# EDGAR Filing Document

**Accession Number:** 0000764624
**File Stem:** 0001752724-23-046444
**Filing Date:** 2023-2
**Character Count:** 299721
**Document Hash:** c7333245c5c733c355278abdc042ede7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046444.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046444

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LEGG MASON PARTNERS INCOME TRUST
- **CENTRAL INDEX KEY:** 0000764624
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04254
- **FILM NUMBER:** 23682462

**BUSINESS ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE, 49TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 1-877-721-1926

**MAIL ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE, 49TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LEGG MASON PARTNERS INCOME FUNDS
- **DATE OF NAME CHANGE:** 20060407

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SMITH BARNEY INCOME FUNDS
- **DATE OF NAME CHANGE:** 19941228

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SMITH BARNEY SHEARSON INCOME FUNDS
- **DATE OF NAME CHANGE:** 19931015

## Series and Classes Contracts Data

### Western Asset Short-Term Bond Fund (Series ID: S000016639)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000046471 | Class A      | SBSTX           |
| C000046473 | Class C1     | SSTLX           |
| C000046474 | Class I      | SBSYX           |
| C000062459 | Class R      | LWARX           |
| C000088507 | Class C      | LWSOX           |
| C000117030 | Class IS     | LWSTX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Legg Mason Partners Income Trust

- **b. Investment Company Act file number:** 811-04254

- **c. CIK number of Registrant:** 0000764624

- **d. LEI of Registrant:** 549300Y1U2UCLTK83X35

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-877-656-3863

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

- **a. Name of Series:** Western Asset Short-Term Bond Fund

- **b. EDGAR series identifier (if any):** S000016639

- **c. LEI of Series:** 549300G71M2UUYXXMK17

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

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

- **b. Date as of which information is reported:** 2022-12-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $798044352.40

**Total Liabilities:** $8627735.48

**Net Assets:** $789416616.92

**Stand-by Commitments:** $4039367.20

**Cash Not Reported:** $4410478.60

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3490.62000000 | **1-Year:** 74767.85000000 | **5-Year:** 67655.40000000 | **10-Year:** 3646.69000000 | **30-Year:** 91.20000000

