.02%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371433 | PA      | $323330.23    | 0.06%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71762 | PA      | $63445.43     | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGWP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72805 | PA      | $62406.95     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63621 | PA      | $52113.65     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                 | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $306974.08    | 0.06%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co                                      | MidAmerican Energy Co                                                                          | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    260000 | PA      | $256209.32    | 0.05%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    130000 | PA      | $131368.85    | 0.03%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                      | Aon North America Inc                                                                          | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    540000 | PA      | $562520.30    | 0.11%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                           | DP World Ltd/United Arab Emirates                                                              | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |    770000 | PA      | $757660.96    | 0.14%             | 2048-09-25      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-NQM3                                                                                 | CUSIP: 12660LAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    439559 | PA      | $390303.89    | 0.07%             | 2066-04-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                                           | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    140000 | PA      | $145813.45    | 0.03%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1923 | PA      | $1934.24      | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                     | Berkshire Hathaway Finance Corp                                                                | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    280000 | PA      | $239973.12    | 0.05%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                      | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195641.70    | 0.04%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    110000 | PA      | $124944.04    | 0.02%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2017-2                                                     | CUSIP: 64829KAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308879 | PA      | $307575.33    | 0.06%             | 2057-03-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2015-2                                                     | CUSIP: 64829EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256107 | PA      | $247917.53    | 0.05%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57644 | PA      | $58427.92     | 0.01%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60686 | PA      | $49715.61     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                    | Oncor Electric Delivery Co LLC                                                                 | CUSIP: 68233JDA9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    150000 | PA      | $154274.66    | 0.03%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                            | Sands China Ltd                                                                                | CUSIP: 80007RAL9<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    600000 | PA      | $589990.14    | 0.11%             | 2030-06-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1503996 | PA      | $1243886.01   | 0.24%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    610000 | PA      | $515914.52    | 0.10%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                   | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61836.07     | 0.01%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $31443.12     | 0.01%             | 2030-01-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                             | Mastercard Inc                                                                                 | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    660000 | PA      | $528864.20    | 0.10%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248923 | PA      | $219682.97    | 0.04%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70700 | PA      | $57936.57     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28345 | PA      | $27915.64     | 0.01%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    430000 | PA      | $407124.68    | 0.08%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                | Hertz Vehicle Financing III LLC 2025-2                                                         | CUSIP: 42806MCX5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    780000 | PA      | $790606.83    | 0.15%             | 2031-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $127886.00    | 0.02%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                   | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    890000 | PA      | $890107.51    | 0.17%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                              | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34547 | PA      | $31662.27     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                            | Oaktree CLO 2024-25 Ltd                                                                        | CUSIP: 67402PAA5<br>LEI: 254900NTZ5OVNC5X7789 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $752724.00    | 0.14%             | 2037-04-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65377 | PA      | $56000.43     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                             | Eli Lilly & Co                                                                                 | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    420000 | PA      | $424637.79    | 0.08%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1769223 | PA      | $105762.38    | 0.02%             | 2030-04-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds                     | Uruguay Government International Bonds                                                         | CUSIP: 760942AS1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     80000 | PA      | $96944.00     | 0.02%             | 2036-03-21      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X4MM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47210 | PA      | $46249.65     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                          | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2866052 | PA      | $2950446.43   | 0.56%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63224 | PA      | $54578.75     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    240000 | PA      | $236572.17    | 0.05%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    579023 | PA      | $565930.47    | 0.11%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                         | Coterra Energy Inc                                                                             | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298029.14    | 0.06%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FYAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131394 | PA      | $115867.55    | 0.02%             | 2041-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    840000 | PA      | $834527.29    | 0.16%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167833 | PA      | $159324.95    | 0.03%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111594 | PA      | $110392.83    | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221884 | PA      | $227690.76    | 0.04%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72475 | PA      | $73416.96     | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265790 | PA      | $6901.67      | 0.00%             | 2057-04-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                   | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    150000 | PA      | $102500.57    | 0.02%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDF35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143506 | PA      | $124474.33    | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                                        | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     81000 | PA      | $78979.64     | 0.02%             | 2029-07-26      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                          | CUSIP: 3128LXC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27102 | PA      | $27333.00     | 0.01%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                  | Nelnet Student Loan Trust 2021-B                                                               | CUSIP: 64034QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    483393 | PA      | $483393.76    | 0.09%             | 2062-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                        | Abbott Laboratories                                                                            | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    160000 | PA      | $161465.63    | 0.03%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62364 | PA      | $50680.25     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                             | CUSIP: 437076CF7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    260000 | PA      | $224098.77    | 0.04%             | 2031-03-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72194 | PA      | $75705.88     | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91462 | PA      | $90326.80     | 0.02%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1815534 | PA      | $1559500.08   | 0.30%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70218 | PA      | $57542.53     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     60000 | PA      | $47406.50     | 0.01%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2021-NQM2 Trust                                                                            | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145495 | PA      | $120803.51    | 0.02%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    560000 | PA      | $505383.22    | 0.10%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VNO Mortgage Trust                                         | VNDO Trust 2016-350P                                                                           | CUSIP: 91831UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $1068632.78   | 0.20%             | 2035-01-10      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     40000 | PA      | $48011.57     | 0.01%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488785 | PA      | $28402.70     | 0.01%             | 2060-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21428 | PA      | $19546.77     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                             | Amazon.com Inc                                                                                 | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1081090.27   | 0.21%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257938 | PA      | $221154.54    | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15088 | PA      | $13819.53     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XC5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55947 | PA      | $53158.28     | 0.01%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2021-NQM4 Trust                                                                            | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    474675 | PA      | $407561.33    | 0.08%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    890000 | PA      | $881840.95    | 0.17%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40718 | PA      | $37291.77     | 0.01%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67499 | PA      | $58715.71     | 0.01%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210950 | PA      | $25866.75     | 0.00%             | 2046-02-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                          | CUSIP: 3132WKPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71207 | PA      | $64640.60     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QQWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66438 | PA      | $69781.94     | 0.01%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                     | Taco Bell Funding LLC                                                                          | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1210000 | PA      | $1212527.69   | 0.23%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53866 | PA      | $53352.50     | 0.01%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                               | Ares Loan Funding IV Ltd                                                                       | CUSIP: 04020FAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    710000 | PA      | $711040.15    | 0.14%             | 2036-10-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25182 | PA      | $24029.48     | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77965 | PA      | $78109.03     | 0.01%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    367674 | PA      | $313739.49    | 0.06%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28018 | PA      | $27587.51     | 0.01%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                | PRKCM 2024-HOME1 Trust                                                                         | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    478119 | PA      | $485783.54    | 0.09%             | 2059-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    630567 | PA      | $528432.75    | 0.10%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63889 | PA      | $9430.63      | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    180000 | PA      | $185224.37    | 0.04%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust           | GoodLeap Sustainable Home Solutions Trust 2022-1                                               | CUSIP: 38237JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    341467 | PA      | $307382.16    | 0.06%             | 2049-01-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 29273VAY6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    210000 | PA      | $215460.16    | 0.04%             | 2034-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQB70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80880 | PA      | $82234.09     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAKF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315452 | PA      | $287776.15    | 0.05%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245081 | PA      | $249312.42    | 0.05%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                        | Citigroup Commercial Mortgage Trust 2016-P3                                                    | CUSIP: 29429CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178000 | PA      | $176398.09    | 0.03%             | 2049-04-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                               | Barclays PLC                                                                                   | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    450000 | PA      | $456695.06    | 0.09%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                        | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44727.27     | 0.01%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-C                                                        | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    342124 | PA      | $341710.99    | 0.07%             | 2052-06-17      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                 | AbbVie Inc                                                                                     | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27822.92     | 0.01%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                       | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    408000 | PA      | $281160.17    | 0.05%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220468 | PA      | $195455.61    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617Y5UR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75644 | PA      | $71249.23     | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    410000 | PA      | $415367.74    | 0.08%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR NOTE (CBT)DEC25                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        58 | NC      | $-36350.34    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61009 | PA      | $49879.45     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                              | MHC Commercial Mortgage Trust 2021-MHC                                                         | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43188 | PA      | $43187.57     | 0.01%             | 2038-04-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                 | US Bancorp                                                                                     | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    270000 | PA      | $280995.91    | 0.05%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24295 | PA      | $23062.99     | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2014-2                                                     | CUSIP: 64828YAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133408 | PA      | $127898.02    | 0.02%             | 2054-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76451 | PA      | $67921.89     | 0.01%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52441 | PA      | $49815.13     | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                                 | Kenvue Inc                                                                                     | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152483.69    | 0.03%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    280000 | PA      | $277934.08    | 0.05%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X44M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205240 | PA      | $207591.65    | 0.04%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70615 | PA      | $64677.40     | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII                        | Bayview Opportunity Master Fund VII 2025-EDU1 LLC                                              | CUSIP: 07337GAC7<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1250488.75   | 0.24%             | 2048-07-27      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214282 | PA      | $184170.02    | 0.04%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133APF61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71721 | PA      | $61689.81     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                 | US Bancorp                                                                                     | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $106558.80    | 0.02%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34099 | PA      | $31745.49     | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335521 | PA      | $274054.87    | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383FX73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142680 | PA      | $123457.00    | 0.02%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DLLMT LLC                                                  | DLLMT 2024-1 LLC                                                                               | CUSIP: 23347AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $326158.05    | 0.06%             | 2032-04-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                   | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                      | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    200000 | PA      | $205462.00    | 0.04%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                   | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    350000 | PA      | $273501.57    | 0.05%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AWH72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80059 | PA      | $65142.45     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                   | Pioneer Natural Resources Co                                                                   | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    200000 | PA      | $179616.47    | 0.03%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    230000 | PA      | $222803.02    | 0.04%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1460650 | PA      | $1303751.46   | 0.25%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                                             | CUSIP: 907818FJ2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    170000 | PA      | $166055.07    | 0.03%             | 2027-02-05      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                      | CUSIP: 674599CS2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    120000 | PA      | $114466.58    | 0.02%             | 2029-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56721 | PA      | $51362.02     | 0.01%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38385D3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3950497 | PA      | $341509.83    | 0.07%             | 2055-03-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    100000 | PA      | $72325.59     | 0.01%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA4                                                        | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |    990000 | PA      | $1028134.21   | 0.20%             | 2042-05-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BRH67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3018713 | PA      | $414384.14    | 0.08%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                             | Merck & Co Inc                                                                                 | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    600000 | PA      | $531578.93    | 0.10%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328424 | PA      | $331066.13    | 0.06%             | 2050-02-01      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                   | Mars Inc                                                                                       | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71614.73     | 0.01%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-AFC1 Trust                                                                           | CUSIP: 12657LAA2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    184205 | PA      | $155312.15    | 0.03%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                           | BAT Capital Corp                                                                               | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    180000 | PA      | $145185.30    | 0.03%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA2                                                        | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |    222541 | PA      | $222993.91    | 0.04%             | 2042-02-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499670.69    | 0.10%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                  | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    490000 | PA      | $437107.49    | 0.08%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                               | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    370000 | PA      | $378131.62    | 0.07%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Point Au Roche Park CLO, Ltd                               | Point Au Roche Park CLO Ltd                                                                    | CUSIP: 73052VAA3<br>LEI: 5493000RMLD359CPH591 | Long             | ABS-CBDO         | CORP              | KY        |   2050000 | PA      | $2051970.05   | 0.39%             | 2034-07-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    560000 | PA      | $560653.39    | 0.11%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                               | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2310000 | PA      | $2157204.98   | 0.41%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74438 | PA      | $62727.38     | 0.01%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64745 | PA      | $55689.44     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2024-NQM17 Trust                                                                           | CUSIP: 673911AE3<br>LEI: 254900HMH8TR6ZSMCB34 | Long             | ABS-MBS          | CORP              | US        |    896560 | PA      | $903839.70    | 0.17%             | 2064-11-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383FR62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280429 | PA      | $230596.58    | 0.04%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382XZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    784853 | PA      | $110673.42    | 0.02%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140Q9XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119435 | PA      | $114244.93    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    340000 | PA      | $347297.71    | 0.07%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23364 | PA      | $21645.72     | 0.00%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617B8HH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39338 | PA      | $36200.62     | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76939 | PA      | $77886.63     | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58724 | PA      | $52650.52     | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                   | Mars Inc                                                                                       | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    570000 | PA      | $577379.33    | 0.11%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                       | Deephaven Residential Mortgage Trust 2022-1                                                    | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504290 | PA      | $465914.32    | 0.09%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58104 | PA      | $48011.29     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFX30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208041 | PA      | $186111.03    | 0.04%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                            | CVS Health Corp                                                                                | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    392000 | PA      | $392258.32    | 0.07%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA3                                                        | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |    830000 | PA      | $853637.24    | 0.16%             | 2042-04-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| CINTAS CORPORATION NO. 2                                   | Cintas Corp No 2                                                                               | CUSIP: 17252MAQ3<br>LEI: 549300QVUQTTKMTE0G41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97771.98     | 0.02%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73344 | PA      | $65290.46     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49249 | PA      | $45114.61     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                    | DBJPM 16-C1 Mortgage Trust                                                                     | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $223253.10    | 0.04%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    260000 | PA      | $266800.45    | 0.05%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381EX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750074 | PA      | $31077.08     | 0.01%             | 2062-02-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132D9K86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77745 | PA      | $67122.01     | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363504 | PA      | $314394.12    | 0.06%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     30000 | PA      | $22164.60     | 0.00%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X9LZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51410 | PA      | $44116.11     | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                               | Chevron Corp                                                                                   | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $104067.24    | 0.02%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152144 | PA      | $150227.42    | 0.03%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                                       | CUSIP: 75513EAC5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    480000 | PA      | $326412.52    | 0.06%             | 2050-07-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KNWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154089 | PA      | $136669.15    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69954 | PA      | $57326.69     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    410000 | PA      | $413858.27    | 0.08%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                   | Delta Air Lines Inc / SkyMiles IP Ltd                                                          | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    200000 | PA      | $201124.60    | 0.04%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135654 | PA      | $116297.70    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231501 | PA      | $199934.06    | 0.04%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                           | Whitebox Clo I Ltd                                                                             | CUSIP: 96467FAU4<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |    680000 | PA      | $681073.72    | 0.13%             | 2036-07-24      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179U6Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39903 | PA      | $40446.13     | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67996 | PA      | $55721.75     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XK5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76285 | PA      | $74014.78     | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    160000 | PA      | $131544.58    | 0.03%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138ETHB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186833 | PA      | $186361.14    | 0.04%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                  | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    320000 | PA      | $277710.61    | 0.05%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QNT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449926 | PA      | $428453.07    | 0.08%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                                 | Driven Brands Funding LLC                                                                      | CUSIP: 26209XAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $259381.20    | 0.05%             | 2055-10-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                             | Amazon.com Inc                                                                                 | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    120000 | PA      | $110638.67    | 0.02%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                      | General Dynamics Corp                                                                          | CUSIP: 369550BJ6<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    160000 | PA      | $137468.11    | 0.03%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2015-2                                                     | CUSIP: 64829EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    449938 | PA      | $438266.16    | 0.08%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2020-RPL4 Trust                                                                           | CUSIP: 126405AA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    213976 | PA      | $192619.96    | 0.04%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                 | Humana Inc                                                                                     | CUSIP: 444859BK7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    260000 | PA      | $247476.92    | 0.05%             | 2029-08-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                             | Lowe's Cos Inc                                                                                 | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    240000 | PA      | $243145.83    | 0.05%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    702140 | PA      | $593438.24    | 0.11%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137429 | PA      | $117819.11    | 0.02%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BQ3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    962553 | PA      | $171231.03    | 0.03%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139831 | PA      | $120603.43    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                                             | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163111 | PA      | $18081.31     | 0.00%             | 2044-08-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                             | CarVal CLO XI C Ltd                                                                            | CUSIP: 14688RAA8<br>LEI: 254900BDRF474L9PWM54 | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $973465.81    | 0.19%             | 2037-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                   | AT&T Inc                                                                                       | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     58000 | PA      | $49004.25     | 0.01%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                  | Prosus NV                                                                                      | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    850000 | PA      | $594835.19    | 0.11%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133BTCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74379 | PA      | $73970.77     | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164999 | PA      | $167662.02    | 0.03%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38384WFF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    929049 | PA      | $91418.05     | 0.02%             | 2054-09-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    633071 | PA      | $95258.22     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H9QF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1428331 | PA      | $227829.36    | 0.04%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                    | Royal Caribbean Cruises Ltd                                                                    | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    290000 | PA      | $297389.68    | 0.06%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212411 | PA      | $186822.74    | 0.04%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                             | Eli Lilly & Co                                                                                 | CUSIP: 532457CN6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    330000 | PA      | $311714.33    | 0.06%             | 2064-02-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                                        | Gilead Sciences Inc                                                                            | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    160000 | PA      | $147052.70    | 0.03%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                    | Honeywell International Inc                                                                    | CUSIP: 438516CS3<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    400000 | PA      | $406664.28    | 0.08%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                                    | Schlumberger Holdings Corp                                                                     | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74659.12     | 0.01%             | 2028-05-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H4YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    793334 | PA      | $133166.93    | 0.03%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                  | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    150000 | PA      | $133286.28    | 0.03%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                            | BRAVO Residential Funding Trust 2024-NQM5                                                      | CUSIP: 105925AA9<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-MBS          | CORP              | US        |    195792 | PA      | $197952.62    | 0.04%             | 2064-06-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H3ST0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    628035 | PA      | $90495.00     | 0.02%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                          | General Motors Co                                                                              | CUSIP: 37045VAL4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     41000 | PA      | $43907.79     | 0.01%             | 2046-04-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                           | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    190000 | PA      | $175892.70    | 0.03%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                           | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    670000 | PA      | $600495.49    | 0.11%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QMZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885295 | PA      | $766236.16    | 0.15%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                           | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44337.95     | 0.01%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5888355 | PA      | $34237.84     | 0.01%             | 2026-08-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    220000 | PA      | $193539.54    | 0.04%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                            | Chevron USA Inc                                                                                | CUSIP: 166756AS5<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    490000 | PA      | $477376.38    | 0.09%             | 2029-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                  | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $929289.51    | 0.18%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69111 | PA      | $69345.16     | 0.01%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                     | PNC Financial Services Group Inc/The                                                           | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    370000 | PA      | $383405.81    | 0.07%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AAKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93091 | PA      | $87571.57     | 0.02%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2586960 | PA      | $2313986.53   | 0.44%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                            | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    350000 | PA      | $351093.75    | 0.07%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BDY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365191 | PA      | $65225.55     | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                    | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    340000 | PA      | $340923.10    | 0.07%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290789 | PA      | $8192.59      | 0.00%             | 2029-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64785 | PA      | $57800.87     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    734329 | PA      | $86205.74     | 0.02%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                    | Reliance Industries Ltd                                                                        | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    360000 | PA      | $326912.73    | 0.06%             | 2032-01-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                            | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10112890.60  | 1.93%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380RWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    628570 | PA      | $35674.56     | 0.01%             | 2061-01-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68542 | PA      | $58961.83     | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H2N83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2386304 | PA      | $84734.57     | 0.02%             | 2031-07-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                                              | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    277000 | PA      | $266659.63    | 0.05%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304076 | PA      | $262420.04    | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SWAP CCPC GOLDMAN SACHS COC                                | SWAP CCPC GOLDMAN SACHS COC                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -25000 | NS      | $-25000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Silver Point CLO, Ltd                                      | Silver Point Clo 8 Ltd                                                                         | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500247.50    | 0.10%             | 2038-04-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ADBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    917526 | PA      | $947990.91    | 0.18%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2024-C63                                                 | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $361943.16    | 0.07%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48658 | PA      | $46505.78     | 0.01%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H2UN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    411415 | PA      | $52107.46     | 0.01%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35857.42     | 0.01%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78030 | PA      | $77765.52     | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                              | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48231.79     | 0.01%             | 2029-07-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                | BBCMS Mortgage Trust 2025-5C34                                                                 | CUSIP: 07337BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $418705.24    | 0.08%             | 2058-05-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159845 | PA      | $144717.70    | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                                             | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    220000 | PA      | $153067.25    | 0.03%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    747658 | PA      | $167728.30    | 0.03%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291602 | PA      | $238244.44    | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390168 | PA      | $333889.36    | 0.06%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38376R5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8498 | PA      | $8454.53      | 0.00%             | 2067-05-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409887 | PA      | $392148.57    | 0.07%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1891527 | PA      | $36739.70     | 0.01%             | 2032-05-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                           | CUSIP: 88339WAC0<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    380000 | PA      | $385784.04    | 0.07%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XJYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71184 | PA      | $72905.02     | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                  | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                                    | CUSIP: 61690VAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64678 | PA      | $64330.89     | 0.01%             | 2048-10-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31500 | PA      | $30136.86     | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                     | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    200000 | PA      | $169424.33    | 0.03%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H62K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277065 | PA      | $36739.33     | 0.01%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161731 | PA      | $142738.65    | 0.03%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162247 | PA      | $158704.44    | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State of Israel                                            | Israel Government International Bond                                                           | CUSIP: 46513YJH2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    400000 | PA      | $390710.84    | 0.07%             | 2028-01-17      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78701 | PA      | $67488.78     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    130000 | PA      | $132790.33    | 0.03%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                    | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    130000 | PA      | $130715.84    | 0.02%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                            | BRAVO Residential Funding Trust 2024-NQM3                                                      | CUSIP: 10569LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362594 | PA      | $367209.64    | 0.07%             | 2064-03-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247770 | PA      | $234897.32    | 0.04%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                 | Humana Inc                                                                                     | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    420000 | PA      | $410438.00    | 0.08%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                      | Micron Technology Inc                                                                          | CUSIP: 595112CB7<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     20000 | PA      | $21275.95     | 0.00%             | 2033-09-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                          | Kinder Morgan Inc                                                                              | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    220000 | PA      | $220947.01    | 0.04%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                            | Fannie Mae Interest Strip                                                                      | CUSIP: 31423XQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    451463 | PA      | $74441.25     | 0.01%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                       | Lockheed Martin Corp                                                                           | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    920000 | PA      | $747594.54    | 0.14%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1148000 | PA      | $1155701.30   | 0.22%             | 2027-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QFA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250138 | PA      | $203971.89    | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57174 | PA      | $46921.54     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                   | NIKE Inc                                                                                       | CUSIP: 654106AK9<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    380000 | PA      | $360928.34    | 0.07%             | 2030-03-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46625HRX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    130000 | PA      | $128970.87    | 0.02%             | 2027-12-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                           | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1221000 | PA      | $1221809.54   | 0.23%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-NQM7                                                                                 | CUSIP: 12662QAA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    140690 | PA      | $124539.13    | 0.02%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305219 | PA      | $309200.71    | 0.06%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                             | Solventum Corp                                                                                 | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    121000 | PA      | $124870.83    | 0.02%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                       | Glencore Funding LLC                                                                           | CUSIP: 378272CA4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    480000 | PA      | $498879.38    | 0.10%             | 2035-04-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION                                   | Florida Gas Transmission Co LLC                                                                | CUSIP: 340711BC3<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |    420000 | PA      | $435534.38    | 0.08%             | 2035-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                             | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    210000 | PA      | $192223.63    | 0.04%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                     | UnitedHealth Group Inc                                                                         | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69616.99     | 0.01%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1284764 | PA      | $959396.92    | 0.18%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155041 | PA      | $155332.38    | 0.03%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                                       | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    460000 | PA      | $496515.85    | 0.09%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83019 | PA      | $81197.61     | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFSJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146369 | PA      | $130525.03    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216489 | PA      | $201197.40    | 0.04%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13370 | PA      | $1449.28      | 0.00%             | 2043-06-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133BUNF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58490 | PA      | $60985.77     | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GULFSTREAM NATURAL GAS                                     | Gulfstream Natural Gas System LLC                                                              | CUSIP: 402740AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $563510.92    | 0.11%             | 2035-07-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QMRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    579490 | PA      | $495902.88    | 0.09%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69727 | PA      | $72517.63     | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29205 | PA      | $28004.88     | 0.01%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                       | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     50000 | PA      | $34185.24     | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149315 | PA      | $134036.78    | 0.03%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1700408 | PA      | $6938.01      | 0.00%             | 2026-10-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                                      | Northrop Grumman Corp                                                                          | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    160000 | PA      | $157351.46    | 0.03%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                           | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $943969.63    | 0.18%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74466 | PA      | $70336.53     | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                         | Siemens Funding BV                                                                             | CUSIP: 82622RAG1<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    220000 | PA      | $238536.36    | 0.05%             | 2065-05-28      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38381HL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    376495 | PA      | $23409.18     | 0.00%             | 2064-07-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QPRZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294283 | PA      | $297781.84    | 0.06%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DPWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137991 | PA      | $143864.99    | 0.03%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385848 | PA      | $330005.79    | 0.06%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3138ETPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42100 | PA      | $43668.36     | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                           | Bank of Montreal                                                                               | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $68760.21     | 0.01%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                         | Roche Holdings Inc                                                                             | CUSIP: 771196BY7<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |    300000 | PA      | $186461.86    | 0.04%             | 2051-12-13      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                                             | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     90000 | PA      | $66660.00     | 0.01%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567535 | PA      | $565561.24    | 0.11%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                        | Citigroup Commercial Mortgage Trust 2016-P6                                                    | CUSIP: 17291EAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88681 | PA      | $87987.41     | 0.02%             | 2049-12-10      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                            | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    970000 | PA      | $899704.23    | 0.17%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1187740 | PA      | $40838.65     | 0.01%             | 2036-02-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38378KSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    682912 | PA      | $7083.23      | 0.00%             | 2053-12-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                               | Parallel 2020-1 Ltd                                                                            | CUSIP: 69917AAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $520799.24    | 0.10%             | 2034-07-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142313 | PA      | $131968.22    | 0.03%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                         | Ellington Financial Mortgage Trust 2021-2                                                      | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205284 | PA      | $173301.49    | 0.03%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H9JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4789155 | PA      | $66179.89     | 0.01%             | 2032-10-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Recette CLO LLC                                            | Recette Clo Ltd                                                                                | CUSIP: 75620TAW8<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250312.50    | 0.05%             | 2034-04-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XQQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627498 | PA      | $545062.03    | 0.10%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H2UH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1022063 | PA      | $151903.04    | 0.03%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70815 | PA      | $61034.49     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                    | Consolidated Edison Co of New York Inc                                                         | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77460.41     | 0.01%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105015 | PA      | $100170.07    | 0.02%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QFA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63857 | PA      | $51992.32     | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31890 | PA      | $29698.80     | 0.01%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VLS Commercial Mortgage Trust                              | VLS Commercial Mortgage Trust 2020-LAB                                                         | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480000 | PA      | $409676.98    | 0.08%             | 2042-10-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414270 | PA      | $339489.59    | 0.06%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                            | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15111328.20  | 2.89%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                     | CUSIP: 458140CF5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    170000 | PA      | $174939.94    | 0.03%             | 2030-02-10      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                              | CUSIP: 3136BHD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167364 | PA      | $30458.98     | 0.01%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DQFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79543 | PA      | $76400.00     | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1270414 | PA      | $68866.96     | 0.01%             | 2030-07-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| GCAT                                                       | GCAT 2019-NQM2 Trust                                                                           | CUSIP: 36167FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385910 | PA      | $377147.00    | 0.07%             | 2060-01-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                        | Elevance Health Inc                                                                            | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    190000 | PA      | $184566.77    | 0.04%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                     | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    120000 | PA      | $111916.15    | 0.02%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                            | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $58978.13     | 0.01%             | 2055-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                            | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21620000 | PA      | $22505068.75  | 4.30%             | 2031-05-31      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-XL5                                                          | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274759 | PA      | $274929.66    | 0.05%             | 2041-03-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XKWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80616 | PA      | $74527.23     | 0.01%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                 | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    650000 | PA      | $662899.47    | 0.13%             | 2029-01-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1012401 | PA      | $822284.31    | 0.16%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                  | ONEOK Inc                                                                                      | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $168580.95    | 0.03%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                           | NTT Finance Corp                                                                               | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    730000 | PA      | $747642.31    | 0.14%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140QSQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470988 | PA      | $486014.47    | 0.09%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                | NVIDIA Corp                                                                                    | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    210000 | PA      | $159248.40    | 0.03%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61920 | PA      | $61369.65     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $182167.07    | 0.03%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                                | CUSIP: 95000GBB9<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |   3633947 | PA      | $19330.42     | 0.00%             | 2049-08-15      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112978 | PA      | $97179.42     | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XN6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260155 | PA      | $225977.74    | 0.04%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322050 | PA      | $305579.63    | 0.06%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                           | Ocean Trails Clo X                                                                             | CUSIP: 67516CAW9<br>LEI: 635400RMMLHBGDGXBC03 | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $690365.70    | 0.13%             | 2034-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                            | BRAVO Residential Funding Trust 2022-NQM3                                                      | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    618803 | PA      | $628059.99    | 0.12%             | 2062-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XBW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65174 | PA      | $55871.62     | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239084 | PA      | $232669.30    | 0.04%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289454 | PA      | $249546.42    | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                   | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                      | CUSIP: 71568PAF6<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    890000 | PA      | $906344.85    | 0.17%             | 2048-05-21      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147864 | PA      | $137340.98    | 0.03%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Woodmont Trust                                             | Woodmont 2023-12 Trust                                                                         | CUSIP: 979926AN2<br>LEI: 254900XKHBCNXQQ84W37 | Long             | ABS-CBDO         | CORP              | KY        |    994270 | PA      | $995390.30    | 0.19%             | 2032-10-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $459600.90    | 0.09%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                               | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1910000 | PA      | $1872924.09   | 0.36%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18197.67     | 0.00%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $352862.41    | 0.07%             | 2044-02-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66817 | PA      | $10062.22     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | Morgan Stanley                                                                                 | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    390000 | PA      | $386619.48    | 0.07%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20753UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1040000 | PA      | $1048594.98   | 0.20%             | 2044-01-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABWK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    530413 | PA      | $471064.72    | 0.09%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    592192 | PA      | $527029.60    | 0.10%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230307 | PA      | $230887.55    | 0.04%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                | Hertz Vehicle Financing III LLC                                                                | CUSIP: 42806MCE7<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $418015.52    | 0.08%             | 2030-03-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KKT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424719 | PA      | $363642.97    | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-RPL2Trust                                                                            | CUSIP: 12656TAA6<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    134041 | PA      | $118023.02    | 0.02%             | 2060-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280113 | PA      | $250448.16    | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65683 | PA      | $56445.37     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3142GRQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176449 | PA      | $180658.47    | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                 | CUSIP: 05581KAG6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    790000 | PA      | $843181.76    | 0.16%             | 2034-12-05      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63022 | PA      | $51554.96     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333333 | PA      | $64993.04     | 0.01%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                   | Santander UK Group Holdings PLC                                                                | CUSIP: 80281LAY1<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    340000 | PA      | $336830.38    | 0.06%             | 2036-09-22      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47518 | PA      | $44375.98     | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    556824 | PA      | $564942.11    | 0.11%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                        | Charles Schwab Corp/The                                                                        | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    110000 | PA      | $119821.81    | 0.02%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38201 | PA      | $38705.78     | 0.01%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2651809 | PA      | $61582.70     | 0.01%             | 2032-06-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140L8DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121179 | PA      | $104187.57    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                  | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    390000 | PA      | $370493.36    | 0.07%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                    | Transcontinental Gas Pipe Line Co LLC                                                          | CUSIP: 893574AP8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    180000 | PA      | $171630.48    | 0.03%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200687 | PA      | $38251.95     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150908 | PA      | $149194.64    | 0.03%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133BQSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79853 | PA      | $77988.06     | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $172866.71    | 0.03%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60901 | PA      | $60200.81     | 0.01%             | 2070-07-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                               | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    180000 | PA      | $131881.87    | 0.03%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                     | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    840000 | PA      | $734892.33    | 0.14%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA5                                                        | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | USGSE             | US        |    240000 | PA      | $253735.73    | 0.05%             | 2042-06-25      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                          | TSMC Arizona Corp                                                                              | CUSIP: 872898AC5<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1135288.54   | 0.22%             | 2031-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132DP2Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239495 | PA      | $239796.98    | 0.05%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    222579 | PA      | $181831.77    | 0.03%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2024-VLT4                                                                             | CUSIP: 05612TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $750703.80    | 0.14%             | 2041-06-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140XK6H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81971 | PA      | $73381.84     | 0.01%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                           | Empower CLO 2024-1 Ltd                                                                         | CUSIP: 29244RAA3<br>LEI: 213800DM8ZNUIQ1JCN40 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250966.25    | 0.05%             | 2037-04-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                       | CUSIP: 38380RRQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3002631 | PA      | $248374.04    | 0.05%             | 2062-12-16      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                               | CUSIP: 3132E0VN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    666131 | PA      | $693634.76    | 0.13%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162022 | PA      | $159982.13    | 0.03%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22640 | PA      | $22864.26     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363446 | PA      | $344931.80    | 0.07%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76705 | PA      | $71271.70     | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                         | MetroNet Infrastructure Issuer LLC                                                             | CUSIP: 59170JAX6<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |    740000 | PA      | $751054.42    | 0.14%             | 2055-08-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                       | Shell Finance US Inc                                                                           | CUSIP: 822905AE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    660000 | PA      | $543195.47    | 0.10%             | 2046-05-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                               | ARES XLIV CLO Ltd                                                                              | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    740000 | PA      | $739990.38    | 0.14%             | 2034-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                             | Amazon.com Inc                                                                                 | CUSIP: 023135AQ9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    150000 | PA      | $148412.23    | 0.03%             | 2044-12-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                    | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    180000 | PA      | $132798.45    | 0.03%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                       | BlueMountain CLO XXXI Ltd                                                                      | CUSIP: 09631BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    440000 | PA      | $440283.36    | 0.08%             | 2034-04-19      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298258 | PA      | $295407.52    | 0.06%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146864 | PA      | $145010.67    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84168 | PA      | $75526.73     | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                        | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    230000 | PA      | $208037.57    | 0.04%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                       | Birch Grove CLO 8 Ltd                                                                          | CUSIP: 09077TAA3<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |    240000 | PA      | $241000.56    | 0.05%             | 2037-04-20      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                           | Peruvian Government International Bond                                                         | CUSIP: 715638FC1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1250000 | PA      | $1273437.50   | 0.24%             | 2036-03-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cayuga Park CLO, Ltd.                                      | Cayuga Park CLO Ltd                                                                            | CUSIP: 149791AP0<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $620531.34    | 0.12%             | 2034-07-17      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                             | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1982555 | PA      | $1639691.87   | 0.31%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                 | Humana Inc                                                                                     | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    290000 | PA      | $289047.99    | 0.06%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                             | CUSIP: 3137H4AC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    733649 | PA      | $106281.99    | 0.02%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $13021.68     | 0.00%             | 2029-06-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-18

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

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP