# EDGAR Filing Document

**Accession Number:** 0000778207
**File Stem:** 0001752724-23-049054
**Filing Date:** 2023-3
**Character Count:** 290884
**Document Hash:** 087caed3d5f509488e9b9d8650d67c2c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-049054.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-049054

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TRANSAMERICA SERIES TRUST
- **CENTRAL INDEX KEY:** 0000778207
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04419
- **FILM NUMBER:** 23690767

**BUSINESS ADDRESS:**
- **STREET 1:** 1801 CALIFORNIA STREET
- **STREET 2:** SUITE 5200
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80202
- **BUSINESS PHONE:** 720-482-8836

**MAIL ADDRESS:**
- **STREET 1:** 1801 CALIFORNIA STREET
- **STREET 2:** SUITE 5200
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AEGON/TRANSAMERICA SERIES TRUST
- **DATE OF NAME CHANGE:** 20050511

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AEGON/TRANSAMERICA SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010501

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WRL SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Transamerica Aegon Core Bond VP (formerly Transamerica JPMorgan Core Bond VP) (Series ID: S000007896)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000021437 | Initial      |  |
| C000021438 | Service      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TRANSAMERICA SERIES TRUST

- **b. Investment Company Act file number:** 811-04419

- **c. CIK number of Registrant:** 0000778207

- **d. LEI of Registrant:** 5493000QR1WGXIM5V222

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

  - **Street Address 1:** 1801 CALIFORNIA STREET

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80202

  - **Telephone number:** 720-493-4256

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

- **a. Name of Series:** Transamerica Aegon Core Bond VP

- **b. EDGAR series identifier (if any):** S000007896

- **c. LEI of Series:** 5493000FFMR7RP5KH592

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

- **a. Date of fiscal year-end:** 2022-12-31

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

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $498238752.05

**Total Liabilities:** $86686007.76

**Net Assets:** $411552744.29

**Delayed Delivery Securities:** $77023585.60

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -509.77000000 | **1-Year:** -10520.12000000 | **5-Year:** -29230.08000000 | **10-Year:** -38675.60000000 | **30-Year:** -18900.42000000

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

- **3-Month:** -100.75000000 | **1-Year:** -1406.62000000 | **5-Year:** -3768.48000000 | **10-Year:** -1539.84000000 | **30-Year:** -442.71000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000021438 | -1.58%               | 2.58%                | -0.17%               |
| Class ID C000021437 | -1.61%               | 2.70%                | -0.19%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-394305.17              | $-7056172.42                               |
| Month 2  | $-49180822.22            | $58449840.05                               |
| Month 3  | $1073590.76              | $-3203871.46                               |

**Designated Index Information**

- **Index Name:** Securities Portfolio VaR

- **Index Identifier:** Designated Reference Portfolio is the Fund's Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                   | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24662 | PA      | $23344.44     | 0.01%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                         | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371582 | PA      | $354449.47    | 0.09%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                                          | One Market Plaza Trust                                                            | CUSIP: 68245HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1508000 | PA      | $1450769.89   | 0.35%             | 2032-02-10      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | Apple, Inc.                                                                       | CUSIP: 037833DW7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    627000 | PA      | $418308.25    | 0.10%             | 2050-05-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 912828R36<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1810100 | PA      | $1667908.16   | 0.41%             | 2026-05-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Orange Lake Timeshare Trust                                                     | Orange Lake Timeshare Trust                                                       | CUSIP: 68504UAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    773352 | PA      | $727943.51    | 0.18%             | 2038-04-09      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                             | JPMorgan Chase & Co.                                                              | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1185000 | PA      | $1042952.19   | 0.25%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31414HWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5526 | PA      | $5415.83      | 0.00%             | 2038-01-01      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                                                          | Skyworks Solutions, Inc.                                                          | CUSIP: 83088MAK8<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |    390000 | PA      | $343411.95    | 0.08%             | 2026-06-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                             | Banc of America Funding Trust                                                     | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8183 | PA      | $7398.69      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                                         | Astrazeneca Finance LLC                                                           | CUSIP: 04636NAA1<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |    396000 | PA      | $352982.27    | 0.09%             | 2026-05-28      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4647000 | PA      | $2527350.83   | 0.61%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                                            | Freeport-McMoRan, Inc.                                                            | CUSIP: 35671DAZ8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |   1424000 | PA      | $1420112.48   | 0.35%             | 2023-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24824 | PA      | $23743.27     | 0.01%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3518300 | PA      | $2854633.18   | 0.69%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44415 | PA      | $45644.02     | 0.01%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                                                           | Arrow Electronics, Inc.                                                           | CUSIP: 04273WAC5<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    582000 | PA      | $460488.04    | 0.11%             | 2032-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                                                     | Merrill Lynch Mortgage Investors Trust                                            | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52507 | PA      | $47511.71     | 0.01%             | 2029-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    529000 | PA      | $489986.25    | 0.12%             | 2029-02-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2457000 | PA      | $1933159.93   | 0.47%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | Bank of America Corp.                                                             | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1174000 | PA      | $1087989.21   | 0.26%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375PQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10588 | PA      | $9595.25      | 0.00%             | 2037-10-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Capital XIII                                                          | Citigroup Capital XIII                                                            | CUSIP: 173080201<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     29475 | NS      | $837090.00    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28786 | PA      | $29475.99     | 0.01%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                      | Cigna Corp.                                                                       | CUSIP: 125523CL2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    833000 | PA      | $699261.50    | 0.17%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                         | Shell International Finance BV                                                    | CUSIP: 822582BX9<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    437000 | PA      | $405619.83    | 0.10%             | 2026-09-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                               | Hyatt Hotels Corp.                                                                | CUSIP: 448579AN2<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    397000 | PA      | $372125.59    | 0.09%             | 2024-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | Petroleos Mexicanos                                                               | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1306000 | PA      | $1079304.39   | 0.26%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                                                        | Cleveland Electric Illuminating Co.                                               | CUSIP: 186108CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     69000 | PA      | $68742.57     | 0.02%             | 2036-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Indexed Bonds                                             | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2044708 | PA      | $1378606.96   | 0.33%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263198 | PA      | $235459.59    | 0.06%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Electric Co                                                             | General Electric Co.                                                              | CUSIP: 369604BH5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    791000 | PA      | $684201.85    | 0.17%             | 2044-03-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA/NY                                                     | Cooperatieve Rabobank UA                                                          | CUSIP: 21687BT92<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | STIV             | CORP              | US        |   4200000 | PA      | $4109539.48   | 1.00%             | 2023-06-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    923890 | PA      | $816111.15    | 0.20%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128NUBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7981 | PA      | $7887.60      | 0.00%             | 2036-10-01      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Thunder Bay Funding LLC                                                         | Thunder Bay Funding LLC                                                           | CUSIP: 88602USC5<br>LEI: 549300D7DHGDB5EMW139 | Long             | STIV             | CORP              | US        |   4206000 | PA      | $4131273.76   | 1.00%             | 2023-05-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134538 | PA      | $15345.29     | 0.00%             | 2041-01-25      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                                                 | Renew Financial                                                                   | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    107801 | PA      | $97587.91     | 0.02%             | 2052-09-20      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3132000 | PA      | $2862354.38   | 0.70%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375PYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31320 | PA      | $1009.87      | 0.00%             | 2038-02-20      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8404 | PA      | $7629.86      | 0.00%             | 2033-07-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                          | Credit Suisse Group AG                                                            | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1360000 | PA      | $1196957.57   | 0.29%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA, Inc.                                                                         | CUSIP: 404119BQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    252000 | PA      | $250716.67    | 0.06%             | 2025-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                                 | SBA Tower Trust                                                                   | CUSIP: 78403DAZ3<br>LEI: N/A                  | Long             | DBT              |  | US        |   2125000 | PA      | $2131743.05   | 0.52%             | 2028-01-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| BMW US Capital LLC                                                              | BMW U.S. Capital LLC                                                              | CUSIP: 05565EAH8<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    740000 | PA      | $692105.49    | 0.17%             | 2026-04-11      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884759 | PA      | $778089.26    | 0.19%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DBS Bank Ltd                                                                    | DBS Bank Ltd.                                                                     | CUSIP: 23305ET52<br>LEI: ATUEL7OJR5057F2PV266 | Long             | STIV             | CORP              | SG        |   4200000 | PA      | $4110504.76   | 1.00%             | 2023-06-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23477 | PA      | $24657.39     | 0.01%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AAJ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27414 | PA      | $27180.54     | 0.01%             | 2041-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                                      | MFA Trust                                                                         | CUSIP: 55283QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    892106 | PA      | $781844.84    | 0.19%             | 2060-07-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| LMA-Americas LLC                                                                | LMA-Americas LLC                                                                  | CUSIP: 53944RSB5<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   4200000 | PA      | $4123924.01   | 1.00%             | 2023-05-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Commerzbank AG                                                                  | Commerzbank AG                                                                    | CUSIP: 20259BAA9<br>LEI: 851WYGNLUQLFZBSYGB56 | Long             | DBT              | CORP              | DE        |    800000 | PA      | $806262.57    | 0.20%             | 2023-09-19      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Orange Lake Timeshare Trust                                                     | Orange Lake Timeshare Trust                                                       | CUSIP: 68504LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    936435 | PA      | $897827.62    | 0.22%             | 2029-03-08      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                             | JPMorgan Chase & Co.                                                              | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1832000 | PA      | $1801479.74   | 0.44%             | 2033-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | Petroleos Mexicanos                                                               | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    290000 | PA      | $200684.29    | 0.05%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| VITERRA FINANCE BV                                                              | Viterra Finance BV                                                                | CUSIP: 92852LAC3<br>LEI: 213800HBZGEIZLKJBI17 | Long             | DBT              | CORP              | NL        |    784000 | PA      | $738637.89    | 0.18%             | 2027-04-21      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                     | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15724 | PA      | $15184.03     | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Bedford Row Funding Corp                                                        | Bedford Row Funding Corp.                                                         | CUSIP: 07644BT85<br>LEI: 5493000JWH1Z48FX0180 | Long             | STIV             | CORP              | US        |   4200000 | PA      | $4108663.99   | 1.00%             | 2023-06-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1296628 | PA      | $1341435.62   | 0.33%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                       | GSMPS Mortgage Loan Trust                                                         | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86288 | PA      | $81060.43     | 0.02%             | 2035-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                                           | Palmer Square CLO Ltd.                                                            | CUSIP: 69689CAW6<br>LEI: 549300PACXK2KP6J2T91 | Long             | ABS-CBDO         | CORP              | KY        |   2468043 | PA      | $2437034.39   | 0.59%             | 2030-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                                                      | FIXED INC CLEARING CORP.REPO                                                      | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   9280593 | PA      | $9280592.93   | 2.26%             |  |  |  | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association Whole Loan                                  | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56004 | PA      | $55381.90     | 0.01%             | 2046-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                                                                | ArcelorMittal SA                                                                  | CUSIP: 03938LBE3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |   1002000 | PA      | $1006944.54   | 0.24%             | 2027-11-29      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31418APN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308373 | PA      | $288380.27    | 0.07%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4735 | PA      | $4832.72      | 0.00%             | 2037-03-01      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4254 | PA      | $4360.64      | 0.00%             | 2037-09-20      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                               | Expedia Group, Inc.                                                               | CUSIP: 30212PAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    603000 | PA      | $554569.60    | 0.13%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                                                        | Huntington Ingalls Industries, Inc.                                               | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |    617000 | PA      | $509537.71    | 0.12%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       439 | PA      | $433.23       | 0.00%             | 2062-07-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2571800 | PA      | $1645349.22   | 0.40%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12594 | PA      | $12771.54     | 0.00%             | 2036-10-01      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | Broadcom, Inc.                                                                    | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    561000 | PA      | $403281.79    | 0.10%             | 2041-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Owens Corning                                                                   | Owens Corning                                                                     | CUSIP: 690742AB7<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |   1444000 | PA      | $1534410.26   | 0.37%             | 2036-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | Barclays PLC                                                                      | CUSIP: 06738ECC7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1120000 | PA      | $1162153.56   | 0.28%             | 2026-11-02      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust                                                               | CUSIP: 12626LBN1<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1723042.30   | 0.42%             | 2050-08-10      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                | Duke Energy Corp.                                                                 | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $914951.01    | 0.22%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | Intesa Sanpaolo SpA                                                               | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   1533000 | PA      | $1560544.16   | 0.38%             | 2033-11-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 912828VB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1870200 | PA      | $1850621.34   | 0.45%             | 2023-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| ANHEUSER-BUSCH INBEV WOR                                                        | Anheuser-Busch InBev Worldwide, Inc.                                              | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    363000 | PA      | $359141.49    | 0.09%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32701 | PA      | $31163.03     | 0.01%             | 2040-02-15      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3275800 | PA      | $2485257.34   | 0.60%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                             | Carrier Global Corp.                                                              | CUSIP: 14448CAQ7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    417000 | PA      | $351859.89    | 0.09%             | 2030-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4445 | PA      | $4703.41      | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Liberty Street Funding LLC                                                      | Liberty Street Funding LLC                                                        | CUSIP: 53127URC6<br>LEI: 549300F33VRHM10B9391 | Long             | STIV             | CORP              | US        |   4200000 | PA      | $4143377.45   | 1.01%             | 2023-04-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10962 | PA      | $9045.64      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Securities LLC                               | Ladder Capital Commercial Mortgage Trust                                          | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154000 | PA      | $137384.85    | 0.03%             | 2036-02-15      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                        | Warnermedia Holdings, Inc.                                                        | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1097000 | PA      | $843395.20    | 0.20%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                                          | Anglo American Capital PLC                                                        | CUSIP: 034863AU4<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    972000 | PA      | $920853.95    | 0.22%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cancara Asset Securitisation LLC                                                | Cancara Asset Securitisation LLC                                                  | CUSIP: 13738KSF5<br>LEI: N/A                  | Long             | STIV             | CORP              | JE        |   4200000 | PA      | $4123538.54   | 1.00%             | 2023-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                        | Duke Energy Progress LLC                                                          | CUSIP: 26442UAE4<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    847000 | PA      | $639537.31    | 0.16%             | 2047-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6166000 | PA      | $5939592.19   | 1.44%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS                                | Washington Mutual MSC Mortgage Pass-Through Certificates Trust                    | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124 | PA      | $93.37        | 0.00%             | 2033-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CAJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1232200 | PA      | $1109124.40   | 0.27%             | 2025-08-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11693 | PA      | $1184.80      | 0.00%             | 2032-03-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association REMIC Trust                                 | CUSIP: 31394DJT8<br>LEI: 5493003LPQ4JJCYQN327 | Long             | ABS-MBS          | USGSE             | US        |     12063 | PA      | $12055.10     | 0.00%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                           | MASTR Adjustable Rate Mortgages Trust                                             | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6070 | PA      | $5445.93      | 0.00%             | 2034-11-21      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust                                                               | CUSIP: 12593PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    422000 | PA      | $403415.37    | 0.10%             | 2048-08-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31392J6N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2854 | PA      | $2844.42      | 0.00%             | 2023-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                                                             | Gilead Sciences, Inc.                                                             | CUSIP: 375558BK8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    191000 | PA      | $158770.60    | 0.04%             | 2047-03-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1350500 | PA      | $900509.19    | 0.22%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                          | Williams Cos., Inc.                                                               | CUSIP: 96950FAN4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     78000 | PA      | $71137.78     | 0.02%             | 2044-03-04      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                         | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1797846 | PA      | $1705675.65   | 0.41%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6306 | PA      | $5313.70      | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                               | Citigroup Mortgage Loan Trust, Inc.                                               | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      3227 | PA      | $3083.55      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3672000 | PA      | $3363465.93   | 0.82%             | 2038-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets                                                              | Accelerated Assets LLC                                                            | CUSIP: 00439KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1154365 | PA      | $1015582.11   | 0.25%             | 2040-10-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31394DAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28596 | PA      | $28035.66     | 0.01%             | 2035-04-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp                                                                 | CMS Energy Corp.                                                                  | CUSIP: 125896BN9<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    125000 | PA      | $114233.14    | 0.03%             | 2044-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2088300 | PA      | $1490360.99   | 0.36%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                                    | MASTR Resecuritization Trust                                                      | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4613 | PA      | $3466.00      | 0.00%             | 2035-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38374KF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       138 | PA      | $136.25       | 0.00%             | 2034-05-18      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                 | Weyerhaeuser Co.                                                                  | CUSIP: 962166BY9<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              |  | US        |    861000 | PA      | $786159.22    | 0.19%             | 2030-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CORPORATE OFFICE PROP LP                                                        | Corporate Office Properties LP                                                    | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |    257000 | PA      | $197583.80    | 0.05%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                             | Ashtead Capital, Inc.                                                             | CUSIP: 045054AL7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    459000 | PA      | $414174.33    | 0.10%             | 2029-11-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Korea Development Bank/New York NY                                              | Korea Development Bank                                                            | CUSIP: 5006E1TE4<br>LEI: 549300ML2LNRZUCS7149 | Long             | STIV             | CORP              | US        |   4200000 | PA      | $4105974.85   | 1.00%             | 2023-06-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                                    | State Street Navigator Securities Lending Government Money Market Portfolio       | CUSIP: 857492706<br>LEI: 5493008BJIBKQ5KTIF74 | Long             | STIV             | RF                | US        |   1957028 | NS      | $1957027.50   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31371LFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5559 | PA      | $5544.72      | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | Amgen, Inc.                                                                       | CUSIP: 031162CZ1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    400000 | PA      | $313141.63    | 0.08%             | 2032-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29651 | PA      | $31225.30     | 0.01%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7753000 | PA      | $7940767.97   | 1.93%             | 2032-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | AbbVie, Inc.                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1255000 | PA      | $1080428.76   | 0.26%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19214 | PA      | $882.93       | 0.00%             | 2038-12-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                          | Sequoia Mortgage Trust                                                            | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34254 | PA      | $30525.10     | 0.01%             | 2034-12-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                                        | Pioneer Natural Resources Co.                                                     | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    895000 | PA      | $712079.35    | 0.17%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3126300 | PA      | $3111645.47   | 0.76%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    866400 | PA      | $701513.25    | 0.17%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 9128282A7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2241000 | PA      | $2045087.57   | 0.50%             | 2026-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                         | Nissan Motor Acceptance Co. LLC                                                   | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    884000 | PA      | $688231.00    | 0.17%             | 2028-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                                                    | MetLife Securitization Trust                                                      | CUSIP: 59166EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1184167 | PA      | $1147135.70   | 0.28%             | 2058-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CCD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    783900 | PA      | $769906.16    | 0.19%             | 2023-05-31      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21157 | PA      | $1055.91      | 0.00%             | 2039-04-20      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                         | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125223 | PA      | $123605.59    | 0.03%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128NHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2253 | PA      | $2195.18      | 0.00%             | 2036-12-01      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3133T6MS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       680 | PA      | $677.82       | 0.00%             | 2023-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38373QR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21926 | PA      | $19674.18     | 0.00%             | 2033-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375LD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28944 | PA      | $586.68       | 0.00%             | 2037-11-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                    | Upstart Securitization Trust                                                      | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32900 | PA      | $32798.06     | 0.01%             | 2031-03-20      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5117 | PA      | $341.78       | 0.00%             | 2039-12-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                          | NXP BV/NXP Funding LLC/NXP USA, Inc.                                              | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    701000 | PA      | $607501.35    | 0.15%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PHYSICIANS REALTY LP                                                            | Physicians Realty LP                                                              | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              |  | US        |   1326000 | PA      | $1038560.98   | 0.25%             | 2031-11-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                                      | Mercury Financial Credit Card Master Trust                                        | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560000 | PA      | $534270.86    | 0.13%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| ALLEGHANY CORP                                                                  | Alleghany Corp.                                                                   | CUSIP: 017175AF7<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |   1338000 | PA      | $949174.28    | 0.23%             | 2051-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                          | Aviation Capital Group LLC                                                        | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    574000 | PA      | $500484.65    | 0.12%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                                         | Public Service Co. of Oklahoma                                                    | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    150000 | PA      | $157852.49    | 0.04%             | 2037-11-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8960000 | PA      | $8412260.06   | 2.04%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1388 | PA      | $1490.18      | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Victory Receivables Corp                                                        | Victory Receivables Corp.                                                         | CUSIP: 92646LRU6<br>LEI: 549300D0F37QF0LP7F94 | Long             | STIV             | CORP              | US        |   4200000 | PA      | $4134262.40   | 1.00%             | 2023-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5515 | PA      | $4565.22      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                                                     | Equifax, Inc.                                                                     | CUSIP: 294429AV7<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |    771000 | PA      | $762284.57    | 0.19%             | 2027-12-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10697 | PA      | $8570.85      | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                                        | Clear Channel Outdoor Holdings, Inc.                                              | CUSIP: 18453HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    426000 | PA      | $368357.94    | 0.09%             | 2027-08-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                         | Shell International Finance BV                                                    | CUSIP: 822582BY7<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    577000 | PA      | $458317.47    | 0.11%             | 2046-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16023 | PA      | $16521.48     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Structured Receivables Finance LLC                                              | Structured Receivables Finance LLC                                                | CUSIP: 86365FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376309 | PA      | $368556.11    | 0.09%             | 2046-01-16      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                                             | Nomura Asset Acceptance Corp. Alternative Loan Trust                              | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3362 | PA      | $3201.61      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-2 AA PTT                                                        | American Airlines Pass-Through Trust                                              | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    402920 | PA      | $349953.67    | 0.09%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735945 | PA      | $644892.55    | 0.16%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375KA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51088 | PA      | $2730.13      | 0.00%             | 2037-07-20      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2995 | PA      | $2929.86      | 0.00%             | 2037-02-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                   | CUSIP: 12669FZW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       249 | PA      | $249.77       | 0.00%             | 2019-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | Morgan Stanley                                                                    | CUSIP: 6174467X1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    567000 | PA      | $565806.71    | 0.14%             | 2025-11-24      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31418MMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        78 | PA      | $78.36        | 0.00%             | 2023-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AID-ISRAEL                                                                      | Israel Government AID Bonds                                                       | CUSIP: 46513EFG2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    100000 | PA      | $109094.26    | 0.03%             | 2033-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Countrywide Alternative Loan Trust                                                | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95789 | PA      | $94851.79     | 0.02%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    912625 | PA      | $756241.22    | 0.18%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                                         | Wachovia Bank Commercial Mortgage Trust                                           | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42817 | PA      | $0.43         | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                                          | Bunge Ltd. Finance Corp.                                                          | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1058080.87   | 0.26%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                                          | UBS-Barclays Commercial Mortgage Trust                                            | CUSIP: 90269CAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108774 | PA      | $1.90         | 0.00%             | 2063-05-10      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER                                                                | Triton Container International Ltd.                                               | CUSIP: 89680YAB1<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    275000 | PA      | $254568.80    | 0.06%             | 2024-06-07      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                        | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1788000 | PA      | $1650916.20   | 0.40%             | 2025-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37295 | PA      | $1856.80      | 0.00%             | 2034-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                           | Wells Fargo & Co.                                                                 | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    330000 | PA      | $322232.70    | 0.08%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    349200 | PA      | $283465.83    | 0.07%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                                                 | Fontainebleau Miami Beach Trust                                                   | CUSIP: 34461LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $934055.90    | 0.23%             | 2036-12-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Lexington Parker Capital Co LLC                                                 | Lexington Parker Capital Co. LLC                                                  | CUSIP: 52953BQ63<br>LEI: 5493005MSQJBO8BDMA02 | Long             | STIV             | CORP              | US        |   4300000 | PA      | $4264130.82   | 1.04%             | 2023-03-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                            | Pilgrim's Pride Corp.                                                             | CUSIP: 72147KAG3<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $790325.00    | 0.19%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                           | Vendee Mortgage Trust                                                             | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84869 | PA      | $86917.93     | 0.02%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13756 | PA      | $1196.01      | 0.00%             | 2036-06-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                                        | KGS-Alpha SBA COOF Trust                                                          | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    237093 | PA      | $6934.18      | 0.00%             | 2039-03-25      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                                                 | AstraZeneca PLC                                                                   | CUSIP: 046353AU2<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    508000 | PA      | $454535.70    | 0.11%             | 2048-08-17      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                        | Volkswagen Group of America Finance LLC                                           | CUSIP: 928668BN1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   2015000 | PA      | $1690364.16   | 0.41%             | 2027-11-24      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                         | Simon Property Group LP                                                           | CUSIP: 828807DM6<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |    728000 | PA      | $575346.96    | 0.14%             | 2031-02-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                        | Sabine Pass Liquefaction LLC                                                      | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    413000 | PA      | $388866.84    | 0.09%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Loan Trust                                            | Laurel Road Prime Student Loan Trust                                              | CUSIP: 51888RAB6<br>LEI: 549300XLHGW4YH0MCQ51 | Long             | ABS-O            | CORP              | US        |    167860 | PA      | $164728.10    | 0.04%             | 2043-05-26      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128NFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18617 | PA      | $18967.26     | 0.00%             | 2036-07-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    958662 | PA      | $816367.06    | 0.20%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9021 | PA      | $9558.11      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK, Inc.                                                                       | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    993000 | PA      | $999191.03    | 0.24%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                                                     | Cargill, Inc.                                                                     | CUSIP: 141781BZ6<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    486000 | PA      | $488116.58    | 0.12%             | 2032-10-11      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Glencove Funding LLC                                                            | Glencove Funding LLC                                                              | CUSIP: 37828XT90<br>LEI: 549300XUUQZO7I38ZR06 | Long             | STIV             | CORP              | IE        |   4200000 | PA      | $4107980.44   | 1.00%             | 2023-06-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                                          | GE HealthCare Technologies, Inc.                                                  | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    480000 | PA      | $492346.58    | 0.12%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| APTIV PLC / APTIV CORP                                                          | Aptiv PLC/Aptiv Corp.                                                             | CUSIP: 00217GAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    515000 | PA      | $423070.35    | 0.10%             | 2032-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SENSATA TECH INC                                                                | Sensata Technologies, Inc.                                                        | CUSIP: 81728UAA2<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    471000 | PA      | $410007.63    | 0.10%             | 2030-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                             | Thornburg Mortgage Securities Trust                                               | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27765 | PA      | $25657.79     | 0.01%             | 2044-12-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                                                             | Sprint Capital Corp.                                                              | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    360000 | PA      | $374395.43    | 0.09%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                         | Goldman Sachs Group, Inc.                                                         | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1493000 | PA      | $1216513.91   | 0.30%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2155000 | PA      | $2033360.36   | 0.49%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4176 | PA      | $4032.74      | 0.00%             | 2033-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                  | Structured Adjustable Rate Mortgage Loan Trust                                    | CUSIP: 86359BGJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77345 | PA      | $72384.90     | 0.02%             | 2034-02-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19269 | PA      | $902.52       | 0.00%             | 2041-04-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2832 | PA      | $180.32       | 0.00%             | 2037-11-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                           | Wells Fargo & Co.                                                                 | CUSIP: 94974BFY1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1328000 | PA      | $1286880.10   | 0.31%             | 2026-06-03      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                             | Exeter Automobile Receivables Trust                                               | CUSIP: 30166QAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    965000 | PA      | $905082.76    | 0.22%             | 2028-07-17      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                                        | KGS-Alpha SBA COOF Trust                                                          | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    220381 | PA      | $3438.86      | 0.00%             | 2038-08-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | CUSIP: 3137BUWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20491 | PA      | $20428.27     | 0.00%             | 2023-01-25      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association REMIC Trust                                 | CUSIP: 31394AB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30021 | PA      | $30827.92     | 0.01%             | 2044-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Indexed Bonds                                             | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3428431 | PA      | $3578357.44   | 0.87%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138013 | PA      | $133829.29    | 0.03%             | 2032-08-01      | Fixed         | 3.50%                 | 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        |    100000 | PA      | $91653.51     | 0.02%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31394AR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9175 | PA      | $9274.32      | 0.00%             | 2031-11-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA, Inc.                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    379000 | PA      | $346852.61    | 0.08%             | 2029-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1119300 | PA      | $810618.05    | 0.20%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 912828WJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2726000 | PA      | $2646882.10   | 0.64%             | 2024-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137A6CE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32661 | PA      | $1206.46      | 0.00%             | 2040-01-15      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                                                     | Merrill Lynch Mortgage Investors Trust                                            | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20193 | PA      | $18602.87     | 0.00%             | 2034-12-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4175600 | PA      | $3296603.59   | 0.80%             | 2030-08-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10595 | PA      | $2077.67      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31395BTU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14698 | PA      | $11976.63     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                | Duke Energy Corp.                                                                 | CUSIP: 26441CAN5<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    533000 | PA      | $523675.93    | 0.13%             | 2024-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                       | GSMPS Mortgage Loan Trust                                                         | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58974 | PA      | $50504.18     | 0.01%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23444 | PA      | $2167.29      | 0.00%             | 2037-09-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                                                        | Take-Two Interactive Software, Inc.                                               | CUSIP: 874054AF6<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $1088265.88   | 0.26%             | 2025-04-14      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                    | Hilton Grand Vacations Trust                                                      | CUSIP: 43283AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48276 | PA      | $47516.87     | 0.01%             | 2028-12-26      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                          | Verizon Communications, Inc.                                                      | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1537000 | PA      | $943979.60    | 0.23%             | 2056-10-30      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                                             | Intesa Sanpaolo SpA                                                               | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    428000 | PA      | $411601.45    | 0.10%             | 2024-06-26      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association REMIC Trust                                 | CUSIP: 31392ET34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170441 | PA      | $4005.05      | 0.00%             | 2042-08-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                         | GSR Mortgage Loan Trust                                                           | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34841 | PA      | $18114.81     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CORP                                                             | Northern Trust Corp.                                                              | CUSIP: 665859AX2<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |   1183000 | PA      | $1251516.97   | 0.30%             | 2032-11-02      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137B2JP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387984 | PA      | $374261.76    | 0.09%             | 2043-06-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13562000 | PA      | $12336740.84  | 3.00%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                           | MASTR Adjustable Rate Mortgages Trust                                             | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6837 | PA      | $6026.24      | 0.00%             | 2034-04-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                                               | GXO Logistics, Inc.                                                               | CUSIP: 36262GAD3<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |   1661000 | PA      | $1230460.08   | 0.30%             | 2031-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                               | Expedia Group, Inc.                                                               | CUSIP: 30212PBH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $48440.00     | 0.01%             | 2031-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                        | AerCap Ireland Capital DAC/AerCap Global Aviation Trust                           | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1010000 | PA      | $965787.41    | 0.23%             | 2026-04-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17034 | PA      | $564.14       | 0.00%             | 2038-06-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31396JLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9636 | PA      | $8238.04      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                                               | General Motors Co.                                                                | CUSIP: 37045VAF7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    219000 | PA      | $203276.17    | 0.05%             | 2043-10-02      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107828 | PA      | $80863.03     | 0.02%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BorgWarner Inc                                                                  | BorgWarner, Inc.                                                                  | CUSIP: 099724AJ5<br>LEI: 549300DSFX2IE88NSX47 | Long             | DBT              | CORP              | US        |    481000 | PA      | $460799.66    | 0.11%             | 2025-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14053 | PA      | $14449.42     | 0.00%             | 2034-04-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31403DES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7591 | PA      | $7739.84      | 0.00%             | 2036-01-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7424 | PA      | $6211.45      | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CBN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4142000 | PA      | $4114369.88   | 1.00%             | 2023-02-28      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                                         | GSK Consumer Healthcare Capital U.S. LLC                                          | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   1099000 | PA      | $1024686.33   | 0.25%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                           | Wells Fargo & Co.                                                                 | CUSIP: 949746RG8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    392000 | PA      | $349460.16    | 0.08%             | 2024-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                                            | Entergy Arkansas LLC                                                              | CUSIP: 29364DAS9<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    164000 | PA      | $161197.80    | 0.04%             | 2024-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 312914MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       203 | PA      | $202.91       | 0.00%             | 2023-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4527000 | PA      | $3697639.48   | 0.90%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC FIN CO                                                          | Global Atlantic Fin Co.                                                           | CUSIP: 37959GAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1574000 | PA      | $1158543.38   | 0.28%             | 2031-06-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Black Hills Corp                                                                | Black Hills Corp.                                                                 | CUSIP: 092113AH2<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |    682000 | PA      | $678121.81    | 0.16%             | 2023-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OHIO NAT FINANCIAL SRVS                                                         | Ohio National Financial Services, Inc.                                            | CUSIP: 67740QAH9<br>LEI: 549300K609B872PZT291 | Long             | DBT              | CORP              | US        |   1614000 | PA      | $1486861.56   | 0.36%             | 2030-01-24      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                         | GSR Mortgage Loan Trust                                                           | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19740 | PA      | $18809.90     | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | CUSIP: 3137BFE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2700000 | PA      | $2616063.21   | 0.64%             | 2024-10-25      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CBL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4532000 | PA      | $3705441.11   | 0.90%             | 2031-02-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                                 | Federal National Mortgage Association Interest Strip                              | CUSIP: 3136FAQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15953 | PA      | $13882.61     | 0.00%             | 2032-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128QGMA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12089 | PA      | $12135.89     | 0.00%             | 2037-02-01      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4384500 | PA      | $3746349.70   | 0.91%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3140HJHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206304 | PA      | $196956.40    | 0.05%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361096 | PA      | $346411.61    | 0.08%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                           | FMC GMSR Issuer Trust                                                             | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $895013.13    | 0.22%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co                                                                 | DTE Electric Co.                                                                  | CUSIP: 23338VAD8<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1080784.61   | 0.26%             | 2044-07-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Countrywide Alternative Loan Trust                                                | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74512 | PA      | $64607.06     | 0.02%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                                     | Diamond Resorts Owner Trust                                                       | CUSIP: 252722AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186757 | PA      | $182531.20    | 0.04%             | 2032-02-20      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                | CUSIP: 29273RAY5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    405000 | PA      | $402804.72    | 0.10%             | 2024-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                         | GSR Mortgage Loan Trust                                                           | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15011 | PA      | $14380.29     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2064000 | PA      | $1976038.12   | 0.48%             | 2038-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39290 | PA      | $41796.85     | 0.01%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2466 | PA      | $2516.30      | 0.00%             | 2032-12-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1980300 | PA      | $1990897.69   | 0.48%             | 2027-09-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18285 | PA      | $14724.69     | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375BYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1101 | PA      | $1087.97      | 0.00%             | 2062-09-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6393 | PA      | $441.40       | 0.00%             | 2038-03-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1302000 | PA      | $1230847.73   | 0.30%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| KEYSIGHT TECHNOLOGIES                                                           | Keysight Technologies, Inc.                                                       | CUSIP: 49338LAE3<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |    687000 | PA      | $671205.84    | 0.16%             | 2027-04-06      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                          | Sequoia Mortgage Trust                                                            | CUSIP: 81744FDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96755 | PA      | $84056.54     | 0.02%             | 2034-09-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Countrywide Alternative Loan Trust                                                | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21039 | PA      | $16386.28     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1334600 | PA      | $1105319.88   | 0.27%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                           | MASTR Adjustable Rate Mortgages Trust                                             | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11229 | PA      | $10562.69     | 0.00%             | 2034-04-21      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396LT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2751 | PA      | $2934.42      | 0.00%             | 2036-12-25      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CER8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    319200 | PA      | $309798.56    | 0.08%             | 2024-05-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3138WU4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251333 | PA      | $237248.36    | 0.06%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31395DUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16211 | PA      | $13302.42     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1394800 | PA      | $1333123.69   | 0.32%             | 2028-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT Capital Corp.                                                                 | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    225000 | PA      | $187320.01    | 0.05%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14701 | PA      | $15476.09     | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       410 | PA      | $368.41       | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | Lloyds Banking Group PLC                                                          | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    773000 | PA      | $821117.83    | 0.20%             | 2033-11-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                | CUSIP: 29273RAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    492000 | PA      | $408931.63    | 0.10%             | 2043-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| RBSCF Trust                                                                     | RBS Commercial Funding, Inc. Trust                                                | CUSIP: 74932BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $159029.95    | 0.04%             | 2031-03-11      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                             | Citigroup Commercial Mortgage Trust                                               | CUSIP: 17322AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782000 | PA      | $766562.23    | 0.19%             | 2047-03-11      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                | Deutsche Bank AG                                                                  | CUSIP: 251525AM3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1099000 | PA      | $1034015.11   | 0.25%             | 2028-05-24      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust                                             | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    549958 | PA      | $513854.50    | 0.12%             | 2040-02-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Countrywide Alternative Loan Trust                                                | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349753 | PA      | $23803.74     | 0.01%             | 2035-06-25      | Floating      | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54964 | PA      | $4556.55      | 0.00%             | 2035-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397T4Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21553 | PA      | $2223.18      | 0.00%             | 2038-04-15      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373128 | PA      | $357457.71    | 0.09%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13995 | PA      | $735.09       | 0.00%             | 2039-02-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359591 | PA      | $336744.52    | 0.08%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                | CUSIP: 29273RAZ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    456000 | PA      | $423430.81    | 0.10%             | 2043-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                                                  | PHH Alternative Mortgage Trust                                                    | CUSIP: 69337HAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60545 | PA      | $12221.78     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                         | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1794148 | PA      | $1730023.03   | 0.42%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13717 | PA      | $2001.71      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31349UFK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18643 | PA      | $18955.01     | 0.00%             | 2034-09-01      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397KTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220251 | PA      | $22742.37     | 0.01%             | 2037-10-15      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                               | Sierra Timeshare Receivables Funding LLC                                          | CUSIP: 826525AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    716213 | PA      | $672592.59    | 0.16%             | 2037-07-20      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                         | Oncor Electric Delivery Co. LLC                                                   | CUSIP: 68233JAS3<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     47000 | PA      | $47011.94     | 0.01%             | 2042-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                   | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6841 | PA      | $6220.47      | 0.00%             | 2034-05-20      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | CUSIP: 3137B7MZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2160000 | PA      | $2135595.24   | 0.52%             | 2023-10-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                          | Pacific Gas & Electric Co.                                                        | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     83000 | PA      | $55971.66     | 0.01%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                  | Credit Suisse First Boston Mortgage Securities Corp.                              | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9609 | PA      | $8957.17      | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38374JBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8015 | PA      | $8126.44      | 0.00%             | 2034-09-20      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | Comcast Corp.                                                                     | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    398000 | PA      | $248024.93    | 0.06%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39929 | PA      | $5179.62      | 0.00%             | 2037-07-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                             | Citigroup Commercial Mortgage Trust                                               | CUSIP: 17322AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223252 | PA      | $219365.96    | 0.05%             | 2047-03-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                                        | Microchip Technology, Inc.                                                        | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    661000 | PA      | $612335.15    | 0.15%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| NBCUniversal Media LLC                                                          | NBCUniversal Media LLC                                                            | CUSIP: 63946BAJ9<br>LEI: VTBDOQJ6KOGQ6K786R46 | Long             | DBT              | CORP              | US        |    486000 | PA      | $430680.78    | 0.10%             | 2043-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                                 | Federal National Mortgage Association Interest Strip                              | CUSIP: 31364HT56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       846 | PA      | $824.18       | 0.00%             | 2024-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                     | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30031 | PA      | $27448.13     | 0.01%             | 2033-10-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                              | Chase Mortgage Finance Trust                                                      | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20247 | PA      | $19382.50     | 0.00%             | 2037-02-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9501 | PA      | $58.51        | 0.00%             | 2039-02-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31395V4J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1288 | PA      | $1277.35      | 0.00%             | 2034-06-15      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 383742YT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4770 | PA      | $41.21        | 0.00%             | 2037-10-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | Ford Motor Credit Co. LLC                                                         | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1074000 | PA      | $970909.79    | 0.24%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                                | Carlisle Cos., Inc.                                                               | CUSIP: 142339AL4<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |    538000 | PA      | $410379.73    | 0.10%             | 2032-03-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                                                 | Fontainebleau Miami Beach Trust                                                   | CUSIP: 34461LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1235000 | PA      | $1150182.05   | 0.28%             | 2036-12-10      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                          | Credit Suisse Group AG                                                            | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    703000 | PA      | $621769.98    | 0.15%             | 2025-09-11      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396XAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10505 | PA      | $10629.26     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust                                             | CUSIP: 95000FAT3<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |   1103000 | PA      | $1009238.60   | 0.25%             | 2048-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1435 | PA      | $1641.98      | 0.00%             | 2032-02-25      | Floating      | 10.92%                | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                                                          | Boardwalk Pipelines LP                                                            | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    433000 | PA      | $363285.25    | 0.09%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                                               | Sysco Corp.                                                                       | CUSIP: 871829BC0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    837000 | PA      | $790488.37    | 0.19%             | 2026-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7297 | PA      | $7648.00      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                                                    | BB-UBS Trust                                                                      | CUSIP: 05538UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $511405.02    | 0.12%             | 2036-11-05      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                                          | UBS-Barclays Commercial Mortgage Trust                                            | CUSIP: 90349GBF1<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |    192782 | PA      | $191360.17    | 0.05%             | 2046-04-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| RACKSPACE TECHNOLOGY                                                            | Rackspace Technology Global, Inc.                                                 | CUSIP: 750098AB1<br>LEI: 549300QTYCKLMFSE8I97 | Long             | DBT              | CORP              | US        |    881000 | PA      | $511966.72    | 0.12%             | 2028-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12039 | PA      | $12154.39     | 0.00%             | 2035-01-01      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS Health Corp.                                                                  | CUSIP: 126650DP2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    772000 | PA      | $536712.45    | 0.13%             | 2040-08-21      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SONOCO PRODUCTS CO                                                              | Sonoco Products Co.                                                               | CUSIP: 835495AN2<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |    624000 | PA      | $555637.98    | 0.14%             | 2027-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270323 | PA      | $25863.53     | 0.01%             | 2036-03-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                                                          | CNH Industrial Capital LLC                                                        | CUSIP: 12592BAP9<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |   1132000 | PA      | $1135473.64   | 0.28%             | 2025-10-14      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                         | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1406641 | PA      | $1122368.04   | 0.27%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                        | AerCap Ireland Capital DAC/AerCap Global Aviation Trust                           | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    694000 | PA      | $689416.01    | 0.17%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    553000 | PA      | $526569.75    | 0.13%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                          | Aviation Capital Group LLC                                                        | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1457000 | PA      | $1429883.45   | 0.35%             | 2024-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    431000 | PA      | $426758.96    | 0.10%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13305 | PA      | $390.61       | 0.00%             | 2038-01-25      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132H33Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502213 | PA      | $481095.97    | 0.12%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Baidu Inc                                                                       | Baidu, Inc.                                                                       | CUSIP: 056752AM0<br>LEI: 254900AL64IANZYI1E02 | Long             | DBT              | CORP              | KY        |   1739000 | PA      | $1710549.96   | 0.42%             | 2024-05-14      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                                           | FMC GMSR Issuer Trust                                                             | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $962498.79    | 0.23%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14135 | PA      | $2328.17      | 0.00%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Carlisle Cos Inc                                                                | Carlisle Cos., Inc.                                                               | CUSIP: 142339AH3<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |    701000 | PA      | $654015.31    | 0.16%             | 2027-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                                              | Honda Auto Receivables Owner Trust                                                | CUSIP: 43815PAB5<br>LEI: 549300O8F12G9LCGR139 | Long             | ABS-O            | CORP              | US        |   2136000 | PA      | $2115150.50   | 0.51%             | 2025-03-18      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA, Inc.                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1143000 | PA      | $1018905.30   | 0.25%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | Oracle Corp.                                                                      | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    903000 | PA      | $974631.46    | 0.24%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                     | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8218 | PA      | $7572.45      | 0.00%             | 2033-06-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1107800 | PA      | $937865.21    | 0.23%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7084 | PA      | $5715.72      | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                                 | Securitized Asset-Backed Receivables LLC Trust                                    | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13865 | PA      | $10762.63     | 0.00%             | 2036-01-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | Bank of America Corp.                                                             | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1937000 | PA      | $1779026.53   | 0.43%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | Morgan Stanley                                                                    | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    786000 | PA      | $740855.99    | 0.18%             | 2033-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40734 | PA      | $33746.35     | 0.01%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                | CUSIP: 29273RBB4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    357000 | PA      | $363018.88    | 0.09%             | 2024-02-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375BWP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3481 | PA      | $3410.22      | 0.00%             | 2060-03-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216465 | PA      | $202456.62    | 0.05%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128DHG99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35148 | PA      | $35390.15     | 0.01%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | Realty Income Corp.                                                               | CUSIP: 756109BP8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    361000 | PA      | $367864.37    | 0.09%             | 2032-10-13      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2674 | PA      | $2198.72      | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2162 | PA      | $2121.52      | 0.00%             | 2060-04-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bills                                                               | CUSIP: 912796ZP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10812000 | PA      | $10600697.52  | 2.58%             | 2023-06-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                           | Molina Healthcare, Inc.                                                           | CUSIP: 60855RAJ9<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    350000 | PA      | $319406.50    | 0.08%             | 2028-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396KYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4529 | PA      | $4456.87      | 0.00%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank/New York                                                | Standard Chartered Bank                                                           | CUSIP: 85324UTM5<br>LEI: RILFO74KP1CM8P6PCT96 | Long             | STIV             | CORP              | GB        |   4200000 | PA      | $4099991.57   | 1.00%             | 2023-06-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust                                                               | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1160000 | PA      | $1055208.38   | 0.26%             | 2033-04-10      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                                      | Impac Secured Assets Trust                                                        | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11634 | PA      | $9841.25      | 0.00%             | 2036-05-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                            | FREMF Trust                                                                       | CUSIP: 30307MAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $802037.16    | 0.19%             | 2028-04-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31394HVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2930 | PA      | $3016.95      | 0.00%             | 2033-09-15      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19406000 | PA      | $16455625.29  | 4.00%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                                             | Banc of America Mortgage Trust                                                    | CUSIP: 05948XYP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9491 | PA      | $8812.47      | 0.00%             | 2033-11-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14046000 | PA      | $12343551.76  | 3.00%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust                  | CUSIP: 9393365L3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80355 | PA      | $13062.29     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3133T2FX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1579 | PA      | $1578.03      | 0.00%             | 2023-11-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                    | Centene Corp.                                                                     | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    569000 | PA      | $481015.53    | 0.12%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                                     | Bear Stearns ARM Trust                                                            | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12924 | PA      | $12341.11     | 0.00%             | 2036-02-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                                              | Alcon Finance Corp.                                                               | CUSIP: 01400EAF0<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    391000 | PA      | $394505.67    | 0.10%             | 2052-12-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                         | Bayer U.S. Finance II LLC                                                         | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    575000 | PA      | $542075.65    | 0.13%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2111000 | PA      | $1979062.50   | 0.48%             | 2038-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | Bristol-Myers Squibb Co.                                                          | CUSIP: 110122DQ8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    659000 | PA      | $521469.03    | 0.13%             | 2030-11-13      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1927 | PA      | $1631.54      | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets                                                              | Accelerated Assets LLC                                                            | CUSIP: 00439KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151289 | PA      | $137010.70    | 0.03%             | 2040-10-20      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38373MA91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15299 | PA      | $16221.78     | 0.00%             | 2037-04-20      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN US INC                                                           | Stellantis Finance U.S., Inc.                                                     | CUSIP: 85855CAE0<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |   1007000 | PA      | $997484.45    | 0.24%             | 2032-09-12      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                              | Chase Mortgage Finance Trust                                                      | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8940 | PA      | $8548.31      | 0.00%             | 2035-06-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                         | GSR Mortgage Loan Trust                                                           | CUSIP: 36242DCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9682 | PA      | $9538.46      | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                        | AerCap Ireland Capital DAC/AerCap Global Aviation Trust                           | CUSIP: 00774MAZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    989000 | PA      | $703244.37    | 0.17%             | 2041-10-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                         | CUSIP: 89179JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770671 | PA      | $1565782.61   | 0.38%             | 2060-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | AbbVie, Inc.                                                                      | CUSIP: 00287YAY5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    447000 | PA      | $422395.45    | 0.10%             | 2026-05-14      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3138WCQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218528 | PA      | $209578.38    | 0.05%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                                | Residential Accredit Loans, Inc. Trust                                            | CUSIP: 76110GW49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43 | PA      | $44.02        | 0.00%             | 2017-10-25      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13165 | PA      | $12977.39     | 0.00%             | 2036-06-27      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4305 | PA      | $4317.29      | 0.00%             | 2034-05-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12042 | PA      | $173.69       | 0.00%             | 2039-03-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| UNP RR CO 2003 PASS TRST                                                        | Union Pacific Railroad Co. Pass-Through Trust                                     | CUSIP: 90783SAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1529 | PA      | $1525.84      | 0.00%             | 2024-01-02      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 912828VS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1348200 | PA      | $1329556.93   | 0.32%             | 2023-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ADVANCED MICRO DEVICES                                                          | Advanced Micro Devices, Inc.                                                      | CUSIP: 007903BF3<br>LEI: R2I72C950HOYXII45366 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $978607.88    | 0.24%             | 2032-06-01      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                             | Societe Generale SA                                                               | CUSIP: 83369CTC8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | STIV             | CORP              | US        |   4200000 | PA      | $4106552.81   | 1.00%             | 2023-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2926200 | PA      | $2545451.08   | 0.62%             | 2029-08-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56925 | PA      | $60740.69     | 0.01%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                                                  | Manhattan West Mortgage Trust                                                     | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $513123.66    | 0.12%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                          | Sequoia Mortgage Trust                                                            | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41523 | PA      | $37658.92     | 0.01%             | 2033-04-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27928 | PA      | $24319.82     | 0.01%             | 2033-08-25      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                                                      | PacifiCorp                                                                        | CUSIP: 695114CD8<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     92000 | PA      | $93931.98     | 0.02%             | 2037-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128QGGP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4136 | PA      | $4185.40      | 0.00%             | 2036-08-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9485 | PA      | $10994.84     | 0.00%             | 2036-03-25      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31408EN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7573 | PA      | $7476.82      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                      | Sprint LLC                                                                        | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    370000 | PA      | $375218.85    | 0.09%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375JMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27624 | PA      | $1332.04      | 0.00%             | 2037-03-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                             | Banc of America Funding Trust                                                     | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2007 | PA      | $1292.01      | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6201 | PA      | $5233.84      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| American Tower Truste I                                                         | American Tower Trust 1                                                            | CUSIP: 03027WAJ1<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $348040.42    | 0.08%             | 2048-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UnitedHealth Group, Inc.                                                          | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1183000 | PA      | $1126221.58   | 0.27%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12781 | PA      | $13516.88     | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS                                   | Chase Funding Trust                                                               | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16169 | PA      | $15897.97     | 0.00%             | 2034-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                                    | QUALCOMM, Inc.                                                                    | CUSIP: 747525BJ1<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    549000 | PA      | $400592.37    | 0.10%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31393FKF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25170 | PA      | $25908.84     | 0.01%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                             | Banc of America Funding Trust                                                     | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7826 | PA      | $5449.64      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | Morgan Stanley                                                                    | CUSIP: 6174468V4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    364000 | PA      | $319024.01    | 0.08%             | 2026-12-10      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp                                                                 | CMS Energy Corp.                                                                  | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |     97000 | PA      | $86980.52     | 0.02%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396WCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17572 | PA      | $1243.59      | 0.00%             | 2037-06-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                    | Centene Corp.                                                                     | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    954000 | PA      | $782040.77    | 0.19%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32864 | PA      | $2419.00      | 0.00%             | 2038-02-25      | Floating      | 1.52%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                                    | BAMLL Commercial Mortgage Securities Trust                                        | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $140599.94    | 0.03%             | 2046-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                                | Peruvian Government International Bonds                                           | CUSIP: 715638AS1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    884000 | PA      | $923924.29    | 0.22%             | 2025-07-21      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3131Y1WR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434462 | PA      | $426565.13    | 0.10%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25717 | PA      | $26103.49     | 0.01%             | 2036-06-01      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128Q3NB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4031 | PA      | $4098.02      | 0.00%             | 2036-05-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| MUNICH RE                                                                       | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen                         | CUSIP: 62582PAA8<br>LEI: 529900MUF4C20K50JS49 | Long             | DBT              | CORP              | DE        |    600000 | PA      | $597750.00    | 0.15%             | 2042-05-23      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                   | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53781 | PA      | $42005.14     | 0.01%             | 2035-11-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1139800 | PA      | $1134412.67   | 0.28%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                       | Structured Asset Mortgage Investments II Trust                                    | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13837 | PA      | $12875.89     | 0.00%             | 2034-10-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6740 | PA      | $5596.44      | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1832600 | PA      | $1286828.81   | 0.31%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                         | CUSIP: 89175TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1899245 | PA      | $1733901.58   | 0.42%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                          | NXP BV/NXP Funding LLC/NXP USA, Inc.                                              | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    400000 | PA      | $250336.81    | 0.06%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                                | Ventas Realty LP                                                                  | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |    977000 | PA      | $903922.50    | 0.22%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-Mobile USA, Inc.                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    803000 | PA      | $693140.37    | 0.17%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    884000 | PA      | $735101.25    | 0.18%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    757100 | PA      | $699252.83    | 0.17%             | 2044-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                         | Kinder Morgan Energy Partners LP                                                  | CUSIP: 494550BS4<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    796000 | PA      | $785272.71    | 0.19%             | 2024-02-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24356 | PA      | $1919.68      | 0.00%             | 2037-11-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31300LLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20831 | PA      | $21091.02     | 0.01%             | 2036-02-01      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMorgan Chase & Co.                                                              | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    582000 | PA      | $544509.62    | 0.13%             | 2028-02-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | Oracle Corp.                                                                      | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    553000 | PA      | $410104.99    | 0.10%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10122 | PA      | $8417.12      | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                                                             | DataBank Issuer                                                                   | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $563605.90    | 0.14%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| TSMC GLOBAL LTD                                                                 | TSMC Global Ltd.                                                                  | CUSIP: 872882AG0<br>LEI: 549300N2ZLI21P85T117 | Long             | DBT              | CORP              | VG        |   1856000 | PA      | $1428599.95   | 0.35%             | 2030-09-28      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                        | JP Morgan Mortgage Trust                                                          | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5933 | PA      | $5643.26      | 0.00%             | 2033-11-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                                | Deutsche Bank AG                                                                  | CUSIP: 251526CB3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    440000 | PA      | $420659.53    | 0.10%             | 2025-11-26      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344497 | PA      | $322219.59    | 0.08%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Indexed Bonds                                             | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    915981 | PA      | $916326.39    | 0.22%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375JJ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22011 | PA      | $948.21       | 0.00%             | 2037-05-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER/TAL INT                                                        | Triton Container International Ltd./TAL International Container Corp.             | CUSIP: 89681LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    273000 | PA      | $210944.37    | 0.05%             | 2032-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association REMIC Trust                                 | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11995 | PA      | $12076.47     | 0.00%             | 2042-10-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                                                      | Apidos CLO XXXI                                                                   | CUSIP: 03767VAG3<br>LEI: 549300IG6PHVJ3WBR394 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2949363.00   | 0.72%             | 2031-04-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                                                        | KLA Corp.                                                                         | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    780000 | PA      | $569876.56    | 0.14%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Mackinac Funding Co LLC                                                         | Mackinac Funding Co. LLC                                                          | CUSIP: 55458FQ83<br>LEI: 549300DSZ0UOZX6UNF02 | Long             | STIV             | CORP              | US        |   4300000 | PA      | $4262532.21   | 1.04%             | 2023-03-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                        | Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates             | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82829 | PA      | $82426.99     | 0.02%             | 2044-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                                             | Nomura Asset Acceptance Corp. Alternative Loan Trust                              | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9941 | PA      | $9682.74      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Manhattan Asset Funding Co LLC                                                  | Manhattan Asset Funding Co. LLC                                                   | CUSIP: 56274MT93<br>LEI: 549300S0NSJYSOB32S63 | Long             | STIV             | CORP              | US        |   4200000 | PA      | $4107229.10   | 1.00%             | 2023-06-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association                                          | CUSIP: 38379UD52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2423 | PA      | $2406.19      | 0.00%             | 2049-05-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                             | Quanta Services, Inc.                                                             | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    898000 | PA      | $740606.64    | 0.18%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DELMARVA PWR & LIGHT CO                                                         | Delmarva Power & Light Co.                                                        | CUSIP: 247109BR1<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |     47000 | PA      | $37068.92     | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                   | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7416 | PA      | $6834.37      | 0.00%             | 2034-06-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                              | Hero Funding                                                                      | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    252312 | PA      | $233227.83    | 0.06%             | 2048-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                                        | Prudential Financial, Inc.                                                        | CUSIP: 744320BH4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   1012000 | PA      | $854016.68    | 0.21%             | 2050-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | Elevance Health, Inc.                                                             | CUSIP: 036752AN3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    593000 | PA      | $493129.61    | 0.12%             | 2030-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125083 | PA      | $91818.87     | 0.02%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1227000 | PA      | $1019224.80   | 0.25%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                          | Sequoia Mortgage Trust                                                            | CUSIP: 81744FDV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62615 | PA      | $55424.92     | 0.01%             | 2034-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1035600 | PA      | $814725.94    | 0.20%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65511 | PA      | $3744.72      | 0.00%             | 2038-05-16      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                            | Glencore Funding LLC                                                              | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    835000 | PA      | $667255.77    | 0.16%             | 2031-09-23      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16396 | PA      | $15799.18     | 0.00%             | 2033-07-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                        | Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates             | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29985 | PA      | $30718.80     | 0.01%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9220 | PA      | $661.67       | 0.00%             | 2040-04-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4469 | PA      | $3712.37      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5531 | PA      | $4713.24      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                     | Workday, Inc.                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   1208000 | PA      | $1130842.02   | 0.27%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397WHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102352 | PA      | $6267.78      | 0.00%             | 2038-06-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                                | SLG Office Trust                                                                  | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005000 | PA      | $804202.31    | 0.20%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31392MQP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16705 | PA      | $17363.14     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ADT SEC CORP                                                                    | ADT Security Corp.                                                                | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |    712000 | PA      | $605524.74    | 0.15%             | 2029-08-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8346 | PA      | $6990.22      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396YXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3531 | PA      | $3055.30      | 0.00%             | 2038-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137AQUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88376 | PA      | $87339.55     | 0.02%             | 2041-10-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    798943 | PA      | $734006.82    | 0.18%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | Boeing Co.                                                                        | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $992983.85    | 0.24%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                        | Plains All American Pipeline LP/PAA Finance Corp.                                 | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    704000 | PA      | $612165.03    | 0.15%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30955 | PA      | $32002.01     | 0.01%             | 2034-05-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                                                 | CSL Finance PLC                                                                   | CUSIP: 12661PAD1<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    475000 | PA      | $429290.08    | 0.10%             | 2042-04-27      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21501 | PA      | $822.71       | 0.00%             | 2037-06-16      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 31416CFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3344 | PA      | $3417.24      | 0.00%             | 2037-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Indexed Notes                                             | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4550604 | PA      | $4455592.68   | 1.08%             | 2024-01-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                       | Structured Asset Mortgage Investments II Trust                                    | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51402 | PA      | $45646.18     | 0.01%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6252000 | PA      | $5095093.41   | 1.24%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust                                                               | CUSIP: 12625EAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $123389.41    | 0.03%             | 2035-04-12      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                        | International Flavors & Fragrances, Inc.                                          | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    734000 | PA      | $584140.85    | 0.14%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                           | Mexico Government International Bonds                                             | CUSIP: 91087BAE0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1053000 | PA      | $993473.86    | 0.24%             | 2028-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44529 | PA      | $46616.33     | 0.01%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6586000 | PA      | $5864112.69   | 1.42%             | 2038-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31396K4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3060 | PA      | $3499.98      | 0.00%             | 2036-10-25      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | Viatris, Inc.                                                                     | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1128939.06   | 0.27%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                        | Anheuser-Busch InBev Worldwide, Inc.                                              | CUSIP: 03523TBT4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1161000 | PA      | $998345.75    | 0.24%             | 2048-10-06      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                                | Federal Home Loan Mortgage Corp. Strips                                           | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17864 | PA      | $3583.53      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5508 | PA      | $5151.29      | 0.00%             | 2035-06-17      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                     | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4726 | PA      | $4332.70      | 0.00%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810QU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2320300 | PA      | $2012950.88   | 0.49%             | 2042-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 9128283F5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    452700 | PA      | $417881.01    | 0.10%             | 2027-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                                                     | Merrill Lynch Mortgage Investors Trust                                            | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84243 | PA      | $77891.54     | 0.02%             | 2028-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UnitedHealth Group, Inc.                                                          | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    686000 | PA      | $749747.09    | 0.18%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810FG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1443800 | PA      | $1535842.25   | 0.37%             | 2029-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                                                         | Schlumberger Holdings Corp.                                                       | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |   1052000 | PA      | $981904.64    | 0.24%             | 2028-05-17      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust                  | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60345 | PA      | $54328.61     | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 912828M56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    649300 | PA      | $615135.66    | 0.15%             | 2025-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16800 | PA      | $17577.53     | 0.00%             | 2034-04-16      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33900 | PA      | $1992.72      | 0.00%             | 2038-09-25      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                                 | Chevron USA, Inc.                                                                 | CUSIP: 166756AS5<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    614000 | PA      | $564523.24    | 0.14%             | 2029-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                                                    | DNB Bank ASA                                                                      | CUSIP: 2332K1TL4<br>LEI: 549300GKFG0RYRRQ1414 | Long             | STIV             | CORP              | NO        |   4200000 | PA      | $4103479.34   | 1.00%             | 2023-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BROADSTONE NET LEASE LLC                                                        | Broadstone Net Lease LLC                                                          | CUSIP: 11135EAA2<br>LEI: 54930089IBT6J4WBTI50 | Long             | DBT              |  | US        |   1056000 | PA      | $794002.57    | 0.19%             | 2031-09-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89318 | PA      | $88743.53     | 0.02%             | 2062-10-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31393NTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4934 | PA      | $4937.92      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                        | Burlington Northern Santa Fe LLC                                                  | CUSIP: 12189LBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1115000 | PA      | $994825.69    | 0.24%             | 2053-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| QUALCOMM Inc                                                                    | QUALCOMM, Inc.                                                                    | CUSIP: 747525AU7<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    577000 | PA      | $548415.97    | 0.13%             | 2027-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31392PU37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17846 | PA      | $17091.22     | 0.00%             | 2032-07-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Gold Key Resorts LLC                                                            | Gold Key Resorts LLC                                                              | CUSIP: 38061LAA7<br>LEI: 549300MORAF4RGEXUA95 | Long             | ABS-O            | CORP              | US        |      6565 | PA      | $6452.01      | 0.00%             | 2031-03-17      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1170 | PA      | $1159.52      | 0.00%             | 2061-05-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6599 | PA      | $661.94       | 0.00%             | 2036-07-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                        | Enterprise Products Operating LLC                                                 | CUSIP: 29379VBQ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1524000 | PA      | $1224776.88   | 0.30%             | 2048-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15383 | PA      | $15049.80     | 0.00%             | 2036-11-01      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                                    | 7-Eleven, Inc.                                                                    | CUSIP: 817826AE0<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    919000 | PA      | $702494.43    | 0.17%             | 2031-02-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                                                        | Aon Corp./Aon Global Holdings PLC                                                 | CUSIP: 03740LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1039000 | PA      | $1031647.36   | 0.25%             | 2032-09-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31394ULM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43196 | PA      | $39543.19     | 0.01%             | 2035-07-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | Paramount Global                                                                  | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    650000 | PA      | $533878.20    | 0.13%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                                        | KGS-Alpha SBA COOF Trust                                                          | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    114840 | PA      | $7278.81      | 0.00%             | 2040-04-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                       | Structured Asset Mortgage Investments II Trust                                    | CUSIP: 86359LAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94116 | PA      | $85288.13     | 0.02%             | 2034-03-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2649700 | PA      | $2450558.48   | 0.60%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Countrywide Alternative Loan Trust                                                | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135636 | PA      | $4845.61      | 0.00%             | 2035-07-25      | Floating      | 0.36%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                  | Lowe's Cos., Inc.                                                                 | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    776000 | PA      | $692533.05    | 0.17%             | 2032-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                  | Federal National Mortgage Association-Aces                                        | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3494937 | PA      | $312670.68    | 0.08%             | 2033-11-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                  | CSFB Mortgage-Backed Pass-Through Certificates                                    | CUSIP: 22541QP89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       893 | PA      | $859.17       | 0.00%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    938100 | PA      | $934508.84    | 0.23%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| BOEING CO                                                                       | Boeing Co.                                                                        | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1117237.93   | 0.27%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000800 | PA      | $2256929.83   | 0.55%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397HKD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1928 | PA      | $1471.64      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3140J8CB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784103 | PA      | $752276.85    | 0.18%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3905300 | PA      | $3324691.71   | 0.81%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                                                     | Equifax, Inc.                                                                     | CUSIP: 294429AQ8<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |    716000 | PA      | $684067.89    | 0.17%             | 2024-12-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                                                  | Manhattan West Mortgage Trust                                                     | CUSIP: 563136AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426000 | PA      | $1207291.24   | 0.29%             | 2039-09-10      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397THP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3819 | PA      | $3815.28      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                                           | Tennessee Valley Authority                                                        | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1459000 | PA      | $1606822.14   | 0.39%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1086800 | PA      | $862647.50    | 0.21%             | 2030-05-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust                  | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198214 | PA      | $7051.58      | 0.00%             | 2035-04-25      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73725 | PA      | $58180.77     | 0.01%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                            | Colombia Government International Bonds                                           | CUSIP: 195325CX1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   1795000 | PA      | $1687034.21   | 0.41%             | 2026-01-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                        | Constellation Brands, Inc.                                                        | CUSIP: 21036PBE7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    390000 | PA      | $342543.78    | 0.08%             | 2029-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       263 | PA      | $259.58       | 0.00%             | 2060-08-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                                 | Goodgreen Trust                                                                   | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82379 | PA      | $76400.25     | 0.02%             | 2052-10-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                       | Structured Asset Mortgage Investments II Trust                                    | CUSIP: 86359LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119296 | PA      | $112165.56    | 0.03%             | 2034-01-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30299 | PA      | $2181.29      | 0.00%             | 2038-01-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12696 | PA      | $10646.37     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3133T4SX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8854 | PA      | $8866.45      | 0.00%             | 2024-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | CUSIP: 3137BLMZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1934000 | PA      | $1858155.48   | 0.45%             | 2025-07-25      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Credito Real USA Auto Receivables Trust                                         | Credito Real USA Auto Receivables Trust                                           | CUSIP: 22551EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139138 | PA      | $135992.27    | 0.03%             | 2027-02-16      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | Citigroup, Inc.                                                                   | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2143000 | PA      | $1958420.28   | 0.48%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 912828ZT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $817699.22    | 0.20%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                                 | Federal National Mortgage Association Interest Strip                              | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2637 | PA      | $2235.61      | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | Broadcom, Inc.                                                                    | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    878000 | PA      | $742411.99    | 0.18%             | 2028-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                        | Occidental Petroleum Corp.                                                        | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1372000 | PA      | $1366855.00   | 0.33%             | 2026-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                     | CUSIP: 929227T30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17757 | PA      | $15963.23     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175066 | PA      | $163924.61    | 0.04%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27733 | PA      | $1884.40      | 0.00%             | 2038-09-25      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375LUK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8286 | PA      | $7869.10      | 0.00%             | 2037-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31359BSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2564 | PA      | $2560.74      | 0.00%             | 2023-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30405 | PA      | $32061.14     | 0.01%             | 2035-07-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6714 | PA      | $6428.99      | 0.00%             | 2034-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    732000 | PA      | $655340.16    | 0.16%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $858896.48    | 0.21%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | Charter Communications Operating LLC/Charter Communications Operating Capital     | CUSIP: 161175BT0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    693000 | PA      | $504476.60    | 0.12%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                              | HERO Funding Trust                                                                | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221712 | PA      | $210171.87    | 0.05%             | 2047-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                                                        | Constellation Brands, Inc.                                                        | CUSIP: 21036PAQ1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    185000 | PA      | $176165.37    | 0.04%             | 2026-12-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                | CIFC Funding Ltd.                                                                 | CUSIP: 12549BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2465260.00   | 0.60%             | 2030-10-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| UBS-BAMLL Trust                                                                 | UBS-BAMLL Trust                                                                   | CUSIP: 90269PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7320 | PA      | $7309.98      | 0.00%             | 2030-06-10      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| VSE VOI Mortgage LLC                                                            | VSE VOI Mortgage LLC                                                              | CUSIP: 918286AA3<br>LEI: 549300E4XED7XGXU7L27 | Long             | ABS-O            | CORP              | US        |     89673 | PA      | $86944.36     | 0.02%             | 2036-02-20      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 912828P46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1543300 | PA      | $1428758.20   | 0.35%             | 2026-02-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-Mobile USA, Inc.                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    744000 | PA      | $675708.31    | 0.16%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7877 | PA      | $6613.60      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137AQUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65543 | PA      | $63487.11     | 0.02%             | 2037-07-15      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                          | General Motors Financial Co., Inc.                                                | CUSIP: 37045XDW3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    704000 | PA      | $683117.97    | 0.17%             | 2027-04-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                               | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4864000 | PA      | $4103810.01   | 1.00%             | 2031-05-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Indexed Notes                                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1868785 | PA      | $1675172.69   | 0.41%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| OHIO NAT FINANCIAL SRVS                                                         | Ohio National Financial Services, Inc.                                            | CUSIP: 67740QAG1<br>LEI: 549300K609B872PZT291 | Long             | DBT              | CORP              | US        |    404000 | PA      | $390880.06    | 0.09%             | 2031-05-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17190 | PA      | $1496.20      | 0.00%             | 2037-04-16      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                                                            | Western Digital Corp.                                                             | CUSIP: 958102AQ8<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |   1179000 | PA      | $912156.93    | 0.22%             | 2029-02-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                              | Royalty Pharma PLC                                                                | CUSIP: 78081BAK9<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    628000 | PA      | $492504.08    | 0.12%             | 2030-09-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                  | Federal National Mortgage Association-Aces                                        | CUSIP: 3136BBTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6625670 | PA      | $560365.39    | 0.14%             | 2030-07-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                                                      | PacifiCorp                                                                        | CUSIP: 695114CR7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    989000 | PA      | $971952.37    | 0.24%             | 2024-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                                             | Invitation Homes Operating Partnership LP                                         | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |    714000 | PA      | $626788.26    | 0.15%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12532 | PA      | $1195.25      | 0.00%             | 2039-02-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31393A6T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2214 | PA      | $2204.60      | 0.00%             | 2023-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                               | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5342400 | PA      | $4108222.15   | 1.00%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                        | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    457000 | PA      | $434912.56    | 0.11%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38374UVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17389 | PA      | $1133.00      | 0.00%             | 2039-06-20      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc                                                              | Ally Financial, Inc.                                                              | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1245000 | PA      | $1290285.62   | 0.31%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                                   | MASTR Alternative Loan Trust                                                      | CUSIP: 576434VU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       501 | PA      | $471.82       | 0.00%             | 2019-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 38375LV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13887 | PA      | $338.52       | 0.00%             | 2037-11-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ELECTRIC                                                          | Massachusetts Electric Co.                                                        | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |    105000 | PA      | $76505.11     | 0.02%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                          | Philip Morris International, Inc.                                                 | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    768000 | PA      | $781417.32    | 0.19%             | 2029-11-17      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                          | Verizon Communications, Inc.                                                      | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    895000 | PA      | $699792.59    | 0.17%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                                         | CarMax Auto Owner Trust                                                           | CUSIP: 14315XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1841298.74   | 0.45%             | 2025-06-16      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165876 | PA      | $159280.56    | 0.04%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASS MUTUAL LIFE                                                                | Massachusetts Mutual Life Insurance Co.                                           | CUSIP: 575767AB4<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |    167000 | PA      | $169526.94    | 0.04%             | 2023-11-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                   | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12992 | PA      | $403.27       | 0.00%             | 2037-12-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                   | CUSIP: 12669FPC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14797 | PA      | $14131.67     | 0.00%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                             | CUSIP: 3140M3AF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1317674 | PA      | $1123158.57   | 0.27%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                      | CUSIP: 31395DTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13649 | PA      | $11747.67     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-17

**Name of Applicant:** TRANSAMERICA SERIES TRUST

**Signature:** Vincent Toner

**Name of Signer:** Vincent Toner

**Title:** Treasurer