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

- **3-Month:** 61.41000000 | **1-Year:** 5201.55000000 | **5-Year:** 10700.29000000 | **10-Year:** 903.76000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000046471 | -0.34%               | 1.37%                | 0.25%                |
| Class ID C000046473 | -0.36%               | 1.35%                | 0.23%                |
| Class ID C000117030 | -0.31%               | 1.40%                | 0.27%                |
| Class ID C000046474 | -0.31%               | 1.39%                | 0.27%                |
| Class ID C000088507 | -0.40%               | 1.03%                | 0.19%                |
| Class ID C000062459 | -0.37%               | 1.34%                | -0.05%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-304270.21              | $-2992274.09                               |
| Month 2  | $-76972.20               | $8238435.60                                |
| Month 3  | $-1896792.83             | $2357855.61                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BX Trust                                                | BX Trust 2021-ARIA                                                              | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990000 | PA      | $888990.89    | 0.11%             | 2036-10-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                     | Gilead Sciences Inc                                                             | CUSIP: 375558BW2<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    590000 | PA      | $571765.76    | 0.07%             | 2023-09-29      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $2021976.97   | 0.26%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                  | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBJ7<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1160000 | PA      | $1119808.95   | 0.14%             | 2024-09-08      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1081273 | PA      | $926594.27    | 0.12%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDUD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181505 | PA      | $148506.85    | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                  | Diamondback Energy Inc                                                          | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   2040000 | PA      | $1900253.39   | 0.24%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                                        | Owl Rock CLO I Ltd                                                              | CUSIP: 69122DAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $702500.47    | 0.09%             | 2031-05-20      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XC6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87564 | PA      | $75759.52     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                          | Carlyle Global Market Strategies CLO 2014-1 Ltd                                 | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    667969 | PA      | $658189.99    | 0.08%             | 2031-04-17      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                           | Radnor RE 2021-1 Ltd                                                            | CUSIP: 75279YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1320000 | PA      | $1234129.91   | 0.16%             | 2033-12-27      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                | Neuberger Berman Loan Advisers CLO 24 Ltd                                       | CUSIP: 64130HAL5<br>LEI: 549300E610NX15ZSSH14 | Long             | ABS-CBDO         | CORP              | KY        |    493505 | PA      | $486778.83    | 0.06%             | 2030-04-19      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        51 | NC      | $-18539.82    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BJS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63348 | PA      | $62907.77     | 0.01%             | 2061-01-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XIV-R LTD                                                             | CUSIP: 55954LAL7<br>LEI: 549300XD71H6EU9N2I97 | Long             | ABS-CBDO         | CORP              | KY        |    730000 | PA      | $717324.93    | 0.09%             | 2031-10-18      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2189103.15   | 0.28%             | 2025-03-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                          | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A2                      | CUSIP: 589929P51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40159 | PA      | $31943.63     | 0.00%             | 2033-03-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2022-FL9 LLC                                                                | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1450000 | PA      | $1430931.05   | 0.18%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                  | SLM Student Loan Trust 2003-10                                                  | CUSIP: 78442GJH0<br>LEI: 5493000NQN5E3MSIIG77 | Long             | ABS-O            | CORP              | US        |    773447 | PA      | $750031.05    | 0.10%             | 2068-12-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Stacr Remic Trust 2020-DNA1                                         | CUSIP: 35565HBD6<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $217308.88    | 0.03%             | 2050-01-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23528 | PA      | $21942.64     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2015-1 Ltd                                                             | CUSIP: 92914NAJ0<br>LEI: 54930085W413OSH6FR69 | Long             | ABS-CBDO         | CORP              | KY        |    594616 | PA      | $588481.96    | 0.07%             | 2029-01-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31384WJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1422 | PA      | $1459.94      | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280411 | PA      | $260441.16    | 0.03%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       311 | NC      | $112737.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137ACDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7944 | PA      | $7935.74      | 0.00%             | 2040-11-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo                          | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                          | CUSIP: 03880KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1320000 | PA      | $1260003.36   | 0.16%             | 2034-08-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                            | ING Groep NV                                                                    | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1680000 | PA      | $1573440.14   | 0.20%             | 2028-03-28      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3620E0DY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40118 | PA      | $40177.81     | 0.01%             | 2060-07-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107167 | PA      | $101024.65    | 0.01%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143679 | PA      | $137262.02    | 0.02%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                               | Nelnet Student Loan Trust 2021-A                                                | CUSIP: 64035DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1310000 | PA      | $1225012.31   | 0.16%             | 2062-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| USAA CAPITAL CORP                                       | USAA Capital Corp                                                               | CUSIP: 90327QD71<br>LEI: 5493007XLF4LU3U2W757 | Long             | DBT              | CORP              | US        |    340000 | PA      | $320661.42    | 0.04%             | 2024-05-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA BRISTOL LLC                                | Virgin Media Bristol LLC                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    750000 | PA      | $738817.50    | 0.09%             | 2028-01-31      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                   | CUSIP: 46652BBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1081092.96   | 0.14%             | 2037-01-16      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                         | Nissan Motor Co Ltd                                                             | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   2940000 | PA      | $2881343.53   | 0.36%             | 2023-09-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   3200000 | PA      | $2997693.70   | 0.38%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31390C5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4639 | PA      | $4632.25      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        14 | NC      | $1837.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2020-2                               | CUSIP: 35563PRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $809082.13    | 0.10%             | 2059-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAL7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   3160000 | PA      | $3060305.67   | 0.39%             | 2025-07-09      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX 2021-LBA3 Mortgage Trust                                                     | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $317259.53    | 0.04%             | 2036-10-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    591646 | PA      | $586095.42    | 0.07%             | 2060-10-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                  | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBG1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    900000 | PA      | $862406.90    | 0.11%             | 2028-06-13      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       314 | NC      | $41212.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QMX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4315949 | PA      | $3880764.01   | 0.49%             | 2051-08-01      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2019-UVIL                                                           | CUSIP: 12656DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1730000 | PA      | $1413019.89   | 0.18%             | 2041-12-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN BRAND INTELLECT                                | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd            | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     30000 | PA      | $27207.00     | 0.00%             | 2026-01-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                              | Cigna Corp                                                                      | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   2364000 | PA      | $2348906.88   | 0.30%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2006-AR13 Trust                  | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    356855 | PA      | $316631.41    | 0.04%             | 2046-10-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves | Western Asset Premier Institutional Government Reserves                         | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |  22505495 | NS      | $22505494.93  | 2.85%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100107 | PA      | $99514.71     | 0.01%             | 2062-10-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Hawaii Hotel Trust 2019-MAUI                            | Hawaii Hotel Trust 2019-MAUI                                                    | CUSIP: 41975AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $952865.50    | 0.12%             | 2038-05-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31390HA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1964 | PA      | $1965.65      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CTR PARTNERSHIP/CARETRST                                | CTR Partnership LP / CareTrust Capital Corp                                     | CUSIP: 126458AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    390000 | PA      | $331163.27    | 0.04%             | 2028-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                            | ELP Commercial Mortgage Trust 2021-ELP                                          | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2310000 | PA      | $2220835.39   | 0.28%             | 2038-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                          | Structured Adjustable Rate Mortgage Loan Trust Series 2005-4                    | CUSIP: 863579MP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78559 | PA      | $62574.49     | 0.01%             | 2035-03-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                  | Credit Suisse AG/New York NY                                                    | CUSIP: 22546QAP2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   1140000 | PA      | $1063682.26   | 0.13%             | 2024-09-09      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3090000 | PA      | $2927557.93   | 0.37%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36241LNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56861 | PA      | $58569.23     | 0.01%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | Reperforming Loan REMIC Trust 2006-R2                                           | CUSIP: 125435AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86287 | PA      | $82325.04     | 0.01%             | 2036-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                  | SLM Private Credit Student Loan Trust 2006-B                                    | CUSIP: 78443CCU6<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-O            | CORP              | US        |    436063 | PA      | $412734.25    | 0.05%             | 2039-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                          | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1                      | CUSIP: 59020UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6640 | PA      | $6112.24      | 0.00%             | 2034-02-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                                | MassMutual Global Funding II                                                    | CUSIP: 57629WCU2<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    460000 | PA      | $451594.54    | 0.06%             | 2023-06-09      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                | Neuberger Berman Loan Advisers Clo 40 Ltd                                       | CUSIP: 64134JAA1<br>LEI: 549300Y2YE54ON4DJE28 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $592092.75    | 0.08%             | 2033-04-16      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica                          | ABFC 2004-OPT2 Trust                                                            | CUSIP: 04542BFW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1532 | PA      | $1529.46      | 0.00%             | 2033-08-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAH9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    920000 | PA      | $894597.85    | 0.11%             | 2025-03-01      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                              | Impac Secured Assets Trust 2006-3                                               | CUSIP: 45255RAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    745283 | PA      | $553679.97    | 0.07%             | 2036-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJC4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2740000 | PA      | $2697440.57   | 0.34%             | 2024-05-19      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                | Fox Corp                                                                        | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |   2610000 | PA      | $2580835.16   | 0.33%             | 2024-01-25      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2022-AHP                                           | CUSIP: 05610FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $1217747.63   | 0.15%             | 2039-01-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31378LZK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27 | PA      | $27.78        | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                        | CSC Holdings LLC                                                                | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $983538.00    | 0.12%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                          | RAMP Series 2004-SL4 Trust                                                      | CUSIP: 76112BGP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4052 | PA      | $1774.80      | 0.00%             | 2032-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust,                           | Wachovia Mortgage Loan Trust LLC Series 2005-A Trust                            | CUSIP: 92977YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3075 | PA      | $2887.55      | 0.00%             | 2035-08-20      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden 75 CLO Ltd                                                               | CUSIP: 26252JAS7<br>LEI: 254900JFO9XUH2EREJ70 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241936.48    | 0.03%             | 2034-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BCRED MML CLO 2021-1 LLC                                | BCRED MML CLO 2021-1 LLC                                                        | CUSIP: 05554LAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1050000 | PA      | $1010339.16   | 0.13%             | 2035-01-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1082823.59   | 0.14%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31377BXH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        62 | PA      | $61.61        | 0.00%             | 2027-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEG3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1114254.88   | 0.14%             | 2027-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                       | Cedar Funding V CLO Ltd                                                         | CUSIP: 15032AAY3<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1579565.67   | 0.20%             | 2031-07-17      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-ARIA                                                              | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1572380.87   | 0.20%             | 2036-10-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56913 | PA      | $52161.34     | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $254094.92    | 0.03%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172CH0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    230000 | PA      | $223301.13    | 0.03%             | 2024-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        68 | NC      | $-289523.55   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                  | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAA6<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |    320000 | PA      | $276844.80    | 0.04%             | 2026-05-11      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1529080 | PA      | $1471918.87   | 0.19%             | 2038-10-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L5QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170188 | PA      | $145591.75    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31392XUX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59653 | PA      | $58832.58     | 0.01%             | 2032-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1074985.50   | 0.14%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execut                          | Capital One Multi-Asset Execution Trust                                         | CUSIP: 14041NFS5<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |   2220000 | PA      | $2221563.77   | 0.28%             | 2026-03-16      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage T                          | STWD 2022-FL3 Ltd                                                               | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    250000 | PA      | $242203.55    | 0.03%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                          | Structured Asset Securities Corp                                                | CUSIP: 86359DME4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103098 | PA      | $91993.90     | 0.01%             | 2035-06-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2880000 | PA      | $2860539.26   | 0.36%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBC6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    800000 | PA      | $784101.96    | 0.10%             | 2026-02-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                     | United Airlines Inc                                                             | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    800000 | PA      | $742900.80    | 0.09%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2014-11R                                                            | CUSIP: 12649FDY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610619 | PA      | $556683.65    | 0.07%             | 2036-01-27      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5317 | PA      | $4967.20      | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MBE9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1290000 | PA      | $1291607.02   | 0.16%             | 2023-10-16      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $414477.48    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| XPO LOGISTICS INC                                       | XPO Inc                                                                         | CUSIP: 98379EAE6<br>LEI: 54930096DB9LCLPN7H13 | Long             | LON              | CORP              | US        |    750000 | PA      | $747596.25    | 0.09%             | 2025-02-23      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         3 | NC      | $-11331.30    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25458 | PA      | $25289.77     | 0.00%             | 2060-02-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Battery Park CLO Ltd                                    | Battery Park CLO II Ltd                                                         | CUSIP: 07134CAA5<br>LEI: 549300H738INUT5W2X22 | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1141584.81   | 0.14%             | 2035-10-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 35                          | OCTAGON INVESTMENT PARTNERS 35 LTD                                              | CUSIP: 67591TAA8<br>LEI: 549300EBYXJ9QVMC7X31 | Long             | ABS-CBDO         | CORP              | KY        |   2080000 | PA      | $2055040.00   | 0.26%             | 2031-01-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                   | Republic Services Inc                                                           | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    460000 | PA      | $441097.82    | 0.06%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       437 | NC      | $-208039.48   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                 | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1370000 | PA      | $1200846.10   | 0.15%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B7GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43382 | PA      | $40151.49     | 0.01%             | 2027-02-25      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                             | Stratus Static CLO 2022-3 Ltd                                                   | CUSIP: 86317EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    750000 | PA      | $748142.05    | 0.09%             | 2031-10-20      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Myers Park CLO LTD                                      | Myers Park CLO Ltd                                                              | CUSIP: 62848FAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240342.69    | 0.03%             | 2030-10-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO III Ltd                                    | Whitebox CLO III Ltd                                                            | CUSIP: 96467HAA4<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |    660000 | PA      | $637470.66    | 0.08%             | 2034-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1424606.13   | 0.18%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                         | Saranac CLO III Ltd                                                             | CUSIP: 803169AS0<br>LEI: 5493000LWP4BVD5LGS13 | Long             | ABS-CBDO         | CORP              | JE        |    690000 | PA      | $673277.14    | 0.09%             | 2030-06-22      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                          | Greystone CRE Notes 2021-FL3 Ltd                                                | CUSIP: 39809PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1030000 | PA      | $983363.87    | 0.12%             | 2039-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1468519.63   | 0.19%             | 2026-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NCS8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2810000 | PA      | $2754858.16   | 0.35%             | 2025-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                        | Bank of Montreal                                                                | CUSIP: 06367WMQ3<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   1490000 | PA      | $1435648.48   | 0.18%             | 2024-06-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Recette CLO LLC                                         | Recette Clo Ltd                                                                 | CUSIP: 75620TAW8<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $340488.27    | 0.04%             | 2034-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                            | Saxon Asset Securities Trust 2006-3                                             | CUSIP: 80556AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1420000 | PA      | $1205698.14   | 0.15%             | 2046-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    762000 | PA      | $734177.35    | 0.09%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                          | RALI Series 2007-QS7 Trust                                                      | CUSIP: 74923WAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    484343 | PA      | $358092.88    | 0.05%             | 2037-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    370000 | PA      | $369093.44    | 0.05%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAE5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1600000 | PA      | $1595401.76   | 0.20%             | 2023-02-23      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140H3ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35527 | PA      | $32994.93     | 0.00%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31382N3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1757 | PA      | $1755.20      | 0.00%             | 2029-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO                           | Hildene Community Funding CDO Ltd                                               | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |   1410000 | PA      | $1190533.61   | 0.15%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1491856.78   | 0.19%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2016-C                                         | CUSIP: 78449KAB6<br>LEI: 54930027GONY06ZX8P67 | Long             | ABS-O            | CORP              | US        |    497240 | PA      | $473739.01    | 0.06%             | 2034-09-15      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281806 | PA      | $279893.88    | 0.04%             | 2061-08-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2947310.79   | 0.37%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owne                          | NextGear Floorplan Master Owner Trust                                           | CUSIP: 65341KBN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1320000 | PA      | $1314792.73   | 0.17%             | 2025-02-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BKE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89247 | PA      | $88538.62     | 0.01%             | 2060-12-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                   | Texas Instruments Inc                                                           | CUSIP: 882508BH6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    540000 | PA      | $504609.83    | 0.06%             | 2025-03-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BM3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    590000 | PA      | $583361.87    | 0.07%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                  | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RAN7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    440000 | PA      | $409223.25    | 0.05%             | 2025-04-24      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                      | BX Trust 2019-OC11                                                              | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680000 | PA      | $570733.79    | 0.07%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    510000 | PA      | $470631.67    | 0.06%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                | Petrobras Global Finance BV                                                     | CUSIP: 71647NAZ2<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |   1250000 | PA      | $1215950.00   | 0.15%             | 2029-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                          | IndyMac INDX Mortgage Loan Trust 2004-AR14                                      | CUSIP: 45660LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46709 | PA      | $35947.51     | 0.00%             | 2035-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31387SX68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2760 | PA      | $2753.51      | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-629128.50   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3460000 | PA      | $3205342.82   | 0.41%             | 2025-05-24      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                            | Mastr Specialized Loan Trust                                                    | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36120 | PA      | $34157.80     | 0.00%             | 2046-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                               | Nelnet Student Loan Trust 2021-A                                                | CUSIP: 64035DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    644402 | PA      | $570799.26    | 0.07%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CF9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    270000 | PA      | $260272.68    | 0.03%             | 2026-04-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFN9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    440000 | PA      | $426030.22    | 0.05%             | 2025-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X8EY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301379 | PA      | $265410.25    | 0.03%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LYQL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2562804 | PA      | $2322296.19   | 0.29%             | 2051-11-01      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60645 | PA      | $56653.54     | 0.01%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                           | Goldentree Loan Management US Clo 10 Ltd                                        | CUSIP: 38138TAC5<br>LEI: 5493007PBV0WMI12LF68 | Long             | ABS-CBDO         | CORP              | KY        |   2590000 | PA      | $2511683.23   | 0.32%             | 2034-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card                           | Mercury Financial Credit Card Master Trust                                      | CUSIP: 58940BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    920000 | PA      | $857062.89    | 0.11%             | 2026-03-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6900000 | PA      | $6803264.69   | 0.86%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corporati                          | ABFC 2002-WF2 Trust                                                             | CUSIP: 04542BBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17780 | PA      | $17509.99     | 0.00%             | 2032-05-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                                                | CUSIP: 30231GBL5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    890000 | PA      | $881758.98    | 0.11%             | 2023-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78016EZV2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1450000 | PA      | $1434154.46   | 0.18%             | 2024-07-29      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                          | CWABS Revolving Home Equity Loan Trust Series 2004-B                            | CUSIP: 1266715X0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    519595 | PA      | $460485.03    | 0.06%             | 2029-02-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                          | Option One Mortgage Loan Trust 2007-FXD1                                        | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    442305 | PA      | $359543.22    | 0.05%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2312537.54   | 0.29%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                | Neuberger Berman Loan Advisers CLO 29 Ltd                                       | CUSIP: 64130XAA4<br>LEI: 549300BLCSV170UP8R47 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $247013.79    | 0.03%             | 2031-10-19      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2019-4                                                | CUSIP: 89178BBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910000 | PA      | $623791.17    | 0.08%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| RENT-A-CENTER INC                                       | Rent-A-Center Inc/TX                                                            | CUSIP: 76009WAW0<br>LEI: 529900QUHE15UQNCCJ63 | Long             | LON              | CORP              | US        |    744332 | PA      | $719211.27    | 0.09%             | 2028-02-17      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -251 | NC      | $138471.42    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    890000 | PA      | $887895.67    | 0.11%             | 2023-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| YAMANA GOLD INC                                         | Yamana Gold Inc                                                                 | CUSIP: 98462YAD2<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |    710000 | PA      | $665984.77    | 0.08%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                     | PayPal Holdings Inc                                                             | CUSIP: 70450YAG8<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |   2510000 | PA      | $2332420.04   | 0.30%             | 2025-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management LLC                                 | CBAM 2017-1 Ltd                                                                 | CUSIP: 12480VAC9<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | KY        |    348860 | PA      | $345611.10    | 0.04%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272AH1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    840000 | PA      | $829414.01    | 0.11%             | 2024-04-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                             | OCP CLO 2014-5 Ltd                                                              | CUSIP: 67102SAL8<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $952785.80    | 0.12%             | 2031-04-26      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273RBD0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    610000 | PA      | $591352.72    | 0.07%             | 2025-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Cerberus                                                | Cerberus Loan Funding XXVIII LP                                                 | CUSIP: 15673EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500042 | PA      | $497939.51    | 0.06%             | 2031-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    420000 | PA      | $388653.40    | 0.05%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| API GROUP DE INC                                        | APi Group DE Inc                                                                | CUSIP: 00186XAB9<br>LEI: 549300XP4G7B4QYA0G83 | Long             | LON              | CORP              | US        |    741629 | PA      | $737765.57    | 0.09%             | 2026-10-01      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                 | GSK Consumer Healthcare Capital UK PLC                                          | CUSIP: 36264NAB0<br>LEI: 5493004B26DRJNN0OV17 | Long             | DBT              | CORP              | GB        |   1040000 | PA      | $989904.30    | 0.13%             | 2025-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust 2007-AR4                                          | CUSIP: 17311WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19631 | PA      | $18504.70     | 0.00%             | 2037-03-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135333 | PA      | $126353.76    | 0.02%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    540000 | PA      | $487053.00    | 0.06%             | N/A             | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                  | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2F7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   1110000 | PA      | $1056139.37   | 0.13%             | 2023-08-09      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| GREAT-WEST LIFECO US FI                                 | Great-West Lifeco US Finance 2020 LP                                            | CUSIP: 391399AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1451329.31   | 0.18%             | 2025-08-12      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA - CP                                 | BANCO SANTANDER SA - CP                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10500000 | PA      | $10435916.19  | 1.32%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                             | Cargill Inc                                                                     | CUSIP: 141781BL7<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    150000 | PA      | $146979.11    | 0.02%             | 2023-07-23      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78015K7G3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    710000 | PA      | $703940.03    | 0.09%             | 2023-04-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    840000 | PA      | $832330.77    | 0.11%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| D.R. HORTON INC                                         | DR Horton Inc                                                                   | CUSIP: 23331ABM0<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    880000 | PA      | $838550.77    | 0.11%             | 2024-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EKYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364128 | PA      | $370822.53    | 0.05%             | 2037-09-01      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fortress Credit BSL Limited                             | Fortress Credit Bsl X Ltd                                                       | CUSIP: 34962HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1990000 | PA      | $1939354.79   | 0.25%             | 2033-04-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                         | Allegro CLO XI Ltd                                                              | CUSIP: 01750HAA0<br>LEI: 2549008FHFGEJOVBP855 | Long             | ABS-CBDO         | CORP              | KY        |   1650000 | PA      | $1620047.48   | 0.21%             | 2033-01-19      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                  | SLM Private Credit Student Loan Trust 2005-A                                    | CUSIP: 78443CBV5<br>LEI: 549300ZTEFT8CS12SF95 | Long             | ABS-O            | CORP              | US        |   1090132 | PA      | $1039402.76   | 0.13%             | 2038-12-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172CQ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1906315.45   | 0.24%             | 2023-05-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                     | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1230155.49   | 0.16%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2020-TMIC                                                                  | CUSIP: 126390AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1346127.26   | 0.17%             | 2035-12-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 94973VBA4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    930000 | PA      | $929325.70    | 0.12%             | 2023-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $194091.88    | 0.02%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2020-R01                                    | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130639 | PA      | $129819.80    | 0.02%             | 2040-01-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                          | Chase Mortgage Finance Trust Series 2007-A1                                     | CUSIP: 161630AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6793 | PA      | $6228.86      | 0.00%             | 2037-02-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities                           | Thornburg Mortgage Securities Trust 2004-2                                      | CUSIP: 885220FH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    286845 | PA      | $258537.13    | 0.03%             | 2044-06-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                           | CGMS Commercial Mortgage Trust 2017-B1                                          | CUSIP: 17326CAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930000 | PA      | $852980.00    | 0.11%             | 2050-08-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9400000 | PA      | $8894750.00   | 1.13%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31385JJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8207 | PA      | $8275.06      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2D5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2110000 | PA      | $2032121.59   | 0.26%             | 2025-01-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                         | AREIT 2022-CRE6 Trust                                                           | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1254906 | PA      | $1197509.96   | 0.15%             | 2037-01-16      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31384VQK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2177 | PA      | $2212.33      | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 31326FRF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100999 | PA      | $101120.44    | 0.01%             | 2043-06-01      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2018-2                                                  | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15837 | PA      | $15550.18     | 0.00%             | 2048-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                            | Centene Corp                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    360000 | PA      | $338424.56    | 0.04%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                        | Bank of Montreal                                                                | CUSIP: 06367WHH9<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    690000 | PA      | $677364.44    | 0.09%             | 2024-02-05      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                 | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BM7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1157547.98   | 0.15%             | 2023-02-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                          | Structured Asset Sec Corp Mort Pass Thr Cert Ser 2002-3                         | CUSIP: 86358RWV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263166 | PA      | $294893.52    | 0.04%             | 2032-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR                                          | Qatar Government International Bond                                             | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    740000 | PA      | $736968.96    | 0.09%             | 2023-04-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CEX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17450000 | PA      | $17034199.31  | 2.16%             | 2024-06-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                | Pioneer Natural Resources Co                                                    | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   2480000 | PA      | $2213130.13   | 0.28%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                               | Nelnet Student Loan Trust 2014-6                                                | CUSIP: 64033RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286168 | PA      | $277388.65    | 0.04%             | 2052-11-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CN0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    290000 | PA      | $270933.67    | 0.03%             | 2027-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                    | Targa Resources Corp                                                            | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2061670.74   | 0.26%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BW5<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1980000 | PA      | $1865988.81   | 0.24%             | 2024-05-12      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl                          | Santander Drive Auto Receivables Trust 2021-2                                   | CUSIP: 80286XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    623227 | PA      | $621503.40    | 0.08%             | 2025-09-15      | Fixed         | 0.59%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   2770000 | PA      | $2651940.83   | 0.34%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBE2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    720000 | PA      | $700641.55    | 0.09%             | 2025-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SMRT                                                    | SMRT 2022-MINI                                                                  | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1290000 | PA      | $1246937.48   | 0.16%             | 2039-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66713.13     | 0.01%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308KE6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1172743.95   | 0.15%             | 2025-06-08      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2021-B31 Mortgage Trust                                               | CUSIP: 08163MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320000 | PA      | $1094148.92   | 0.14%             | 2054-12-15      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $417826.08    | 0.05%             | 2030-07-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJHZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2371555 | PA      | $2226148.12   | 0.28%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VFH PARENT LLC                                          | VFH Parent LLC                                                                  | CUSIP: 000000000<br>LEI: 549300FRO9M476YHHY64 | Long             | LON              | CORP              | US        |    500000 | PA      | $488250.00    | 0.06%             | 2029-01-13      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31384WD49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3866 | PA      | $4005.15      | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                             | Asurion LLC                                                                     | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    496222 | PA      | $435747.12    | 0.06%             | 2027-07-31      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                     | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBJ5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    430000 | PA      | $408120.96    | 0.05%             | 2024-09-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $98462.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                 | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAD3<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1500000 | PA      | $1469295.00   | 0.19%             | 2023-07-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CAB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4545000 | PA      | $4102040.03   | 0.52%             | 2025-07-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $972118.42    | 0.12%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                           | Citigroup Commercial Mortgage Trust 2013-375P                                   | CUSIP: 17320QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $309405.92    | 0.04%             | 2035-05-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1100000 | PA      | $-1041050.93  | -0.13%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RMJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4110000 | PA      | $3904876.31   | 0.49%             | 2024-03-25      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530000 | PA      | $462233.19    | 0.06%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36241LN69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18997 | PA      | $19999.45     | 0.00%             | 2036-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                          | Golub Capital Partners Clo 25M Ltd                                              | CUSIP: 38175NAA6<br>LEI: 254900XWTZJ46JGSP919 | Long             | ABS-CBDO         | CORP              | KY        |   1286529 | PA      | $1268888.05   | 0.16%             | 2030-05-05      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140AS9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1278972.83   | 0.16%             | 2025-07-29      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                 | CUSIP: 37045XCX2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2820000 | PA      | $2642367.81   | 0.33%             | 2025-06-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                              | 3M Co                                                                           | CUSIP: 88579YBB6<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2110908.98   | 0.27%             | 2024-02-14      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3319444.75   | 0.42%             | 2025-04-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                 | Astrazeneca Finance LLC                                                         | CUSIP: 04636NAC7<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |   3420000 | PA      | $3225181.17   | 0.41%             | 2024-05-28      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2019-BPR                                         | CUSIP: 61769GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    587447 | PA      | $562294.20    | 0.07%             | 2036-05-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                             | STWD Trust 2021-FLWR                                                            | CUSIP: 78485GAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2068130.46   | 0.26%             | 2036-07-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -696 | NC      | $847876.28    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    487753 | PA      | $482789.28    | 0.06%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590000 | PA      | $583838.16    | 0.07%             | 2042-04-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                | New York Life Global Funding                                                    | CUSIP: 64952WDQ3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    940000 | PA      | $852016.93    | 0.11%             | 2025-06-24      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Student Loan Trust 2016-6                                               | CUSIP: 63940LAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1940000 | PA      | $1913168.05   | 0.24%             | 2066-03-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                             | SREIT Trust 2021-PALM                                                           | CUSIP: 85237AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1582626.21   | 0.20%             | 2034-10-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26179 | PA      | $27623.31     | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                             | Swedbank AB                                                                     | CUSIP: 87020PAQ0<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |   4390000 | PA      | $4223062.35   | 0.53%             | 2025-04-04      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31386X4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11954 | PA      | $12016.42     | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                     | Midocean Credit CLO IX                                                          | CUSIP: 59802MAE7<br>LEI: 549300XXQYQPW7OQNX23 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1691904.12   | 0.21%             | 2031-07-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BQ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    650000 | PA      | $594136.37    | 0.08%             | 2025-06-03      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1100000 | PA      | $1041050.93   | 0.13%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur                          | Banc of America Mortgage 2003-C Trust                                           | CUSIP: 0605067Q9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17884 | PA      | $3329.17      | 0.00%             | 2033-04-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179QGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36588 | PA      | $34349.52     | 0.00%             | 2044-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing LLC                                                     | CUSIP: 42806MAA7<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1155990.63   | 0.15%             | 2025-12-26      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $581396.92    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CR4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $1981848.50   | 0.25%             | 2026-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CORP                                       | Toyota Motor Corp                                                               | CUSIP: 892331AL3<br>LEI: 5493006W3QUS5LMH6R84 | Long             | DBT              | CORP              | JP        |   3860000 | PA      | $3663240.32   | 0.46%             | 2024-03-25      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31390PM38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12459 | PA      | $12503.31     | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                     | LCM XVIII LP                                                                    | CUSIP: 50188QAJ0<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |     53899 | PA      | $53804.15     | 0.01%             | 2027-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T                          | Ready Capital Mortgage Financing 2021-FL7 LLC                                   | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1621117 | PA      | $1555237.07   | 0.20%             | 2036-11-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PCP5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    420000 | PA      | $410983.55    | 0.05%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Zais CLO 13, Limited                                    | Zais Clo 13 Ltd                                                                 | CUSIP: 98876NAA2<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $271130.84    | 0.03%             | 2032-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VEN0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $2007228.24   | 0.25%             | 2025-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPER                             | Charter Communications Operating LLC                                            | CUSIP: 16117LBW8<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |    496094 | PA      | $494620.36    | 0.06%             | 2025-04-30      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23896 | PA      | $22180.80     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                         | CUSIP: 44891ABM8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2084309.18   | 0.26%             | 2023-09-18      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                           | CommScope Inc                                                                   | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |     40000 | PA      | $32323.00     | 0.00%             | 2029-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REK6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    980000 | PA      | $816497.09    | 0.10%             | 2027-08-20      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2019-6                                      | CUSIP: 64828GAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    537996 | PA      | $497329.61    | 0.06%             | 2059-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP / CAYMN FI                                 | Broadcom Corp / Broadcom Cayman Finance Ltd                                     | CUSIP: 11134LAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    790000 | PA      | $776781.68    | 0.10%             | 2024-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2018-1                               | CUSIP: 35563PES4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    676673 | PA      | $612601.54    | 0.08%             | 2057-05-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                             | Target Corp                                                                     | CUSIP: 87612EBL9<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |    800000 | PA      | $759629.83    | 0.10%             | 2025-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31384VWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3167 | PA      | $3227.47      | 0.00%             | 2030-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO XIX Ltd                                                            | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $255130.00    | 0.03%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1197504.26   | 0.15%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    917448 | PA      | $835771.01    | 0.11%             | 2038-10-15      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1455486.47   | 0.18%             | 2025-04-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH                  | CUSIP: 46654EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320000 | PA      | $1237894.02   | 0.16%             | 2038-06-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                      | Whitebox Clo I Ltd                                                              | CUSIP: 96467FAJ9<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |   2040000 | PA      | $1997312.94   | 0.25%             | 2032-07-24      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 86359BLE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51263 | PA      | $47569.95     | 0.01%             | 2034-03-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    824663 | PA      | $704539.01    | 0.09%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                        | NTT Finance Corp                                                                | CUSIP: 62954WAB1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   2760000 | PA      | $2617601.19   | 0.33%             | 2024-03-01      | Fixed         | 0.58%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1510000 | PA      | $1370594.20   | 0.17%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAG0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $198954.31    | 0.03%             | 2023-04-12      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74518 | PA      | $73984.62     | 0.01%             | 2062-10-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                 | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BV7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2114811.72   | 0.27%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    532016 | PA      | $527099.31    | 0.07%             | 2058-08-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                               | Apple Inc                                                                       | CUSIP: 037833DT4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $2165587.86   | 0.27%             | 2025-05-11      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                   | Vale Overseas Ltd                                                               | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    751000 | PA      | $794098.39    | 0.10%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1811359.63   | 0.23%             | 2024-03-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Greenwood Park CLO, Ltd                                 | Greenwood Park CLO Ltd                                                          | CUSIP: 39729RAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491197.29    | 0.06%             | 2031-04-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BS2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    640000 | PA      | $581768.01    | 0.07%             | 2025-07-17      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DE7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   3630000 | PA      | $3489271.62   | 0.44%             | 2024-08-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                          | Golub Capital Partners CLO 54M L.P                                              | CUSIP: 381743AA1<br>LEI: 2549007JA1TZWEDGPD41 | Long             | ABS-CBDO         | CORP              | KY        |   1980000 | PA      | $1906083.20   | 0.24%             | 2033-08-05      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                          | Countrywide Asset-Backed Certificates                                           | CUSIP: 126671RX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000 | PA      | $1732.09      | 0.00%             | 2032-05-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                          | Galaxy XXVI CLO Ltd                                                             | CUSIP: 36321LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $444423.41    | 0.06%             | 2031-11-22      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                     | SG Residential Mortgage Trust 2022-1                                            | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1384372 | PA      | $1244019.59   | 0.16%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                       | EOG Resources Inc                                                               | CUSIP: 26875PAK7<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1035996.71   | 0.13%             | 2023-03-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1196435.60   | 0.15%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R07                                    | CUSIP: 20753WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54329 | PA      | $54203.09     | 0.01%             | 2039-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                             | Workday Inc                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   3240000 | PA      | $3032900.85   | 0.38%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -200000 | PA      | $-194045.01   | -0.02%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6310000 | PA      | $6267834.31   | 0.79%             | 2024-01-25      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-CIP                                           | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320000 | PA      | $1275800.99   | 0.16%             | 2038-12-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2C6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3770000 | PA      | $3720356.79   | 0.47%             | 2024-01-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCC22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    954542 | PA      | $886544.55    | 0.11%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                  | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2D2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    940000 | PA      | $918325.26    | 0.12%             | 2023-05-05      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579SU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6560 | PA      | $5893.90      | 0.00%             | 2035-06-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                                    | Mercedes-Benz Finance North America LLC                                         | CUSIP: 233851EB6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1510408.94   | 0.19%             | 2024-03-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| TORONTO DOMINION BAN CP                                 | TORONTO DOMINION BAN CP                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12650000 | PA      | $12576950.42  | 1.59%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79677 | PA      | $76413.70     | 0.01%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                             | Walmart Inc                                                                     | CUSIP: 931142ER0<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    660000 | PA      | $585341.17    | 0.07%             | 2026-09-17      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                       | Nexstar Media Inc                                                               | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |    487641 | PA      | $484531.84    | 0.06%             | 2026-09-18      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XBL8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1029434.55   | 0.13%             | 2023-09-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $163662.42    | 0.02%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                                  | National Securities Clearing Corp                                               | CUSIP: 637639AA3<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1039243.03   | 0.13%             | 2023-04-23      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                  | Sequoia Mortgage Trust 2003-2                                                   | CUSIP: 81743PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91473 | PA      | $86051.98     | 0.01%             | 2033-06-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36210FXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4231 | PA      | $4343.69      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2020-RPL4 Trust                                                            | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307121 | PA      | $273880.26    | 0.03%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GENESEE & WYOMING INC                                   | Genesee & Wyoming Inc                                                           | CUSIP: 55316HAB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |    744275 | PA      | $741346.08    | 0.09%             | 2026-12-30      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                   | DB Master Finance LLC                                                           | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   1306800 | PA      | $1010621.49   | 0.13%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X8SG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152859 | PA      | $130941.02    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTIO                                | Caesars Resort Collection LLC                                                   | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |    385278 | PA      | $384908.29    | 0.05%             | 2024-12-22      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2017-2                                      | CUSIP: 64829KAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330084 | PA      | $305990.02    | 0.04%             | 2057-03-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust                  | CUSIP: 92925CBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21389 | PA      | $19509.83     | 0.00%             | 2045-12-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFB5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    230000 | PA      | $219322.99    | 0.03%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B57A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194002 | PA      | $172717.17    | 0.02%             | 2029-09-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2022-NQM2                                   | CUSIP: 64831MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1264656 | PA      | $1130178.42   | 0.14%             | 2062-03-27      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| KCAP Senior Funding I LLC                               | Great Lakes Kcap F3c Senior LLC                                                 | CUSIP: 48669RAA9<br>LEI: 5493006EPGSPYDWRRN21 | Long             | ABS-CBDO         | CORP              | US        |   1358633 | PA      | $1356003.07   | 0.17%             | 2029-12-20      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2005-56                                                  | CUSIP: 12668AHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65117 | PA      | $56511.36     | 0.01%             | 2035-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                                | Principal Life Global Funding II                                                | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $54623.06     | 0.01%             | 2025-06-23      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    493269 | PA      | $472492.47    | 0.06%             | 2053-01-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2003-AR5 Trust                   | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14279 | PA      | $13289.71     | 0.00%             | 2033-06-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                  | SLM Private Credit Student Loan Trust 2006-A                                    | CUSIP: 78443CCL6<br>LEI: 549300I2YWZ9E1B0EY33 | Long             | ABS-O            | CORP              | US        |    782421 | PA      | $737172.45    | 0.09%             | 2039-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 31329KUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    945088 | PA      | $877732.87    | 0.11%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Parliament Funding II Ltd                               | Parliament Funding II ltd                                                       | CUSIP: 70163QAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1927075.82   | 0.24%             | 2031-10-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                                | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    538000 | PA      | $540673.86    | 0.07%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CM2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    870000 | PA      | $834518.69    | 0.11%             | 2025-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31371HYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1693 | PA      | $1732.74      | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ENRGY TRANS LP/REG FIN                                  | Energy Transfer LP / Regency Energy Finance Corp                                | CUSIP: 75886AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2170000 | PA      | $2154848.17   | 0.27%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    736133 | PA      | $728639.74    | 0.09%             | 2062-12-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135CE4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    770000 | PA      | $743685.09    | 0.09%             | 2025-04-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGG3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1123593.64   | 0.14%             | 2026-03-20      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 96950FAL8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1141914.55   | 0.14%             | 2023-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   2890000 | PA      | $2724664.72   | 0.35%             | 2025-05-06      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO XVIII Ltd                                                          | CUSIP: 87154GAY1<br>LEI: 549300JQYSBIW1AM8R32 | Long             | ABS-CBDO         | CORP              | KY        |   1040000 | PA      | $1000619.06   | 0.13%             | 2033-07-23      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31298GG87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19361 | PA      | $19428.25     | 0.00%             | 2031-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $24364.62     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257010 | PA      | $238703.26    | 0.03%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31386QFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       237 | PA      | $236.26       | 0.00%             | 2031-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636ABD2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   3680000 | PA      | $3567489.74   | 0.45%             | 2025-03-28      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                                             | KeyBank NA/Cleveland OH                                                         | CUSIP: 49327M3A0<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1409816.95   | 0.18%             | 2024-01-03      | Fixed         | 0.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XASE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86826 | PA      | $74270.86     | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    327394 | PA      | $323588.29    | 0.04%             | 2063-03-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                     | Bank of Nova Scotia/The                                                         | CUSIP: 064159VL7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1310000 | PA      | $1201425.81   | 0.15%             | 2025-06-11      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                                 | Halsey Point CLO I Ltd                                                          | CUSIP: 406375AA3<br>LEI: 549300POBLM5RW6LD816 | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $1328889.90   | 0.17%             | 2033-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92081 | PA      | $75655.50     | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                       | TSMC Arizona Corp                                                               | CUSIP: 872898AA9<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1027488.86   | 0.13%             | 2026-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    980000 | PA      | $975005.54    | 0.12%             | 2023-05-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8F48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31060 | PA      | $28626.93     | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PDE3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1418513.50   | 0.18%             | 2025-06-14      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XX                          | Octagon Investment Partners XXI Ltd                                             | CUSIP: 67590QBK2<br>LEI: 549300XIS9D4AHDX5A35 | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $255759.74    | 0.03%             | 2031-02-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| GCI Funding I LLC                                       | GCI Funding I LLC                                                               | CUSIP: 36166VAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586314 | PA      | $499277.77    | 0.06%             | 2046-06-18      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2022-BNK39                                                                 | CUSIP: 06539VAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  60754819 | PA      | $1774210.82   | 0.22%             | 2055-02-15      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA                                   | Petroleos del Peru SA                                                           | CUSIP: 716564AA7<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |   1210000 | PA      | $937387.00    | 0.12%             | 2032-06-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                            | Chevron Corp                                                                    | CUSIP: 166764BW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2540000 | PA      | $2365091.59   | 0.30%             | 2025-05-11      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49378 | PA      | $45254.76     | 0.01%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                                        | GREYWOLF CLO VI Ltd                                                             | CUSIP: 39809GAC9<br>LEI: 5493006V5AX99BBCEZ73 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $627422.72    | 0.08%             | 2031-04-26      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QP4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6096444 | PA      | $6121381.63   | 0.78%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-SDMF                                                              | CUSIP: 12434CAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1082689.22   | 0.14%             | 2034-09-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXE9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   6190000 | PA      | $6085635.80   | 0.77%             | 2024-02-20      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75505 | PA      | $65514.77     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   4320000 | PA      | $3937727.52   | 0.50%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   3370000 | PA      | $3434369.09   | 0.44%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL INDU                                | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $905149.74    | 0.11%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Grippen Park CLO LTD                                    | Grippen Park CLO Ltd                                                            | CUSIP: 39862EAC8<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $725229.44    | 0.09%             | 2030-01-20      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39940.15     | 0.01%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                     | American International Group Inc                                                | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56539.85     | 0.01%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2E3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1610000 | PA      | $1606146.53   | 0.20%             | 2023-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                  | Marriott International Inc/MD                                                   | CUSIP: 571900BB4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1205986.93   | 0.15%             | 2024-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    970000 | PA      | $891454.21    | 0.11%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45925 | PA      | $42093.10     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2530000 | PA      | $2493185.89   | 0.32%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NL1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1436581.54   | 0.18%             | 2026-03-17      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                 | Shell International Finance BV                                                  | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |   2460000 | PA      | $2319622.12   | 0.29%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912828ZT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $18159.38     | 0.00%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                | Pioneer Natural Resources Co                                                    | CUSIP: 723787AU1<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1209924.84   | 0.15%             | 2023-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                        | Ocean Trails CLO VII                                                            | CUSIP: 67515WDG8<br>LEI: 549300D1D91PFKUUCT75 | Long             | ABS-CBDO         | CORP              | KY        |   1520744 | PA      | $1498427.29   | 0.19%             | 2030-04-17      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636AAW1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1100000 | PA      | $1027523.07   | 0.13%             | 2024-06-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65890 | PA      | $65406.63     | 0.01%             | 2061-02-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                  | Asian Development Bank                                                          | CUSIP: 045167FH1<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | NUSS              | N/A       |    830000 | PA      | $747465.19    | 0.09%             | 2027-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 47                          | Octagon Investment Partners 47 Ltd                                              | CUSIP: 67576XAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $731598.45    | 0.09%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                   | KKR CLO 21 Ltd                                                                  | CUSIP: 48252KAA7<br>LEI: 5493008X0MRR4A6VYF15 | Long             | ABS-CBDO         | CORP              | KY        |    460000 | PA      | $451964.28    | 0.06%             | 2031-04-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Bravo Mortgage Asset Trust                              | Bravo Mortgage Asset Trust                                                      | CUSIP: 105667AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749500 | PA      | $636749.55    | 0.08%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1060000 | PA      | $971204.17    | 0.12%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4940000 | PA      | $4763618.09   | 0.60%             | 2025-09-29      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                 | XPO Inc                                                                         | CUSIP: 983793AH3<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |     22000 | PA      | $22299.16     | 0.00%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-448190.32   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   8440000 | PA      | $7607672.44   | 0.96%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                             | SREIT Trust 2021-MFP2                                                           | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1397750.85   | 0.18%             | 2036-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    780000 | PA      | $772518.61    | 0.10%             | 2025-01-10      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2522529.00   | 0.32%             | 2027-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                         | Allegro CLO II-S Ltd                                                            | CUSIP: 01751EAC2<br>LEI: 635400R1GOVCHJ4SNX58 | Long             | ABS-CBDO         | CORP              | KY        |   1012723 | PA      | $1000190.47   | 0.13%             | 2028-10-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9210000 | PA      | $9244537.50   | 1.17%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32                     | CUSIP: 61691GAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210893 | PA      | $201990.15    | 0.03%             | 2049-12-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                          | Enterprise Fleet Financing 2022-3 LLC                                           | CUSIP: 29374FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1130000 | PA      | $1105428.04   | 0.14%             | 2029-07-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust 2017-C4                                           | CUSIP: 90276RBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1330000 | PA      | $1224960.19   | 0.16%             | 2050-10-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| MBRT 2019 MBR                                           | MBRT 2019-MBR                                                                   | CUSIP: 55282DBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $596352.75    | 0.08%             | 2036-11-15      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BV5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1620000 | PA      | $1563941.03   | 0.20%             | 2024-09-15      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4380000 | PA      | $4073939.22   | 0.52%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Grippen Park CLO LTD                                    | Grippen Park CLO Ltd                                                            | CUSIP: 39862EAA2<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |   1199446 | PA      | $1187135.51   | 0.15%             | 2030-01-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1314862.64   | 0.17%             | 2024-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                           | Ballyrock CLO 2019-2 Ltd                                                        | CUSIP: 05875MAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    490000 | PA      | $477275.44    | 0.06%             | 2030-11-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3840000 | PA      | $3825812.54   | 0.48%             | 2024-03-05      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $196552.57    | 0.02%             | 2031-01-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                   | REYNOLDS AMERICAN INC                                                           | CUSIP: 761713AY2<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |   2290000 | PA      | $2285633.75   | 0.29%             | 2023-09-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust                          | WMRK Commercial Mortgage Trust 2022-WMRK                                        | CUSIP: 929342AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2070000 | PA      | $2068176.95   | 0.26%             | 2027-11-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                     | Bank of Nova Scotia/The                                                         | CUSIP: 064159VM5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1300000 | PA      | $1276001.61   | 0.16%             | 2023-06-15      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCC2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    510000 | PA      | $485712.25    | 0.06%             | 2024-01-12      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                          | JP Morgan Mortgage Acquisition Trust 2007-CH2                                   | CUSIP: 46630MAY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420000 | PA      | $402296.79    | 0.05%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    940000 | PA      | $914954.47    | 0.12%             | 2025-09-24      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica                          | ABFC 2003-OPT1 Trust                                                            | CUSIP: 04542BDG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490227 | PA      | $451870.87    | 0.06%             | 2033-04-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                          | Golub Capital Partners Clo 47M Ltd                                              | CUSIP: 38176VAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1080000 | PA      | $1042765.25   | 0.13%             | 2032-05-05      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    128998 | PA      | $132438.73    | 0.02%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                          | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481384 | PA      | $372641.00    | 0.05%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2017-BNK9                                                                  | CUSIP: 06540RAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1279989 | PA      | $1223409.76   | 0.15%             | 2054-11-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   6300000 | PA      | $6199264.20   | 0.79%             | 2024-06-02      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                     | Midocean Credit Clo VIII                                                        | CUSIP: 59801MAL2<br>LEI: 549300T32RO3I7BJ4V26 | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1278011.55   | 0.16%             | 2031-02-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                         | Nordea Bank Abp                                                                 | CUSIP: 65559CAC5<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   1050000 | PA      | $983304.20    | 0.12%             | 2024-05-24      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDY7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    940000 | PA      | $853213.56    | 0.11%             | 2027-02-20      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2022-CLS                                                               | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1630000 | PA      | $1599110.85   | 0.20%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| TRP LLC                                                 | TRP 2021 LLC                                                                    | CUSIP: 87267CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    907742 | PA      | $762314.65    | 0.10%             | 2051-06-19      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9MD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    940834 | PA      | $873880.44    | 0.11%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 31329KUV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    908082 | PA      | $843342.82    | 0.11%             | 2035-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132AEFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71331 | PA      | $69021.52     | 0.01%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                    | OHA Loan Funding 2013-2 Ltd                                                     | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    240000 | PA      | $236433.59    | 0.03%             | 2031-05-23      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8FW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28672 | PA      | $26656.36     | 0.00%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                 | CUSIP: 37045XBW5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1049452.12   | 0.13%             | 2024-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3070000 | PA      | $2986466.80   | 0.38%             | 2026-04-25      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                  | SLM Student Loan Trust 2005-8                                                   | CUSIP: 78442GQS8<br>LEI: 549300FBYELJTA2VHZ52 | Long             | ABS-O            | CORP              | US        |   1344381 | PA      | $1276980.43   | 0.16%             | 2040-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                | DSLA Mortgage Loan Trust 2005-AR1                                               | CUSIP: 23332UCM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10906 | PA      | $10516.60     | 0.00%             | 2045-02-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MED Trust                                               | Med Trust 2021-MDLN                                                             | CUSIP: 58403YAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980000 | PA      | $912584.23    | 0.12%             | 2038-11-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                  | American Honda Finance Corp                                                     | CUSIP: 02665WCZ2<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   2530000 | PA      | $2439068.69   | 0.31%             | 2024-06-27      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AN1<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    860000 | PA      | $837689.27    | 0.11%             | 2024-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M2EC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90590 | PA      | $74652.00     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ABPCI Direct Lending Fund CLO                           | ABPCI Direct Lending Fund CLO X LP                                              | CUSIP: 000848AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    980000 | PA      | $965815.82    | 0.12%             | 2032-01-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280BZ1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1160000 | PA      | $1128203.32   | 0.14%             | 2025-03-11      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                          | Structured Asset Securities Corp Trust 2005-SC1                                 | CUSIP: 86359DTG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483677 | PA      | $389747.62    | 0.05%             | 2031-05-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2022-R04                                    | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $538739.32    | 0.07%             | 2042-03-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1008609.08   | 0.13%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1083504.93   | 0.14%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36208A7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210289 | PA      | $211144.54    | 0.03%             | 2060-02-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                             | Extended Stay America Trust 2021-ESH                                            | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1386193 | PA      | $1348315.50   | 0.17%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38382YSC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2427297 | PA      | $2351058.44   | 0.30%             | 2072-04-20      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                           | MASTR Reperforming Loan Trust 2005-1                                            | CUSIP: 576436AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7999 | PA      | $6089.54      | 0.00%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR4 Trust                   | CUSIP: 92922FG77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11013 | PA      | $10104.03     | 0.00%             | 2035-04-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1230000 | PA      | $1072914.24   | 0.14%             | 2027-08-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375B3N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33962 | PA      | $33691.94     | 0.00%             | 2063-06-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden 80 CLO Ltd                                                               | CUSIP: 26245JAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1710000 | PA      | $1605773.08   | 0.20%             | 2033-01-17      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VAE0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1842915.65   | 0.23%             | 2023-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                | Foundation Finance Trust 2021-1                                                 | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |    411418 | PA      | $368246.96    | 0.05%             | 2041-05-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7063 | PA      | $6800.50      | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 2 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1146 | NC      | $-262476.97   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38382YGG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2482919 | PA      | $2433413.18   | 0.31%             | 2071-09-20      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Remic Trust 2020-DNA2                                         | CUSIP: 35565KAH1<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |    167406 | PA      | $167135.03    | 0.02%             | 2050-02-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZT4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    720000 | PA      | $694572.12    | 0.09%             | 2027-06-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31505 | PA      | $31254.71     | 0.00%             | 2063-05-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFL3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1138277.63   | 0.14%             | 2025-09-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHR3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    840000 | PA      | $818096.88    | 0.10%             | 2025-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE                                | Caterpillar Financial Services Corp                                             | CUSIP: 14913R2L0<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   2960000 | PA      | $2789865.36   | 0.35%             | 2024-05-17      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                               | BPR Trust 2021-TY                                                               | CUSIP: 05592AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990000 | PA      | $912434.69    | 0.12%             | 2038-09-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    770000 | PA      | $709717.65    | 0.09%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HUDSON RIVER TRADING LLC                                | Hudson River Trading LLC                                                        | CUSIP: 44413EAF5<br>LEI: 549300SMOBUC8O5UOE10 | Long             | LON              | CORP              | US        |    744332 | PA      | $705720.24    | 0.09%             | 2028-03-18      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                          | Ellington Financial Mortgage Trust 2022-1                                       | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1158679 | PA      | $974758.79    | 0.12%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VAZ6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1920000 | PA      | $1914566.63   | 0.24%             | 2023-03-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   8720000 | PA      | $8102171.78   | 1.03%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                                  | Mondelez International Inc                                                      | CUSIP: 609207AU9<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    230000 | PA      | $213035.96    | 0.03%             | 2025-05-04      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                     | Southern California Edison Co                                                   | CUSIP: 842400HK2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1094787.39   | 0.14%             | 2024-08-01      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                 | Home Equity Asset Trust 2005-6                                                  | CUSIP: 437084NG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $350975.52    | 0.04%             | 2035-12-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124818 | PA      | $123816.04    | 0.02%             | 2061-02-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBE3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   1340000 | PA      | $1195970.70   | 0.15%             | 2026-12-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                          | Air Lease Corp                                                                  | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   3030000 | PA      | $2635408.19   | 0.33%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    527885 | PA      | $461601.45    | 0.06%             | 2053-01-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   4320000 | PA      | $4168588.62   | 0.53%             | 2026-02-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                                 | Luminent Mortgage Trust 2006-7                                                  | CUSIP: 55028BAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17670 | PA      | $17900.23     | 0.00%             | 2036-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                          | Structured Asset Securities Corp                                                | CUSIP: 86359BYT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5459 | PA      | $4726.92      | 0.00%             | 2029-12-25      | Variable      | 7.90%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HHV5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    795000 | PA      | $781139.71    | 0.10%             | 2024-02-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        26 | NC      | $9425.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TCI-Flatiron CLO Ltd                                    | TCI-Flatiron CLO 2016-1 Ltd                                                     | CUSIP: 87230AAW6<br>LEI: 549300EEOTVLW827QY91 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1185365.30   | 0.15%             | 2032-01-17      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3112511 | PA      | $3091430.27   | 0.39%             | 2038-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    970000 | PA      | $811657.78    | 0.10%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                      | Whitebox Clo II Ltd                                                             | CUSIP: 96466CAL2<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |    610000 | PA      | $589195.34    | 0.07%             | 2034-10-24      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                     | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAH4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1220000 | PA      | $1175105.33   | 0.15%             | 2025-04-11      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $194045.01    | 0.02%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    390000 | PA      | $363239.18    | 0.05%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35862 | PA      | $32864.82     | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                  | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     46000 | PA      | $43342.82     | 0.01%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                     | Suzano Austria GmbH                                                             | CUSIP: 05674XAA9<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    990000 | PA      | $994346.76    | 0.13%             | 2026-07-14      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                           | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31392W7B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40755 | PA      | $41788.66     | 0.01%             | 2043-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Cerberus                                                | CERBERUS LOAN FUNDING XXVII LP                                                  | CUSIP: 15673FAA8<br>LEI: 5493006EIGNTETP6G413 | Long             | ABS-CBDO         | CORP              | KY        |    470000 | PA      | $464630.55    | 0.06%             | 2032-01-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru                          | Tharaldson Hotel Portfolio Trust 2018-THPT                                      | CUSIP: 88327HAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    793879 | PA      | $747558.70    | 0.09%             | 2034-11-11      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                              | Federal National Mortgage Association                                           | CUSIP: 3135G05X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   1010000 | PA      | $911138.79    | 0.12%             | 2025-08-25      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VAA8<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   3380000 | PA      | $3278720.23   | 0.42%             | 2025-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31387N3S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       597 | PA      | $604.26       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corportation Trust 2021-IP                               | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990000 | PA      | $925243.41    | 0.12%             | 2036-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7390 | PA      | $6909.43      | 0.00%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                               | CFK Trust 2020-MF2                                                              | CUSIP: 12529AAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $992670.99    | 0.13%             | 2039-03-15      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                      | Credit Agricole SA                                                              | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   2030000 | PA      | $1777488.83   | 0.23%             | 2027-01-26      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                          | Option One Mortgage Loan Trust 2007-FXD1                                        | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395674 | PA      | $332684.94    | 0.04%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    900000 | PA      | $877043.52    | 0.11%             | 2028-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                         | Impac CMB Trust Series 2007-A                                                   | CUSIP: 452550AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41014 | PA      | $38241.39     | 0.00%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    848257 | PA      | $721288.59    | 0.09%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                      | BMW US Capital LLC                                                              | CUSIP: 05565EBQ7<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1384856.92   | 0.18%             | 2024-04-01      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89114TZA3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   2820000 | PA      | $2767563.71   | 0.35%             | 2023-06-02      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BP0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    300000 | PA      | $294584.32    | 0.04%             | 2023-06-03      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                            | CD 2016-CD2 Mortgage Trust                                                      | CUSIP: 12515ABE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960000 | PA      | $893479.30    | 0.11%             | 2049-11-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                     | Delta Air Lines Inc                                                             | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1022848.41   | 0.13%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                       | Kinder Morgan Inc                                                               | CUSIP: 49456BAF8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1757081.49   | 0.22%             | 2025-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 96950FAM6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1284877.00   | 0.16%             | 2024-03-04      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION                                | Vertiv Group Corp                                                               | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    100000 | PA      | $85118.00     | 0.01%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                           | DISH DBS Corp                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $84421.00     | 0.01%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                | Microchip Technology Inc                                                        | CUSIP: 595017AP9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1334502.09   | 0.17%             | 2023-06-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2020-DNA6                                         | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140939 | PA      | $1133690.49   | 0.14%             | 2050-12-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2022-PSB                                                               | CUSIP: 05606DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1621243 | PA      | $1620079.56   | 0.21%             | 2039-08-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CCG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19260000 | PA      | $18078820.41  | 2.29%             | 2024-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CCG Receivables Trust                                   | CCG Receivables Trust 2021-2                                                    | CUSIP: 12511EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1690232 | PA      | $1614779.41   | 0.20%             | 2029-03-14      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2017-ASHF                                        | CUSIP: 61691KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299326 | PA      | $290085.78    | 0.04%             | 2034-11-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                       | Sonic Capital LLC                                                               | CUSIP: 83546DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87900 | PA      | $78345.76     | 0.01%             | 2050-01-20      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XB4B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486839 | PA      | $457003.20    | 0.06%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        84 | NC      | $91231.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | MSC Trust 2021-ILP                                                              | CUSIP: 62479WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1654529 | PA      | $1592821.89   | 0.20%             | 2023-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                          | Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4                  | CUSIP: 86361NAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355307 | PA      | $346578.02    | 0.04%             | 2036-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                  | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607GRK2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   3070000 | PA      | $3013285.43   | 0.38%             | 2023-06-23      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31387EKT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1502 | PA      | $1528.75      | 0.00%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                     | Carrier Global Corp                                                             | CUSIP: 14448CAN4<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     62000 | PA      | $58449.32     | 0.01%             | 2025-02-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114113 | PA      | $112217.12    | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                  | SLM Student Loan Trust 2003-4                                                   | CUSIP: 78442GGD2<br>LEI: 549300JLVVUXV7DNSJ85 | Long             | ABS-O            | CORP              | US        |     37164 | PA      | $36630.96     | 0.00%             | 2033-03-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25109 | PA      | $24396.53     | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                          | Golub Capital Partners Clo 36m Ltd                                              | CUSIP: 38175BAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1270000 | PA      | $1218331.19   | 0.15%             | 2031-02-05      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68528 | PA      | $58266.90     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                    | Tencent Holdings Ltd                                                            | CUSIP: 88032XAE4<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    710000 | PA      | $709388.91    | 0.09%             | 2023-01-19      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1200000 | PA      | $1114778.38   | 0.14%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                                | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133ENJ84<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    830000 | PA      | $812875.90    | 0.10%             | 2024-08-26      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                          | Air Lease Corp                                                                  | CUSIP: 00914AAL6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1795538.65   | 0.23%             | 2024-02-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                 | Procter & Gamble Co/The                                                         | CUSIP: 742718FG9<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28139.19     | 0.00%             | 2027-03-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| PILOT TRAVEL CENTERS LLC                                | Pilot Travel Centers LLC                                                        | CUSIP: 72165NBH1<br>LEI: 549300115UILLXNE1Z49 | Long             | LON              | CORP              | US        |    742481 | PA      | $735334.82    | 0.09%             | 2028-08-06      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                             | SREIT Trust 2021-MFP                                                            | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1589411.18   | 0.20%             | 2038-11-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                           | UBS AG/London                                                                   | CUSIP: 902674YK0<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |   1000000 | PA      | $932428.71    | 0.12%             | 2024-08-09      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGF5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1480675.89   | 0.19%             | 2024-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA1                                         | CUSIP: 35564KAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191905 | PA      | $187483.99    | 0.02%             | 2051-01-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                           | DISH DBS Corp                                                                   | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $232823.47    | 0.03%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                | NIKE Inc                                                                        | CUSIP: 654106AH6<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    730000 | PA      | $697875.26    | 0.09%             | 2025-03-27      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                                       | JP Morgan Resecuritization Trust Series 2009-10                                 | CUSIP: 46634ACP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1654241 | PA      | $742678.22    | 0.09%             | 2037-02-26      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                       | L3Harris Technologies Inc                                                       | CUSIP: 502431AJ8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    810000 | PA      | $805391.38    | 0.10%             | 2023-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    280000 | PA      | $264415.44    | 0.03%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                     | Bank of Nova Scotia/The                                                         | CUSIP: 0641593U8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    650000 | PA      | $575472.18    | 0.07%             | 2026-03-02      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2022-LBA6                                                              | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1290000 | PA      | $1248516.44   | 0.16%             | 2039-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73949 | PA      | $72669.72     | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OPG Trust                                               | OPG Trust 2021-PORT                                                             | CUSIP: 67118AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    904694 | PA      | $865735.02    | 0.11%             | 2036-10-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5696 | PA      | $5472.99      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31371FSZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       417 | PA      | $419.75       | 0.00%             | 2027-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MEY6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    660000 | PA      | $642448.20    | 0.08%             | 2026-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDH4<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   2830000 | PA      | $2547059.06   | 0.32%             | 2026-06-24      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2970000 | PA      | $2847420.82   | 0.36%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDR0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    460000 | PA      | $442629.49    | 0.06%             | 2024-08-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                          | JPMDB Commercial Mortgage Securities Trust 2017-C7                              | CUSIP: 46648KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    893000 | PA      | $821556.52    | 0.10%             | 2050-10-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust                             | SMR 2022-IND Mortgage Trust                                                     | CUSIP: 78458MAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1543345 | PA      | $1432145.69   | 0.18%             | 2039-02-15      | Floating      | 10.34%                | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Trust                           | Wells Fargo Home Equity Asset-Backed Securities 2005-4 Trust                    | CUSIP: 9497EUAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340000 | PA      | $1202487.32   | 0.15%             | 2036-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                                 | Schlumberger Holdings Corp                                                      | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |    500000 | PA      | $466768.82    | 0.06%             | 2028-05-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Goldentree Loan Opportunities                           | GoldenTree Loan Opportunities IX Ltd                                            | CUSIP: 38123HAN4<br>LEI: 549300IOBSI2NBFBJX90 | Long             | ABS-CBDO         | CORP              | KY        |    551382 | PA      | $547017.03    | 0.07%             | 2029-10-29      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| LUKOIL INTL FINANCE BV                                  | Lukoil International Finance BV                                                 | CUSIP: 549876AL4<br>LEI: 724500LG1GUKJ5TOIW61 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $804000.00    | 0.10%             | 2026-11-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBZ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3661390.09   | 0.46%             | 2024-03-16      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2019-1                               | CUSIP: 35563PJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040000 | PA      | $911396.30    | 0.12%             | 2058-07-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384484 | PA      | $382740.94    | 0.05%             | 2042-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                   | General Dynamics Corp                                                           | CUSIP: 369550BK3<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1299554.32   | 0.16%             | 2025-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-BXMF                                                              | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640000 | PA      | $1574601.56   | 0.20%             | 2026-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1220000 | PA      | $1210388.67   | 0.15%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2018-4 Ltd                                                             | CUSIP: 92917WBG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $806204.59    | 0.10%             | 2032-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                          | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1                      | CUSIP: 59020UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282698 | PA      | $260225.34    | 0.03%             | 2034-02-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163005 | PA      | $151467.03    | 0.02%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBC2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   2930000 | PA      | $2901683.81   | 0.37%             | 2023-11-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPER                             | Charter Communications Operating LLC                                            | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |    496164 | PA      | $485248.09    | 0.06%             | 2027-02-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                          | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-1              | CUSIP: 16678RCU9<br>LEI: 549300IPR6D6ZFC6NF33 | Long             | ABS-MBS          | CORP              | US        |      2467 | PA      | $2175.80      | 0.00%             | 2036-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $263959.22    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 31329KUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1639845 | PA      | $1522968.80   | 0.19%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78016EZ59<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   3340000 | PA      | $3230431.23   | 0.41%             | 2025-04-14      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-VOLT                                          | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $964712.50    | 0.12%             | 2036-09-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    590000 | PA      | $560830.72    | 0.07%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                                 | Metropolitan Life Global Funding I                                              | CUSIP: 59217GEH8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    320000 | PA      | $314743.39    | 0.04%             | 2023-06-08      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                  | Credit Suisse Group AG                                                          | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1490000 | PA      | $1318118.74   | 0.17%             | 2025-09-11      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CCD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9340000 | PA      | $9173449.49   | 1.16%             | 2023-05-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958254AE4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    170000 | PA      | $161207.60    | 0.02%             | 2025-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AL5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   2460000 | PA      | $2459692.50   | 0.31%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31384VQR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2601 | PA      | $2655.51      | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BP6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   3020000 | PA      | $2942811.91   | 0.37%             | 2023-08-03      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BBX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315517 | PA      | $315640.99    | 0.04%             | 2060-05-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                | Bear Stearns ALT-A Trust 2007-1                                                 | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84911 | PA      | $67068.57     | 0.01%             | 2047-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FBB6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    230000 | PA      | $218108.27    | 0.03%             | 2025-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun                          | American Express Credit Account Master Trust                                    | CUSIP: 02582JJK7<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   4050000 | PA      | $4047810.57   | 0.51%             | 2026-04-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                                                | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   1870000 | PA      | $1802777.00   | 0.23%             | 2025-03-19      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2247684 | PA      | $2229863.03   | 0.28%             | 2062-07-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                                  | National Securities Clearing Corp                                               | CUSIP: 637639AE5<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $904883.54    | 0.11%             | 2025-12-07      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                            | Saxon Asset Securities Trust 2003-3                                             | CUSIP: 805564PE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18440 | PA      | $17732.10     | 0.00%             | 2033-12-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                              | Cigna Corp                                                                      | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   2090000 | PA      | $2044271.47   | 0.26%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                 | John Deere Capital Corp                                                         | CUSIP: 24422EVQ9<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $1946583.04   | 0.25%             | 2024-06-07      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Mortgage Repurchase Agreement                           | Mortgage Repurchase Agreement Financing Trust II Series 2022-1                  | CUSIP: 61916TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220000 | PA      | $1211717.42   | 0.15%             | 2025-03-30      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    350000 | PA      | $317568.64    | 0.04%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SETANTA AIRCRAFT LEASING                                | Setanta Aircraft Leasing DAC                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |    750000 | PA      | $747750.00    | 0.09%             | 2028-11-05      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                | Visa Inc                                                                        | CUSIP: 92826CAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    520000 | PA      | $501897.98    | 0.06%             | 2025-12-14      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                  | Credit Suisse Group AG                                                          | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    880000 | PA      | $752312.01    | 0.10%             | 2026-06-05      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147521 | PA      | $141479.58    | 0.02%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380QYC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2331720 | PA      | $2292608.31   | 0.29%             | 2070-04-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    980000 | PA      | $966543.36    | 0.12%             | 2024-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CM8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    301000 | PA      | $292374.83    | 0.04%             | 2024-07-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                 | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1965842.95   | 0.25%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                 | BDS 2021-FL10 Ltd                                                               | CUSIP: 07335YAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1320000 | PA      | $1218233.02   | 0.15%             | 2036-12-16      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       331 | NC      | $108587.02    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375B3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75784 | PA      | $75216.80     | 0.01%             | 2063-06-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   2130000 | PA      | $2018920.50   | 0.26%             | 2025-02-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                     | Gilead Sciences Inc                                                             | CUSIP: 375558AW3<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    690000 | PA      | $678694.87    | 0.09%             | 2024-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3620E0D78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322918 | PA      | $330316.40    | 0.04%             | 2060-08-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEB4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1368833.28   | 0.17%             | 2024-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2018-H4                                          | CUSIP: 61691RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24114656 | PA      | $880590.08    | 0.11%             | 2051-12-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                            | Alphabet Inc                                                                    | CUSIP: 02079KAH0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    370000 | PA      | $334365.44    | 0.04%             | 2025-08-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                | Microchip Technology Inc                                                        | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    360000 | PA      | $333568.86    | 0.04%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                 | Becton Dickinson and Co                                                         | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    580000 | PA      | $567097.32    | 0.07%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       109 | NC      | $-499791.40   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 539439AS8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    690000 | PA      | $685486.70    | 0.09%             | 2023-08-16      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                         | AREIT 2021-CRE5 Trust                                                           | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    706191 | PA      | $680618.51    | 0.09%             | 2038-11-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1100000 | PA      | $1041566.56   | 0.13%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    420000 | PA      | $360271.80    | 0.05%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1389007.56   | 0.18%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2021-FL7 Ltd                                                                | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1060000 | PA      | $1018390.23   | 0.13%             | 2036-10-16      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                    | BlueMountain CLO XXII Ltd                                                       | CUSIP: 09629PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    770000 | PA      | $757295.00    | 0.10%             | 2031-07-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO Ltd                                         | HGI CRE CLO 2021-FL2 Ltd                                                        | CUSIP: 40390JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1320000 | PA      | $1274712.23   | 0.16%             | 2036-09-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                               | Stonepeak 2021-1 ABS                                                            | CUSIP: 78433XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1408261 | PA      | $1217428.54   | 0.15%             | 2033-02-28      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $379863.61    | 0.05%             | 2030-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475AV7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    900000 | PA      | $887031.41    | 0.11%             | 2024-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VDY7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3430000 | PA      | $3345931.25   | 0.42%             | 2027-03-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BJN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750175 | PA      | $745157.04    | 0.09%             | 2060-11-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp                          | AMMC CLO 23 Ltd                                                                 | CUSIP: 00177JAS4<br>LEI: 549300ICO4ZE2FVC2Y46 | Long             | ABS-CBDO         | CORP              | KY        |   3140000 | PA      | $3092827.97   | 0.39%             | 2031-10-17      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDJ8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49726.87     | 0.01%             | 2023-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-ARIA                                                              | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930000 | PA      | $862894.08    | 0.11%             | 2036-10-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                          | Carlyle Global Market Strategies CLO 2014-3-R Ltd                               | CUSIP: 14315LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    376896 | PA      | $371506.40    | 0.05%             | 2031-07-27      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2018-3 Ltd                                                             | CUSIP: 92917KAA2<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $345510.45    | 0.04%             | 2031-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Student Loan Trust 2021-1                                               | CUSIP: 63942NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735256 | PA      | $704054.24    | 0.09%             | 2069-12-26      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1085007 | PA      | $934805.87    | 0.12%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                          | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3              | CUSIP: 16678RBV8<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-MBS          | CORP              | US        |      1327 | PA      | $1198.43      | 0.00%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1600000 | PA      | $1386922.90   | 0.18%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                             | Stratus CLO 2021-3 Ltd                                                          | CUSIP: 86315WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1335169 | PA      | $1317638.68   | 0.17%             | 2029-12-29      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| PRIME SECURITY SERVICES BOR                             | Prime Security Services Borrower LLC                                            | CUSIP: 03765VAK6<br>LEI: 549300O6QPZVWXV2DC15 | Long             | LON              | CORP              | US        |    496222 | PA      | $492499.99    | 0.06%             | 2026-09-23      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                          | Lowe's Cos Inc                                                                  | CUSIP: 548661DT1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1432851.50   | 0.18%             | 2025-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5830000 | PA      | $5430757.46   | 0.69%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3620E0DZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17719 | PA      | $17746.00     | 0.00%             | 2060-07-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                       | Clarios Global LP                                                               | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | CA        |    750000 | PA      | $737501.25    | 0.09%             | 2026-04-30      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                  | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2C4<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    880000 | PA      | $792704.80    | 0.10%             | 2025-04-09      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371691 | PA      | $318153.93    | 0.04%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                       | NatWest Group PLC                                                               | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1770000 | PA      | $1731686.77   | 0.22%             | 2025-03-22      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAH6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    370000 | PA      | $363334.74    | 0.05%             | 2024-03-12      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   2570000 | PA      | $2364053.31   | 0.30%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                           | UBS AG/London                                                                   | CUSIP: 902674YF1<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |   1990000 | PA      | $1950543.12   | 0.25%             | 2023-06-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2910000 | PA      | $2686141.53   | 0.34%             | 2024-10-29      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                | International Business Machines Corp                                            | CUSIP: 459200JY8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    910000 | PA      | $885486.08    | 0.11%             | 2024-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    210000 | PA      | $198615.68    | 0.03%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2015-2                                                | CUSIP: 89171YAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $741743.46    | 0.09%             | 2060-11-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -22 | NC      | $38626.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SFO Commerical Mortgage Trust                           | SFO Commercial Mortgage Trust 2021-555                                          | CUSIP: 78432WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920000 | PA      | $795792.92    | 0.10%             | 2038-05-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225527 | PA      | $224247.06    | 0.03%             | 2060-03-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $15962.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61788.62     | 0.01%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                     | Charles Schwab Corp/The                                                         | CUSIP: 808513BN4<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1873140.28   | 0.24%             | 2024-03-18      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3728058.10   | 0.47%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN AB                                | SVENSKA HANDELSBANKEN AB                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | SE        |   6000000 | PA      | $5965351.98   | 0.76%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                          | GoodLeap Sustainable Home Solutions Trust 2021-4                                | CUSIP: 38237GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    617853 | PA      | $472337.36    | 0.06%             | 2048-07-20      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                          | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4              | CUSIP: 16678RCD7<br>LEI: 549300BO65N44G8TZI31 | Long             | ABS-MBS          | CORP              | US        |     11307 | PA      | $10292.84     | 0.00%             | 2035-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                                 | Federal Home Loan Bank Discount Notes                                           | CUSIP: 313384DL0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   3890000 | PA      | $3852627.02   | 0.49%             | 2023-03-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBC6<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1522216.42   | 0.19%             | 2024-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Legg Mason Partners Income Trust

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer