# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0001752724-25-176694
**Filing Date:** 2025-7
**Character Count:** 269388
**Document Hash:** e37a83e4a07cd0a00d6992b0bb238967
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-176694.hdr.sgml**: 20250724

**ACCESSION NUMBER**: 0001752724-25-176694

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250724

**DATE AS OF CHANGE**: 20250724

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SALEM STREET TRUST
- **CENTRAL INDEX KEY:** 0000035315

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 251146287

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

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

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

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

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

## Series and Classes Contracts Data

### Fidelity SAI Enhanced Core Bond Fund (Series ID: S000090603)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000257875 | Fidelity SAI Enhanced Core Bond Fund | FECBX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® SAI Enhanced Core Bond Fund**

**May 31, 2025**

Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.

ECB-NPRT3-0725

1.9918576.100 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 1.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 1.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 1.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 1.1%  |  |  |
| Ally Auto Receivables Trust Series 2022-3 Class A4, 5.07% 10/16/2028  | 221000 | 221983 |
| BMW Vehicle Owner Trust Series 2023-A Class A4, 5.25% 11/26/2029  | 79000 | 79920 |
| Capital One Prime Auto Receivables Trust Series 2024-1 Class A3, 4.62% 7/16/2029  | 500000 | 501787 |
| CarMax Auto Owner Trust Series 2023-2 Class A4, 5.01% 11/15/2028  | 222000 | 223300 |
| CarMax Auto Owner Trust Series 2024-1 Class A3, 4.92% 10/16/2028  | 250000 | 250911 |
| CarMax Auto Owner Trust Series 2024-1 Class A4, 4.94% 8/15/2029  | 250000 | 252251 |
| CarMax Auto Owner Trust Series 2024-3 Class A3, 4.89% 7/16/2029  | 597000 | 601084 |
| Carmax Select Receivables Trust Series 2025-A Class A3, 4.77% 9/17/2029  | 225000 | 225910 |
| Citibank Credit Card Issuance Trust Series 2007-A3 Class A3, 6.15% 6/15/2039  | 100000 | 108839 |
| Ford Cr Floorplan Mast Own Tr Series 2018-4 Class A, 4.06% 11/15/2030  | 525000 | 518112 |
| Ford Credit Auto Owner Trust Series 2023-A Class A4, 4.56% 12/15/2028  | 250000 | 250671 |
| Ford Credit Auto Owner Trust Series 2024-C Class A4, 4.11% 7/15/2030  | 400000 | 396488 |
| GM Financial Consumer Automobile Receivables Trust Series 2023-2 Class A4, 4.43% 10/16/2028  | 400000 | 399797 |
| GM Financial Consumer Automobile Receivables Trust Series 2023-2 Class B, 4.82% 10/16/2028  | 500000 | 502011 |
| GM Financial Leasing Trust Series 2024-1 Class A4, 5.09% 2/22/2028  | 270000 | 271137 |
| Harley-Davidson Motorcycle Trust Series 2024-A Class A4, 5.29% 12/15/2031  | 180000 | 183396 |
| Honda Auto Receivables Owner Trust Series 2023-1 Class A4, 4.97% 6/21/2029  | 100000 | 100506 |
| Honda Auto Receivables Owner Trust Series 2024-1 Class A4, 5.17% 5/15/2030  | 120000 | 121482 |
| Hyundai Auto Receivables Trust Series 2023-A Class A4, 4.48% 7/17/2028  | 108000 | 108074 |
| Hyundai Auto Receivables Trust Series 2023-B Class A4, 5.31% 8/15/2029  | 75000 | 76137 |
| John Deere Owner Trust Series 2024-C Class A4, 4.15% 8/15/2031  | 45000 | 44694 |
| Mercedes-Benz Auto Receivables Trust Series 2023-2 Class A4, 6.01% 1/15/2031  | 800000 | 828901 |
| Nissan Auto Lease Trust Series 2024-A Class A4, 4.97% 9/15/2028  | 700000 | 703050 |
| Nissan Auto Receivables Owner Trust Series 2023-A Class A4, 4.85% 6/17/2030  | 500000 | 502664 |
| PSNH Funding LLC 3 Series 2018-1 Class A3, 3.814% 2/1/2035  | 500000 | 484221 |
| Santander Drive Auto Receivables Trust Series 2022-3 Class C, 4.49% 8/15/2029  | 635000 | 633823 |
| Santander Drive Auto Receivables Trust Series 2022-4 Class C, 5% 11/15/2029  | 250000 | 250730 |
| Santander Drive Auto Receivables Trust Series 2023-5 Class B, 6.16% 12/17/2029  | 150000 | 152664 |
| Synchrony Card Issuance Trust Series 2024-A2 Class A, 4.93% 7/15/2030  | 350000 | 354267 |
| Verizon Master Trust Series 2024-3 Class B, 5.54% 4/22/2030  | 100000 | 101213 |
| World Financial Network Credit Card Master Trust Series 2024-A Class A, 5.47% 2/15/2031  | 500000 | 509781 |
| World Financial Network Credit Card Master Trust Series 2024-B Class A, 4.62% 5/15/2031  | 630000 | 632567 |
| World Omni Auto Trust Series 2024-C Class A4, 4.44% 5/15/2030  | 130000 | 129919 |
| TOTAL UNITED STATES |  | 10722290 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $10,728,696) |  | <br> **10722290** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 1.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 1.8%  |  |  |
| BANK Series 2018-BN12 Class AS, 4.3406% 5/15/2061 (b) | 665000 | 650214 |
| BANK Series 2019-BN20 Class A3, 3.011% 9/15/2062  | 350000 | 321338 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  | 350000 | 319318 |
| BANK Series 2019-BN22 Class A4, 2.978% 11/15/2062  | 160000 | 147287 |
| BANK Series 2020-BN25 Class A5, 2.649% 1/15/2063  | 800000 | 721079 |
| BANK Series 2020-BN25 Class AS, 2.841% 1/15/2063  | 355000 | 318314 |
| BANK Series 2021-BN35 Class AS, 2.457% 6/15/2064  | 360000 | 303228 |
| BANK Series 2022-BNK42 Class A5, 4.493% 6/15/2055 (b) | 230000 | 219651 |
| BBCMS Mortgage Trust Series 2023-C19 Class A2B, 5.753% 4/15/2056  | 350000 | 354750 |
| BBCMS Mortgage Trust Series 2025-5C33 Class AS, 6.168% 3/15/2058  | 400000 | 414548 |
| Benchmark Mortgage Trust Series 2019-B14 Class A4, 2.7946% 12/15/2062  | 400000 | 368534 |
| Benchmark Mortgage Trust Series 2019-B15 Class A5, 2.928% 12/15/2072  | 450000 | 410438 |
| Benchmark Mortgage Trust Series 2021-B24 Class A5, 2.5843% 3/15/2054  | 500000 | 431756 |
| Benchmark Mortgage Trust Series 2021-B29 Class A3, 2.284% 9/15/2054  | 450000 | 408718 |
| Benchmark Mortgage Trust Series 2022-B34 Class A5, 3.786% 4/15/2055  | 250000 | 226429 |
| Benchmark Mortgage Trust Series 2024-V10 Class AS, 5.7253% 9/15/2057 (b) | 145000 | 147287 |
| Benchmark Mortgage Trust Series 2024-V6 Class AS, 6.3843% 3/15/2057  | 420000 | 435863 |
| Benchmark Mortgage Trust Series 2024-V9 Class AS, 6.0641% 8/15/2057 (b) | 650000 | 667388 |
| BMO Mortgage Trust Series 2023-5C2 Class A3, 7.0549% 11/15/2056 (b) | 500000 | 533313 |
| CD Mortgage Trust Series 2017-CD5 Class A4, 3.431% 8/15/2050  | 400000 | 387972 |
| Citigroup Commercial Mortgage Trust Series 2016-C2 Class A4, 2.832% 8/10/2049  | 214594 | 209507 |
| COMM Mortgage Trust Series 2018-COR3 Class A3, 4.228% 5/10/2051  | 200000 | 194311 |
| CSAIL Commercial Mortgage Trust Series 2017-CX10 Class A5, 3.4578% 11/15/2050  | 450000 | 431538 |
| CSAIL Commercial Mortgage Trust Series 2019-C18 Class A4, 2.968% 12/15/2052  | 175000 | 160785 |
| CSAIL Commercial Mortgage Trust Series 2020-C19 Class A3, 2.5608% 3/15/2053  | 250000 | 222499 |
| CSAIL Commercial Mortgage Trust Series 2021-C20 Class A3, 2.8048% 3/15/2054  | 150000 | 133067 |
| Fannie Mae Guaranteed REMIC Series 2021-M11 Class A2, 1.4571% 3/25/2031 (b) | 200000 | 169067 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-M42 Class A2, 1.27% 7/25/2030  | 250000 | 215154 |
| Fannie Mae-Aces Series 2021-M1 Class A2, 1.3877% 11/25/2030 (b) | 150000 | 127946 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K154 Class A3, 3.459% 11/25/2032  | 250000 | 231576 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-1512 Class A3, 3.059% 4/25/2034  | 750000 | 656189 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K115 Class A1, 0.743% 11/25/2029  | 92459 | 85123 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K147 Class A1, 3.39% 2/25/2032  | 476649 | 457598 |
| GS Mortgage Securities Trust Series 2017-GS5 Class A4, 3.674% 3/10/2050  | 400000 | 389677 |
| GS Mortgage Securities Trust Series 2017-GS7 Class A4, 3.43% 8/10/2050  | 270000 | 259869 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 100000 | 96476 |
| GS Mortgage Securities Trust Series 2019-GC38 Class A4, 3.968% 2/10/2052  | 413000 | 398562 |
| GS Mortgage Securities Trust Series 2019-GC39 Class A4, 3.567% 5/10/2052  | 200000 | 187408 |
| GS Mortgage Securities Trust Series 2020-GSA2 Class A5, 2.012% 12/12/2053  | 400000 | 341923 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class A3, 3.1413% 12/15/2049  | 300000 | 290774 |
| JPMDB Commercial Mortgage Securities Trust Series 2017-C5 Class A5, 3.6939% 3/15/2050  | 350000 | 339248 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class A5, 2.86% 9/15/2049  | 900000 | 873186 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31 Class A5, 3.102% 11/15/2049  | 450000 | 436071 |
| Morgan Stanley Capital I Trust Series 2016-BNK2 Class A4, 3.049% 11/15/2049  | 500000 | 484626 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class A5, 3.53% 6/15/2050  | 450000 | 438684 |
| UBS Commercial Mortgage Trust Series 2017-C3 Class A4, 3.426% 8/15/2050  | 150000 | 144615 |
| UBS Commercial Mortgage Trust Series 2018-C10 Class A4, 4.3134% 5/15/2051  | 350000 | 343176 |
| UBS Commercial Mortgage Trust Series 2018-C9 Class A4, 4.117% 3/15/2051  | 100000 | 97682 |
| UBS Commercial Mortgage Trust Series 2019-C17 Class A4, 2.921% 10/15/2052  | 150000 | 138536 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C39 Class A5, 3.418% 9/15/2050  | 250000 | 241172 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C59 Class A5, 2.626% 4/15/2054  | 500000 | 433412 |
| TOTAL UNITED STATES |  | 17016882 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $17,008,894) |  | <br> **17016882** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| HUNGARY - 0.2%  |  |  |
| Hungary Government 5.5% 3/26/2036 (c) | 400000 | 378160 |
| Hungary Government 7.625% 3/29/2041  | 1000000 | 1107180 |
| TOTAL HUNGARY |  | 1485340 |
| ISRAEL - 0.2%  |  |  |
| Israel Government 2.75% 7/3/2030  | 1500000 | 1334898 |
| Israel Government 5.75% 3/12/2054  | 1000000 | 886720 |
| TOTAL ISRAEL |  | 2221618 |
| MEXICO - 0.4%  |  |  |
| United Mexican States 4.75% 4/27/2032  | 2500000 | 2335000 |
| United Mexican States 6% 5/7/2036  | 2000000 | 1915000 |
| TOTAL MEXICO |  | 4250000 |
| PANAMA - 0.3%  |  |  |
| Panamanian Republic 3.16% 1/23/2030  | 1750000 | 1543255 |
| Panamanian Republic 6.4% 2/14/2035  | 1300000 | 1226225 |
| TOTAL PANAMA |  | 2769480 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $10,775,455) |  | <br> **10726438** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 30.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 30.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 30.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 1.0%  |  |  |
| Energy - 0.3% |  |  |
| Oil, Gas & Consumable Fuels - 0.3% |  |  |
| Woodside Finance Ltd 4.9% 5/19/2028  | 2300000 | 2299893 |
| Woodside Finance Ltd 5.7% 5/19/2032  | 1100000 | 1098249 |
|  |  | 3398142 |
| Financials - 0.7% |  |  |
| Banks - 0.7% |  |  |
| Westpac Banking Corp 4.11% 7/24/2034 (b) | 2250000 | 2154427 |
| Westpac Banking Corp 4.322% 11/23/2031 (b) | 800000 | 791770 |
| Westpac Banking Corp 6.82% 11/17/2033  | 3075000 | 3346729 |
|  |  | 6292926 |
| TOTAL AUSTRALIA |  | 9691068 |
| BERMUDA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Insurance - 0.0% |  |  |
| RenaissanceRe Holdings Ltd 5.8% 4/1/2035  | 350000 | 352631 |
| BRAZIL - 0.1%  |  |  |
| Industrials - 0.1% |  |  |
| Aerospace & Defense - 0.1% |  |  |
| Embraer Netherlands Finance BV 5.98% 2/11/2035  | 1350000 | 1360206 |
| CANADA - 2.1%  |  |  |
| Energy - 0.5% |  |  |
| Oil, Gas & Consumable Fuels - 0.5% |  |  |
| TransCanada PipeLines Ltd 4.625% 3/1/2034  | 3750000 | 3530838 |
| TransCanada PipeLines Ltd 6.2% 10/15/2037  | 500000 | 509817 |
| TransCanada PipeLines Ltd 7.625% 1/15/2039  | 750000 | 857846 |
|  |  | 4898501 |
| Financials - 1.4% |  |  |
| Banks - 0.8% |  |  |
| Canadian Imperial Bank of Commerce 5.926% 10/2/2026  | 1000000 | 1018298 |
| Toronto Dominion Bank 3.625% 9/15/2031 (b) | 3450000 | 3387500 |
| Toronto Dominion Bank 5.146% 9/10/2034 (b) | 2600000 | 2576707 |
|  |  | 6982505 |
| Capital Markets - 0.2% |  |  |
| Brookfield Finance Inc 4.35% 4/15/2030  | 750000 | 732091 |
| Brookfield Finance Inc 4.85% 3/29/2029  | 200000 | 200307 |
| Brookfield Finance Inc 6.35% 1/5/2034  | 1300000 | 1376506 |
|  |  | 2308904 |
| Insurance - 0.4% |  |  |
| Fairfax Financial Holdings Ltd 6.5% 5/20/2055 (c) | 1690000 | 1674686 |
| Manulife Financial Corp 4.061% 2/24/2032 (b) | 2250000 | 2217118 |
|  |  | 3891804 |
| TOTAL FINANCIALS |  | 13183213 |
| Industrials - 0.0% |  |  |
| Professional Services - 0.0% |  |  |
| TR Finance LLC 3.35% 5/15/2026  | 250000 | 246794 |
| Materials - 0.2% |  |  |
| Chemicals - 0.1% |  |  |
| Nutrien Ltd 5.4% 6/21/2034  | 750000 | 747094 |
| Metals & Mining - 0.1% |  |  |
| Kinross Gold Corp 6.25% 7/15/2033  | 750000 | 790563 |
| TOTAL MATERIALS |  | 1537657 |
| TOTAL CANADA |  | 19866165 |
| CHILE - 0.0%  |  |  |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| Enel Chile SA 4.875% 6/12/2028  | 200000 | 198656 |
| FRANCE - 0.2%  |  |  |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| TotalEnergies Capital International SA 2.986% 6/29/2041  | 1750000 | 1252830 |
| TotalEnergies Capital International SA 3.461% 7/12/2049  | 750000 | 512999 |
| TOTAL FRANCE |  | 1765829 |
| GERMANY - 0.9%  |  |  |
| Communication Services - 0.2% |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |
| Deutsche Telekom International Finance BV 8.75% 6/15/2030 (b) | 1400000 | 1641050 |
| Consumer Discretionary - 0.1% |  |  |
| Automobiles - 0.1% |  |  |
| Mercedes-Benz Finance North America LLC 8.5% 1/18/2031  | 1025000 | 1206400 |
| Financials - 0.6% |  |  |
| Capital Markets - 0.6% |  |  |
| Deutsche Bank AG/New York NY 4.999% 9/11/2030 (b) | 750000 | 746700 |
| Deutsche Bank AG/New York NY 5.297% 5/9/2031 (b) | 1000000 | 1001383 |
| Deutsche Bank AG/New York NY 5.414% 5/10/2029  | 3450000 | 3551120 |
|  |  | 5299203 |
| TOTAL GERMANY |  | 8146653 |
| IRELAND - 0.4%  |  |  |
| Financials - 0.2% |  |  |
| Consumer Finance - 0.2% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.5% 1/31/2056 (b) | 950000 | 936396 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.95% 3/10/2055 (b) | 950000 | 974421 |
|  |  | 1910817 |
| Industrials - 0.0% |  |  |
| Transportation Infrastructure - 0.0% |  |  |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (c) | 75000 | 75014 |
| Materials - 0.2% |  |  |
| Containers & Packaging - 0.2% |  |  |
| Smurfit Kappa Treasury ULC 5.2% 1/15/2030  | 1500000 | 1516512 |
| TOTAL IRELAND |  | 3502343 |
| JAPAN - 0.6%  |  |  |
| Financials - 0.6% |  |  |
| Banks - 0.6% |  |  |
| Mitsubishi UFJ Financial Group Inc 2.048% 7/17/2030  | 1250000 | 1096850 |
| Mitsubishi UFJ Financial Group Inc 2.559% 2/25/2030  | 2250000 | 2045063 |
| Sumitomo Mitsui Financial Group Inc 5.316% 7/9/2029  | 2000000 | 2049872 |
| Sumitomo Mitsui Financial Group Inc 5.71% 1/13/2030  | 750000 | 780987 |
| TOTAL JAPAN |  | 5972772 |
| LUXEMBOURG - 0.1%  |  |  |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| ArcelorMittal SA 6.55% 11/29/2027  | 750000 | 777806 |
| MEXICO - 0.3%  |  |  |
| Communication Services - 0.3% |  |  |
| Media - 0.1% |  |  |
| Grupo Televisa SAB 6.125% 1/31/2046  | 750000 | 577912 |
| Wireless Telecommunication Services - 0.2% |  |  |
| America Movil SAB de CV 3.625% 4/22/2029  | 2000000 | 1919780 |
| America Movil SAB de CV 6.125% 3/30/2040  | 350000 | 355289 |
|  |  | 2275069 |
| TOTAL MEXICO |  | 2852981 |
| NETHERLANDS - 0.5%  |  |  |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| ING Groep NV 4.05% 4/9/2029  | 1500000 | 1469547 |
| ING Groep NV 5.066% 3/25/2031 (b) | 750000 | 754233 |
| ING Groep NV 5.335% 3/19/2030 (b) | 2250000 | 2293425 |
| TOTAL NETHERLANDS |  | 4517205 |
| NORWAY - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Equinor ASA 3.125% 4/6/2030  | 100000 | 94382 |
| SPAIN - 0.4%  |  |  |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| Banco Santander SA 1.722% 9/14/2027 (b) | 2200000 | 2114751 |
| Banco Santander SA 5.552% 3/14/2028 (b) | 1400000 | 1416857 |
| Banco Santander SA 5.565% 1/17/2030  | 600000 | 616737 |
| TOTAL SPAIN |  | 4148345 |
| UNITED KINGDOM - 3.9%  |  |  |
| Consumer Staples - 0.0% |  |  |
| Beverages - 0.0% |  |  |
| Diageo Investment Corp 4.25% 5/11/2042  | 500000 | 414256 |
| Financials - 3.2% |  |  |
| Banks - 2.8% |  |  |
| Barclays PLC 5.088% 6/20/2030 (b) | 1750000 | 1743253 |
| Barclays PLC 7.119% 6/27/2034 (b) | 4675000 | 5037323 |
| HSBC Holdings PLC 3.973% 5/22/2030 (b) | 3250000 | 3133897 |
| HSBC Holdings PLC 4.755% 6/9/2028 (b) | 625000 | 624428 |
| HSBC Holdings PLC 5.13% 3/3/2031 (b) | 750000 | 751906 |
| HSBC Holdings PLC 5.24% 5/13/2031 (b) | 1250000 | 1255638 |
| Lloyds Banking Group PLC 3.574% 11/7/2028 (b) | 3750000 | 3649563 |
| Lloyds Banking Group PLC 4.344% 1/9/2048  | 500000 | 383584 |
| Lloyds Banking Group PLC 4.55% 8/16/2028  | 1250000 | 1244346 |
| Lloyds Banking Group PLC 5.59% 11/26/2035 (b) | 750000 | 749705 |
| Lloyds Banking Group PLC 5.721% 6/5/2030 (b) | 600000 | 618972 |
| NatWest Group PLC 4.445% 5/8/2030 (b) | 4000000 | 3933390 |
| NatWest Group PLC 5.115% 5/23/2031 (b) | 1000000 | 1003886 |
| NatWest Group PLC 6.475% 6/1/2034 (b) | 1950000 | 2024601 |
| Santander UK Group Holdings PLC 5.694% 4/15/2031 (b) | 475000 | 485802 |
|  |  | 26640294 |
| Capital Markets - 0.4% |  |  |
| Marex Group PLC 5.829% 5/8/2028  | 2150000 | 2159504 |
| Marex Group PLC 6.404% 11/4/2029  | 1875000 | 1910745 |
|  |  | 4070249 |
| TOTAL FINANCIALS |  | 30710543 |
| Health Care - 0.6% |  |  |
| Pharmaceuticals - 0.6% |  |  |
| Astrazeneca Finance LLC 1.75% 5/28/2028  | 1025000 | 956030 |
| GlaxoSmithKline Capital Inc 6.375% 5/15/2038  | 4250000 | 4630753 |
|  |  | 5586783 |
| Industrials - 0.1% |  |  |
| Machinery - 0.1% |  |  |
| Weir Group Inc 5.35% 5/6/2030 (c) | 750000 | 753077 |
| TOTAL UNITED KINGDOM |  | 37464659 |
| UNITED STATES - 20.3%  |  |  |
| Communication Services - 1.1% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| AT&T Inc 3.85% 6/1/2060  | 700000 | 475355 |
| AT&T Inc 5.15% 11/15/2046  | 950000 | 860782 |
|  |  | 1336137 |
| Entertainment - 0.1% |  |  |
| Netflix Inc 5.4% 8/15/2054  | 700000 | 673645 |
| Interactive Media & Services - 0.1% |  |  |
| Alphabet Inc 1.9% 8/15/2040  | 1750000 | 1146236 |
| Media - 0.7% |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 4/1/2033  | 750000 | 691805 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  | 200000 | 200917 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  | 1700000 | 1635943 |
| Discovery Communications LLC 3.625% 5/15/2030  | 1050000 | 928572 |
| Discovery Communications LLC 4.125% 5/15/2029  | 1000000 | 931125 |
| Fox Corp 4.709% 1/25/2029  | 1200000 | 1202854 |
| Warnermedia Holdings Inc 4.054% 3/15/2029  | 1000000 | 931202 |
|  |  | 6522418 |
| Wireless Telecommunication Services - 0.1% |  |  |
| T-Mobile USA Inc 3.375% 4/15/2029  | 1000000 | 953680 |
| TOTAL COMMUNICATION SERVICES |  | 10632116 |
| Consumer Discretionary - 0.7% |  |  |
| Automobiles - 0.4% |  |  |
| Ford Motor Co 4.346% 12/8/2026  | 1250000 | 1232350 |
| General Motors Co 5.35% 4/15/2028  | 1250000 | 1260090 |
| General Motors Financial Co Inc 2.7% 8/20/2027  | 1000000 | 951534 |
|  |  | 3443974 |
| Hotels, Restaurants & Leisure - 0.2% |  |  |
| Las Vegas Sands Corp 3.5% 8/18/2026  | 1250000 | 1222661 |
| Las Vegas Sands Corp 5.625% 6/15/2028  | 1000000 | 1002263 |
|  |  | 2224924 |
| Household Durables - 0.1% |  |  |
| Whirlpool Corp 4.75% 2/26/2029  | 750000 | 727269 |
| Leisure Products - 0.0% |  |  |
| Hasbro Inc 6.05% 5/14/2034  | 250000 | 253343 |
| TOTAL CONSUMER DISCRETIONARY |  | 6649510 |
| Consumer Staples - 1.2% |  |  |
| Beverages - 0.0% |  |  |
| Coca-Cola Co/The 1.65% 6/1/2030  | 250000 | 220137 |
| Coca-Cola Co/The 2.5% 6/1/2040  | 300000 | 212632 |
|  |  | 432769 |
| Consumer Staples Distribution & Retail - 0.1% |  |  |
| Kroger Co/The 5.65% 9/15/2064  | 850000 | 784801 |
| Walmart Inc 2.5% 9/22/2041  | 500000 | 345285 |
|  |  | 1130086 |
| Food Products - 0.2% |  |  |
| JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group 6.375% 2/25/2055 (c) | 500000 | 497049 |
| Pilgrim's Pride Corp 6.25% 7/1/2033  | 500000 | 518248 |
| Tyson Foods Inc 4.35% 3/1/2029  | 1000000 | 989047 |
|  |  | 2004344 |
| Household Products - 0.0% |  |  |
| Procter & Gamble Co/The 4.55% 10/24/2034  | 250000 | 246832 |
| Tobacco - 0.9% |  |  |
| Altria Group Inc 3.4% 2/4/2041  | 2550000 | 1844625 |
| Altria Group Inc 3.875% 9/16/2046  | 1250000 | 895239 |
| Altria Group Inc 4.8% 2/14/2029  | 750000 | 752683 |
| Philip Morris International Inc 4.875% 2/13/2029  | 1250000 | 1265476 |
| Philip Morris International Inc 5.125% 11/17/2027  | 1900000 | 1933739 |
| Philip Morris International Inc 5.125% 2/15/2030  | 750000 | 766131 |
| Philip Morris International Inc 6.375% 5/16/2038  | 400000 | 434588 |
|  |  | 7892481 |
| TOTAL CONSUMER STAPLES |  | 11706512 |
| Energy - 0.7% |  |  |
| Oil, Gas & Consumable Fuels - 0.7% |  |  |
| Enterprise Products Operating LLC 5.25% 8/16/2077 (b) | 1525000 | 1500549 |
| EQT Corp 7% 2/1/2030 (d) | 1250000 | 1338057 |
| Exxon Mobil Corp 3.567% 3/6/2045  | 350000 | 261864 |
| Kinder Morgan Inc 4.8% 2/1/2033  | 500000 | 482896 |
| MPLX LP 4.5% 4/15/2038  | 1050000 | 905410 |
| Shell International Finance BV 3.125% 11/7/2049  | 250000 | 162156 |
| Shell International Finance BV 6.375% 12/15/2038  | 750000 | 813886 |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp 4% 1/15/2032  | 1400000 | 1280184 |
|  |  | 6745002 |
| Financials - 6.9% |  |  |
| Banks - 3.1% |  |  |
| Bank of America Corp 4.623% 5/9/2029 (b) | 1250000 | 1249704 |
| Bank of America Corp 7.75% 5/14/2038  | 650000 | 761023 |
| Citigroup Inc 3.52% 10/27/2028 (b) | 1250000 | 1216161 |
| Citigroup Inc 3.668% 7/24/2028 (b) | 650000 | 635532 |
| Citigroup Inc 3.98% 3/20/2030 (b) | 3000000 | 2914093 |
| Citigroup Inc 4.643% 5/7/2028 (b) | 1000000 | 998459 |
| Citigroup Inc 5.592% 11/19/2034 (b) | 750000 | 751482 |
| Citigroup Inc 8.125% 7/15/2039  | 1750000 | 2154583 |
| Citizens Financial Group Inc 5.841% 1/23/2030 (b) | 200000 | 205154 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (b) | 2500000 | 2276273 |
| JPMorgan Chase & Co 3.54% 5/1/2028 (b) | 1250000 | 1227124 |
| JPMorgan Chase & Co 3.702% 5/6/2030 (b) | 1500000 | 1448038 |
| PNC Financial Services Group Inc/The 4.626% 6/6/2033 (b) | 2250000 | 2138058 |
| Santander Holdings USA Inc 5.353% 9/6/2030 (b) | 1250000 | 1256701 |
| Santander Holdings USA Inc 5.473% 3/20/2029 (b) | 2250000 | 2268123 |
| Santander Holdings USA Inc 5.741% 3/20/2031 (b) | 200000 | 202076 |
| Santander Holdings USA Inc 6.174% 1/9/2030 (b) | 500000 | 515850 |
| Santander Holdings USA Inc 6.565% 6/12/2029 (b) | 750000 | 778299 |
| Truist Financial Corp 5.435% 1/24/2030 (b) | 200000 | 204496 |
| Truist Financial Corp 7.161% 10/30/2029 (b) | 1125000 | 1211107 |
| US Bancorp 2.491% 11/3/2036 (b) | 400000 | 332976 |
| US Bancorp 4.967% 7/22/2033 (b) | 350000 | 340465 |
| US Bancorp 5.083% 5/15/2031 (b) | 1250000 | 1260239 |
| US Bancorp 6.787% 10/26/2027 (b) | 750000 | 772241 |
| Wells Fargo & Co 3.526% 3/24/2028 (b) | 1250000 | 1225996 |
| Wells Fargo & Co 3.584% 5/22/2028 (b) | 1000000 | 979797 |
|  |  | 29324050 |
| Capital Markets - 0.9% |  |  |
| Ares Capital Corp 7% 1/15/2027  | 1250000 | 1287834 |
| Blue Owl Capital Corp 3.4% 7/15/2026  | 1000000 | 978206 |
| Intercontinental Exchange Inc 5.2% 6/15/2062  | 1500000 | 1348635 |
| LPL Holdings Inc 4.9% 4/3/2028  | 1000000 | 1001358 |
| LPL Holdings Inc 5.2% 3/15/2030  | 1000000 | 1004450 |
| LPL Holdings Inc 6% 5/20/2034  | 1000000 | 1015638 |
| Morgan Stanley 5.23% 1/15/2031 (b) | 750000 | 761080 |
| S&P Global Inc 2.7% 3/1/2029  | 850000 | 801097 |
|  |  | 8198298 |
| Consumer Finance - 1.5% |  |  |
| Ally Financial Inc 5.737% 5/15/2029 (b) | 136000 | 137332 |
| Ally Financial Inc 6.992% 6/13/2029 (b) | 1800000 | 1880605 |
| American Express Co 5.016% 4/25/2031 (b) | 1054000 | 1065959 |
| American Express Co 5.389% 7/28/2027 (b) | 1000000 | 1008918 |
| Capital One Financial Corp 5.247% 7/26/2030 (b) | 200000 | 201814 |
| Capital One Financial Corp 5.7% 2/1/2030 (b) | 1700000 | 1745284 |
| Capital One Financial Corp 6.183% 1/30/2036 (b) | 250000 | 248138 |
| Ford Motor Credit Co LLC 3.815% 11/2/2027  | 3950000 | 3770524 |
| Ford Motor Credit Co LLC 5.113% 5/3/2029  | 750000 | 720892 |
| Ford Motor Credit Co LLC 5.303% 9/6/2029  | 500000 | 483733 |
| Ford Motor Credit Co LLC 7.35% 11/4/2027  | 700000 | 720473 |
| John Deere Capital Corp 4.5% 1/16/2029  | 1000000 | 1006807 |
| Synchrony Financial 5.935% 8/2/2030 (b) | 1000000 | 1013339 |
|  |  | 14003818 |
| Financial Services - 0.9% |  |  |
| Blue Owl Technology Finance Corp 6.1% 3/15/2028 (c) | 750000 | 743690 |
| Enact Holdings Inc 6.25% 5/28/2029  | 3600000 | 3696215 |
| Essent Group Ltd 6.25% 7/1/2029  | 750000 | 773121 |
| Fidelity National Information Services Inc 1.65% 3/1/2028  | 1000000 | 926887 |
| Fidelity National Information Services Inc 3.1% 3/1/2041  | 1000000 | 712943 |
| Fiserv Inc 3.5% 7/1/2029  | 1700000 | 1620660 |
|  |  | 8473516 |
| Insurance - 0.5% |  |  |
| American International Group Inc 4.85% 5/7/2030  | 1000000 | 1003840 |
| Arthur J Gallagher & Co 6.75% 2/15/2054  | 750000 | 809176 |
| Berkshire Hathaway Fin Corp 3.85% 3/15/2052  | 2200000 | 1649025 |
| Brown & Brown Inc 4.2% 3/17/2032  | 500000 | 467393 |
| Chubb INA Holdings LLC 4.65% 8/15/2029  | 250000 | 252456 |
| Fidelity National Financial Inc 4.5% 8/15/2028  | 1000000 | 991160 |
|  |  | 5173050 |
| TOTAL FINANCIALS |  | 65172732 |
| Health Care - 1.8% |  |  |
| Biotechnology - 0.3% |  |  |
| Gilead Sciences Inc 5.25% 10/15/2033  | 2000000 | 2036494 |
| Gilead Sciences Inc 5.55% 10/15/2053  | 450000 | 431496 |
|  |  | 2467990 |
| Health Care Providers & Services - 0.9% |  |  |
| Cencora Inc 4.85% 12/15/2029  | 1000000 | 1007694 |
| Centene Corp 2.45% 7/15/2028  | 3000000 | 2762974 |
| Centene Corp 3.375% 2/15/2030  | 200000 | 182280 |
| Centene Corp 4.625% 12/15/2029  | 500000 | 481501 |
| CommonSpirit Health 5.318% 12/1/2034  | 1250000 | 1226620 |
| CVS Health Corp 1.3% 8/21/2027  | 450000 | 418413 |
| HCA Inc 4.125% 6/15/2029  | 1000000 | 973698 |
| Quest Diagnostics Inc 4.625% 12/15/2029  | 250000 | 250465 |
| Sabra Health Care LP 3.9% 10/15/2029  | 1000000 | 937705 |
|  |  | 8241350 |
| Pharmaceuticals - 0.6% |  |  |
| Bristol-Myers Squibb Co 4.9% 2/22/2029  | 250000 | 254673 |
| Johnson & Johnson 4.8% 6/1/2029  | 250000 | 255898 |
| Novartis Capital Corp 2.2% 8/14/2030  | 250000 | 225070 |
| Royalty Pharma PLC 5.15% 9/2/2029  | 1850000 | 1870762 |
| Royalty Pharma PLC 5.4% 9/2/2034  | 500000 | 497921 |
| Royalty Pharma PLC 5.9% 9/2/2054  | 1950000 | 1832004 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  | 1250000 | 1233665 |
|  |  | 6169993 |
| TOTAL HEALTH CARE |  | 16879333 |
| Industrials - 1.3% |  |  |
| Aerospace & Defense - 0.2% |  |  |
| General Dynamics Corp 4.95% 8/15/2035  | 700000 | 688670 |
| Huntington Ingalls Industries Inc 5.353% 1/15/2030  | 1500000 | 1523500 |
|  |  | 2212170 |
| Air Freight & Logistics - 0.2% |  |  |
| United Parcel Service Inc 4.65% 10/15/2030  | 1500000 | 1505514 |
| Building Products - 0.0% |  |  |
| Johnson Controls International plc 4.625% 7/2/2044 (d) | 100000 | 83565 |
| Commercial Services & Supplies - 0.2% |  |  |
| Waste Management Inc 3.875% 1/15/2029 (c) | 1750000 | 1713147 |
| Construction & Engineering - 0.3% |  |  |
| MasTec Inc 5.9% 6/15/2029  | 2450000 | 2513909 |
| Ground Transportation - 0.0% |  |  |
| Burlington Northern Santa Fe LLC 4.15% 4/1/2045  | 550000 | 449946 |
| Industrial Conglomerates - 0.1% |  |  |
| 3M Co 2.375% 8/26/2029  | 500000 | 460189 |
| Honeywell International Inc 4.7% 2/1/2030  | 300000 | 302540 |
|  |  | 762729 |
| Machinery - 0.1% |  |  |
| Cummins Inc 4.7% 2/15/2031  | 900000 | 896912 |
| Passenger Airlines - 0.2% |  |  |
| Delta Air Lines Inc equipment trust certificate 2% 12/10/2029  | 1096391 | 1023952 |
| United Airlines 2020-1 Class A Pass Through Trust 5.875% 4/15/2029  | 745305 | 758535 |
| United Airlines 2023-1 Class A Pass Through Trust equipment trust certificate 5.8% 7/15/2037  | 382126 | 382498 |
|  |  | 2164985 |
| TOTAL INDUSTRIALS |  | 12302877 |
| Information Technology - 1.8% |  |  |
| Electronic Equipment, Instruments & Components - 0.3% |  |  |
| Corning Inc 5.45% 11/15/2079  | 1750000 | 1525064 |
| Flex Ltd 4.875% 6/15/2029  | 950000 | 946312 |
| TD SYNNEX Corp 1.75% 8/9/2026  | 200000 | 192467 |
|  |  | 2663843 |
| IT Services - 0.4% |  |  |
| IBM Corporation 1.7% 5/15/2027  | 1250000 | 1189220 |
| IBM Corporation 2.85% 5/15/2040  | 500000 | 359315 |
| Kyndryl Holdings Inc 6.35% 2/20/2034  | 1850000 | 1941285 |
|  |  | 3489820 |
| Semiconductors & Semiconductor Equipment - 0.2% |  |  |
| Micron Technology Inc 4.663% 2/15/2030  | 1000000 | 986633 |
| Micron Technology Inc 6.05% 11/1/2035  | 1000000 | 1019714 |
|  |  | 2006347 |
| Software - 0.8% |  |  |
| AppLovin Corp 5.125% 12/1/2029  | 850000 | 855645 |
| AppLovin Corp 5.375% 12/1/2031  | 500000 | 504631 |
| AppLovin Corp 5.95% 12/1/2054  | 3300000 | 3154005 |
| Oracle Corp 6.125% 8/3/2065  | 1750000 | 1699124 |
| Roper Technologies Inc 2.95% 9/15/2029  | 1000000 | 935472 |
| VMware LLC 1.8% 8/15/2028  | 750000 | 686358 |
|  |  | 7835235 |
| Technology Hardware, Storage & Peripherals - 0.1% |  |  |
| Apple Inc 2.375% 2/8/2041  | 750000 | 513662 |
| Apple Inc 3.2% 5/11/2027  | 250000 | 245844 |
|  |  | 759506 |
| TOTAL INFORMATION TECHNOLOGY |  | 16754751 |
| Materials - 0.3% |  |  |
| Chemicals - 0.2% |  |  |
| Albemarle Corp 5.05% 6/1/2032  | 250000 | 231980 |
| EIDP Inc 5.125% 5/15/2032  | 1500000 | 1513939 |
|  |  | 1745919 |
| Containers & Packaging - 0.1% |  |  |
| WRKCo Inc 4% 3/15/2028  | 1000000 | 982246 |
| TOTAL MATERIALS |  | 2728165 |
| Real Estate - 1.5% |  |  |
| Diversified REITs - 0.6% |  |  |
| GLP Capital LP / GLP Financing II Inc 5.375% 4/15/2026  | 2750000 | 2743946 |
| VICI Properties LP 4.95% 2/15/2030  | 2000000 | 1984286 |
|  |  | 4728232 |
| Health Care REITs - 0.4% |  |  |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  | 2000000 | 1881795 |
| Ventas Realty LP 5.1% 7/15/2032  | 1000000 | 997422 |
| Ventas Realty LP 5.625% 7/1/2034  | 500000 | 505712 |
| Welltower OP LLC 2.05% 1/15/2029  | 750000 | 688651 |
|  |  | 4073580 |
| Real Estate Management & Development - 0.0% |  |  |
| Extra Space Storage LP 3.9% 4/1/2029  | 350000 | 339659 |
| Residential REITs - 0.1% |  |  |
| Camden Property Trust 3.15% 7/1/2029  | 750000 | 710860 |
| Retail REITs - 0.1% |  |  |
| Realty Income Corp 4% 7/15/2029  | 1400000 | 1365958 |
| Specialized REITs - 0.3% |  |  |
| American Tower Corp 3.95% 3/15/2029  | 1700000 | 1654492 |
| American Tower Corp 5.2% 2/15/2029  | 250000 | 254393 |
| Crown Castle Inc 5.6% 6/1/2029  | 1000000 | 1027506 |
|  |  | 2936391 |
| TOTAL REAL ESTATE |  | 14154680 |
| Utilities - 3.0% |  |  |
| Electric Utilities - 2.4% |  |  |
| American Electric Power Co Inc 3.875% 2/15/2062 (b) | 3500000 | 3341336 |
| Avangrid Inc 3.8% 6/1/2029  | 950000 | 916547 |
| Commonwealth Edison Co 2.2% 3/1/2030  | 1500000 | 1352925 |
| Duke Energy Corp 3.25% 1/15/2082 (b) | 3100000 | 2951464 |
| Duke Energy Progress LLC 6.3% 4/1/2038  | 500000 | 532171 |
| Edison International 5.25% 11/15/2028  | 500000 | 492583 |
| Edison International 5.45% 6/15/2029  | 650000 | 641660 |
| Edison International 6.95% 11/15/2029  | 950000 | 985625 |
| Entergy Louisiana LLC 3.1% 6/15/2041  | 750000 | 533615 |
| Entergy Tex Inc 5.25% 4/15/2035  | 750000 | 748257 |
| NextEra Energy Capital Holdings Inc 3.8% 3/15/2082 (b) | 1150000 | 1090602 |
| NextEra Energy Capital Holdings Inc 4.8% 12/1/2077 (b) | 200000 | 188522 |
| PacifiCorp 4.1% 2/1/2042  | 1000000 | 780493 |
| PacifiCorp 4.15% 2/15/2050  | 2400000 | 1771154 |
| PacifiCorp 6% 1/15/2039  | 2000000 | 2015190 |
| PacifiCorp 7.375% 9/15/2055 (b) | 650000 | 661329 |
| Southern California Edison Co 5.85% 11/1/2027  | 750000 | 767108 |
| Southern Co/The 3.75% 9/15/2051 (b) | 2075000 | 2027894 |
| Wisconsin Electric Power Co 5% 5/15/2029  | 1250000 | 1274944 |
|  |  | 23073419 |
| Gas Utilities - 0.0% |  |  |
| Atmos Energy Corp 5.75% 10/15/2052  | 250000 | 245416 |
| Multi-Utilities - 0.6% |  |  |
| Berkshire Hathaway Energy Co 6.125% 4/1/2036  | 1000000 | 1050790 |
| CenterPoint Energy Inc 6.7% 5/15/2055 (b) | 1000000 | 998056 |
| CenterPoint Energy Inc 7% 2/15/2055 (b) | 1225000 | 1257608 |
| NiSource Inc 5.4% 6/30/2033  | 1150000 | 1157014 |
| NiSource Inc 6.95% 11/30/2054 (b) | 625000 | 639519 |
| Sempra 4.125% 4/1/2052 (b) | 500000 | 471993 |
|  |  | 5574980 |
| TOTAL UTILITIES |  | 28893815 |
| TOTAL UNITED STATES |  | 192619493 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $292,543,906) |  | <br> **293331194** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 29.4%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 29.4%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 29.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 29.4%  |  |  |
| Fannie Mae 5.5% 1/1/2055  | 6722174 | 6659523 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 566703 | 513170 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  | 609094 | 551176 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2036  | 1885956 | 1704856 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2050  | 691777 | 564767 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 2562114 | 2091708 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 8417097 | 6871713 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2037  | 4107420 | 3805132 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2037  | 821379 | 760929 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2037  | 463080 | 428710 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2036  | 2031760 | 1880962 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2037  | 3635215 | 3428904 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2051  | 2103672 | 1796055 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2053  | 763866 | 722946 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 493714 | 467421 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2053  | 925545 | 874229 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2054  | 1838466 | 1783527 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2053  | 357396 | 346492 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2053  | 303131 | 293882 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2054  | 801125 | 775933 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2053 (e) | 4409315 | 4374779 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2055  | 3948160 | 3988314 |
| Freddie Mac Gold Pool 2% 10/1/2036  | 1292238 | 1167746 |
| Freddie Mac Gold Pool 2% 6/1/2036  | 2283830 | 2065237 |
| Freddie Mac Gold Pool 2.5% 1/1/2037  | 664927 | 614329 |
| Freddie Mac Gold Pool 3% 5/1/2037  | 1730352 | 1632148 |
| Freddie Mac Gold Pool 4.5% 1/1/2053  | 882071 | 834819 |
| Freddie Mac Gold Pool 4.5% 11/1/2053  | 947544 | 895601 |
| Freddie Mac Gold Pool 4.5% 5/1/2054  | 1129661 | 1066322 |
| Freddie Mac Gold Pool 4.5% 7/1/2053  | 714698 | 675519 |
| Freddie Mac Gold Pool 4.5% 9/1/2053  | 438995 | 414655 |
| Freddie Mac Gold Pool 5.5% 1/1/2054  | 448313 | 444802 |
| Freddie Mac Gold Pool 5.5% 12/1/2053  | 1338174 | 1327693 |
| Freddie Mac Gold Pool 5.5% 3/1/2054  | 3663388 | 3632405 |
| Freddie Mac Gold Pool 5.5% 7/1/2053  | 600003 | 595491 |
| Freddie Mac Gold Pool 6% 12/1/2054  | 922518 | 931900 |
| Freddie Mac Gold Pool 6% 3/1/2054  | 1171162 | 1183805 |
| Freddie Mac Gold Pool 6% 7/1/2054  | 378166 | 382750 |
| Ginnie Mae I Pool 6% 11/20/2052  | 262809 | 266650 |
| Ginnie Mae II Pool 2% 10/20/2050  | 1725861 | 1387204 |
| Ginnie Mae II Pool 2% 11/20/2050  | 3757792 | 3020418 |
| Ginnie Mae II Pool 2% 12/20/2050  | 1315095 | 1057040 |
| Ginnie Mae II Pool 2% 6/1/2055 (e) | 4950000 | 3976962 |
| Ginnie Mae II Pool 2% 8/20/2050  | 2594219 | 2086789 |
| Ginnie Mae II Pool 2% 9/20/2050  | 7127914 | 5733692 |
| Ginnie Mae II Pool 2.5% 1/20/2050  | 487311 | 409200 |
| Ginnie Mae II Pool 2.5% 10/20/2050  | 623927 | 523528 |
| Ginnie Mae II Pool 2.5% 11/20/2050  | 5413684 | 4542545 |
| Ginnie Mae II Pool 2.5% 12/20/2050  | 250697 | 210356 |
| Ginnie Mae II Pool 2.5% 6/1/2055 (e) | 5250000 | 4399679 |
| Ginnie Mae II Pool 2.5% 8/20/2050  | 10539818 | 8841614 |
| Ginnie Mae II Pool 3% 4/20/2051  | 720446 | 628879 |
| Ginnie Mae II Pool 3.5% 6/1/2055 (e) | 2350000 | 2091713 |
| Ginnie Mae II Pool 3.5% 7/1/2055 (e) | 1800000 | 1601530 |
| Ginnie Mae II Pool 4% 6/1/2055 (e) | 16050000 | 14709610 |
| Ginnie Mae II Pool 4% 7/1/2055 (e) | 2000000 | 1832739 |
| Ginnie Mae II Pool 5.5% 11/20/2054  | 2811821 | 2794086 |
| Ginnie Mae II Pool 6% 6/1/2055 (e) | 6500000 | 6563133 |
| Ginnie Mae II Pool 6% 7/1/2055 (e) | 6500000 | 6553230 |
| Ginnie Mae II Pool 6.5% 6/1/2055 (e) | 500000 | 510692 |
| Uniform Mortgage Backed Securities 1.5% 6/1/2040 (e) | 850000 | 745465 |
| Uniform Mortgage Backed Securities 2% 6/1/2040 (e) | 1600000 | 1444938 |
| Uniform Mortgage Backed Securities 2% 6/1/2055 (e) | 22250000 | 17295027 |
| Uniform Mortgage Backed Securities 2% 7/1/2055 (e) | 8250000 | 6416308 |
| Uniform Mortgage Backed Securities 2.5% 6/1/2055 (e) | 42500000 | 34635834 |
| Uniform Mortgage Backed Securities 3% 6/1/2040 (e) | 3500000 | 3298885 |
| Uniform Mortgage Backed Securities 3% 6/1/2055 (e) | 14000000 | 11917493 |
| Uniform Mortgage Backed Securities 3.5% 6/1/2055 (e) | 7700000 | 6830137 |
| Uniform Mortgage Backed Securities 3.5% 7/1/2055 (e) | 4700000 | 4168126 |
| Uniform Mortgage Backed Securities 4% 6/1/2040 (e) | 1900000 | 1839882 |
| Uniform Mortgage Backed Securities 4% 6/1/2055 (e) | 25000000 | 22921863 |
| Uniform Mortgage Backed Securities 4.5% 6/1/2055 (e) | 2500000 | 2358986 |
| Uniform Mortgage Backed Securities 5% 6/1/2055 (e) | 14000000 | 13555387 |
| Uniform Mortgage Backed Securities 5% 7/1/2055 (e) | 1000000 | 967617 |
| Uniform Mortgage Backed Securities 5.5% 6/1/2055 (e) | 9500000 | 9407975 |
| Uniform Mortgage Backed Securities 6% 6/1/2055 (e) | 5000000 | 5050196 |
| Uniform Mortgage Backed Securities 6.5% 6/1/2055 (e) | 750000 | 770156 |
| TOTAL UNITED STATES |  | 279915914 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $280,659,191) |  | <br> **279915914** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.5%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.5%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.5%  |  |  |
| Financials - 0.1% |  |  |
| Financial Services - 0.1% |  |  |
| Fannie Mae 5.625% 7/15/2037  | 1250000 | 1350034 |
| Utilities - 0.4% |  |  |
| Independent Power and Renewable Electricity Producers - 0.4% |  |  |
| Tennessee Valley Authority 4.625% 9/15/2060  | 150000 | 127454 |
| Tennessee Valley Authority 5.25% 2/1/2055  | 2500000 | 2369804 |
| Tennessee Valley Authority 6.15% 1/15/2038  | 500000 | 553964 |
|  |  | 3051222 |
| TOTAL UNITED STATES |  | 4401256 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $4,521,546) |  | <br> **4401256** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 35.8%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 35.8%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 35.8%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 35.8%** |
|  | Yield (%) (f) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 2.25% 8/15/2049 (g) | 4.63 to 5.11 | 26500000 | 16212617 |
| US Treasury Bonds 2.875% 5/15/2043  | 4.51 to 5.03 | 19850000 | 14991402 |
| US Treasury Bonds 3.125% 5/15/2048  | 4.69 to 5.15 | 30500000 | 22622422 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.50 to 5.00 | 26000000 | 24269376 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.64 to 5.02 | 15250000 | 14647148 |
| US Treasury Notes 0.75% 8/31/2026  | 3.84 to 4.01 | 15000000 | 14399414 |
| US Treasury Notes 2.875% 5/15/2028  | 3.69 to 4.01 | 38000000 | 36953516 |
| US Treasury Notes 3.75% 8/15/2027  | 3.68 to 4.04 | 33000000 | 32896875 |
| US Treasury Notes 4% 1/31/2031  | 3.90 to 4.26 | 24000000 | 23940937 |
| US Treasury Notes 4.25% 1/31/2030  | 4.05 | 1300000 | 1316047 |
| US Treasury Notes 4.375% 5/15/2034  | 4.10 to 4.44 | 59000000 | 59165938 |
| US Treasury Notes 4.5% 5/31/2029  | 3.72 to 4.10 | 50000000 | 51058594 |
| US Treasury Notes 4.625% 5/31/2031  | 3.84 to 4.19 | 27000000 | 27768867 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $342,599,318) |  |  | **340243153** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 20.8%** | &nbsp;&nbsp;**Money Market Funds - 20.8%** | &nbsp;&nbsp;**Money Market Funds - 20.8%** | &nbsp;&nbsp;**Money Market Funds - 20.8%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (h)<br>(Cost $198,180,538)<br>| 4.32 | 198140910 | **198180538** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 121.3%**<br> (Cost $1,157,017,544)<br>| <br>**1154537665** |
| **NET OTHER ASSETS (LIABILITIES) - (21.3)%**  | **(203023952)** |
| **NET ASSETS - 100.0%** | **951513713** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 6/1/2055 | (1850000) | (1486339) |
| Ginnie Mae II Pool 2.5% 6/1/2055 | (5250000) | (4399679) |
| Ginnie Mae II Pool 3.5% 6/1/2055 | (1800000) | (1602163) |
| Ginnie Mae II Pool 6% 6/1/2055 | (6500000) | (6563134) |
| Uniform Mortgage Backed Securities 2% 6/1/2055 | (8250000) | (6412763) |
| Uniform Mortgage Backed Securities 2.5% 6/1/2055 | (8500000) | (6927167) |
| Uniform Mortgage Backed Securities 3% 6/1/2040 | (3500000) | (3298885) |
| Uniform Mortgage Backed Securities 3.5% 6/1/2055 | (4700000) | (4169045) |
| Uniform Mortgage Backed Securities 5.5% 6/1/2055 | (4500000) | (4456409) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (39315584) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $39,137,972) |  | <br> **(39315584)** |

---

**Legend**

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

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

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $5,834,823 or 0.6% of net assets.

(d) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

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

(f) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(g) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $1,412,089.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | - | 244754961 | 46574423 | 997696 | - | - | 198180538 | 198140910 | 0.4% |
| Total | - | 244754961 | 46574423 | 997696 | - | - | 198180538 |  |  |

---

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

**Investment Valuation**

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

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

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

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

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

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

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

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Fidelity SAI Enhanced Core Bond Fund

- **b. EDGAR series identifier (if any):** S000090603

- **c. LEI of Series:** 2549002BBZXSDISY9L21

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-05-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1199414606.67

**Total Liabilities:** $250557161.30

**Net Assets:** $948857445.37

**Delayed Delivery Securities:** $190531579.60

**Cash Not Reported:** $2693988.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 11723.29813007 | **1-Year:** 80290.29613454 | **5-Year:** 149840.36367115 | **10-Year:** 157398.75756238 | **30-Year:** 88236.09077395

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

- **3-Month:** 45.98790000 | **1-Year:** 146.18379000 | **5-Year:** 144.10326000 | **10-Year:** 5.25877500 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000257875 |  | 0.23%                | -0.66%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1534.39                | $478018.16                                 |
| Month 2  | $-1204840.65             | $1728825.23                                |
| Month 3  | $-208886.58              | $-4871557.04                               |

**Designated Index Information**

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

- **Index Identifier:** 19808143

### Schedule of Portfolio Investments

| Name                                                                            | Title                                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BLUE OWL CAPITAL CORP                                                           | BLUE OWL CAPITAL CORP 3.4% 07/15/2026                                                             | CUSIP: 69121KAE4<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $978205.83    | 0.10%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 5.1% 07/15/2032                                                       | CUSIP: 92277GBB2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $997422.00    | 0.11%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                           | WELLS FARGO COMMERCIAL MORTGAGE TRUST 21-C59 A5 2.626% 04/15/2054                                 | CUSIP: 95003CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $433411.50    | 0.05%             | 2054-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TR 2022-4                                      | SANTANDER DRIVE AUTO RECEIVABLES TR 2022-4 5% 11/15/2029                                          | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $250729.75    | 0.03%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                           | KINDER MORGAN INC DEL 4.8% 02/01/2033                                                             | CUSIP: 49456BAV3<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    500000 | PA      | $482896.26    | 0.05%             | 2033-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GC38                                                        | GS MTG SECS TR 2019-GC38 3.968% 02/10/2052                                                        | CUSIP: 36252SAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413000 | PA      | $398561.60    | 0.04%             | 2052-02-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAP CORP                                                               | NOVARTIS CAP CORP 2.2% 08/14/2030                                                                 | CUSIP: 66989HAR9<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    250000 | PA      | $225069.89    | 0.02%             | 2030-08-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 07/01/2055 #TBA                                                                      | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1800000 | PA      | $1601530.38   | 0.17%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                                                | EXXON MOBIL CORP 3.567% 03/06/2045                                                                | CUSIP: 30231GAN2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    350000 | PA      | $261863.79    | 0.03%             | 2045-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK 5.146%/VAR 09/10/2034                                                       | CUSIP: 89116CQJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   2600000 | PA      | $2576707.38   | 0.27%             | 2034-09-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLUE OWL TECHNOLOGY FINANCE CORP                                                | BLUE OWL TECHNOLOGY FINANCE CORP 6.1% 03/15/2028 144A                                             | CUSIP: 095924AA4<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |    750000 | PA      | $743689.82    | 0.08%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC DEL                                                        | WASTE MANAGEMENT INC DEL 3.875% 01/15/2029 144A                                                   | CUSIP: 94106LBZ1<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1713147.05   | 0.18%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 4.125% 06/15/2029                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $973698.47    | 0.10%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B24 MTG TR                                                       | BENCHMARK 2021-B24 MTG TR 2.5843% 03/15/2054                                                      | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $431756.15    | 0.05%             | 2054-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 3.85% 06/01/2060                                                                     | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    700000 | PA      | $475355.13    | 0.05%             | 2060-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| S and P GLOBAL INC                                                              | S and P GLOBAL INC 2.7% 03/01/2029                                                                | CUSIP: 78409VBJ2<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    850000 | PA      | $801097.09    | 0.08%             | 2029-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                                 | TYSON FOODS INC 4.35% 03/01/2029                                                                  | CUSIP: 902494BK8<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $989046.98    | 0.10%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                                            | VERIZON MASTER TRUST 5.54% 04/22/2030                                                             | CUSIP: 92348KCS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $101212.96    | 0.01%             | 2030-04-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                            | EDISON INTERNATIONAL 6.95% 11/15/2029                                                             | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    950000 | PA      | $985624.93    | 0.10%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FIN LTD                                                                | WOODSIDE FIN LTD 4.9% 05/19/2028                                                                  | CUSIP: 980236AX1<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   2300000 | PA      | $2299892.71   | 0.24%             | 2028-05-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1800000 | PA      | $-1602163.26  | -0.17%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                      | TENNESSEE VALLEY AUTHORITY 4.625% 09/15/2060                                                      | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |    150000 | PA      | $127453.70    | 0.01%             | 2060-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 3.459% 11/25/2032                                                  | CUSIP: 3137FDET5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $231575.68    | 0.02%             | 2032-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 5.737%/VAR 05/15/2029                                                               | CUSIP: 02005NBZ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    136000 | PA      | $137332.05    | 0.01%             | 2029-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 4.11%/VAR 07/24/2034                                                         | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   2250000 | PA      | $2154426.84   | 0.23%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.125% 05/15/2048                                                     | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30500000 | PA      | $22622421.88  | 2.38%             | 2048-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                    | NEXTERA ENERGY CAP HLDGS INC 3.8%/VAR 03/15/2082                                                  | CUSIP: 65339KCB4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1090602.04   | 0.11%             | 2082-03-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 4.875% 02/13/2029                                                          | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1265476.48   | 0.13%             | 2029-02-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2053#MA5163                                                                  | CUSIP: 31418EWZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    925545 | PA      | $874228.77    | 0.09%             | 2053-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 4.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2358985.50   | 0.25%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -4700000 | PA      | $-4169044.76  | -0.44%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | GENERAL MOTORS CO 5.35% 04/15/2028                                                                | CUSIP: 37045VBC3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1260089.19   | 0.13%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2053#MA5189                                                                    | CUSIP: 31418EXT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303131 | PA      | $293882.59    | 0.03%             | 2053-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 5.297%/VAR 05/09/2031                                              | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1001382.52   | 0.11%             | 2031-05-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                    | GALLAGHER (ARTHUR J.) and CO 6.75% 02/15/2054                                                     | CUSIP: 04316JAG4<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    750000 | PA      | $809175.74    | 0.09%             | 2054-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.623%/VAR 05/09/2029                                                 | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1249703.65   | 0.13%             | 2029-05-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                                 | MAREX GROUP PLC 5.829% 05/08/2028                                                                 | CUSIP: 566539AB8<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |   2150000 | PA      | $2159503.99   | 0.23%             | 2028-05-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                             | BROWN and BROWN INC 4.2% 03/17/2032                                                               | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    500000 | PA      | $467392.76    | 0.05%             | 2032-03-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                      | FIDELITY NATL INFORMN SVCS INC 3.1% 03/01/2041                                                    | CUSIP: 31620MBU9<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $712943.14    | 0.08%             | 2041-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B9 MTG TR                                                        | BENCHMARK 2019-B9 MTG TR 2.928% 12/15/2072                                                        | CUSIP: 08160KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $410438.39    | 0.04%             | 2072-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 12/01/2053#SD8383                                                                  | CUSIP: 3132DWJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1338174 | PA      | $1327693.10   | 0.14%             | 2053-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                | LPL HOLDINGS INC 6% 05/20/2034                                                                    | CUSIP: 50212YAK0<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1015637.65   | 0.11%             | 2034-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-3                                                  | CARMAX AUTO OWNER TRUST 2024-3 4.89% 07/16/2029                                                   | CUSIP: 14319GAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    597000 | PA      | $601083.54    | 0.06%             | 2029-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 5.25%/VAR 08/16/2077                                                    | CUSIP: 29379VBN2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1500548.76   | 0.16%             | 2077-08-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H022663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5250000 | PA      | $4399679.03   | 0.46%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2022-B34 MORTGAGE TRUST                                               | BENCHMARK 2022-B34 MORTGAGE TRUST 3.786% 04/15/2055                                               | CUSIP: 08161YBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $226429.33    | 0.02%             | 2055-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 2% 06/01/2040 #TBA                                                                      | CUSIP: 01F020463<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1600000 | PA      | $1444938.24   | 0.15%             | 2040-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-A                                             | FORD CREDIT AUTO OWNER TRUST 2023-A 4.56% 12/15/2028                                              | CUSIP: 344928AE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $250671.25    | 0.03%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30                                | MSBAM 2016-C30 A5 2.86% 09/15/49                                                                  | CUSIP: 61766NBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $873186.30    | 0.09%             | 2049-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                                          | CENTERPOINT ENERGY INC 6.7%/VAR 05/15/2055                                                        | CUSIP: 15189TBP1<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $998055.79    | 0.11%             | 2055-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 01/31/2031                                                                           | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24000000 | PA      | $23940937.44  | 2.52%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC 5.71% 01/13/2030                                                     | CUSIP: 86562MCW8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    750000 | PA      | $780987.32    | 0.08%             | 2030-01-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 4.8% 02/14/2029                                                                  | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    750000 | PA      | $752683.31    | 0.08%             | 2029-02-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.875% 05/15/2028                                                                       | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38000000 | PA      | $36953515.72  | 3.89%             | 2028-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENEL CHILE SA                                                                   | ENEL CHILE SA 4.875% 06/12/2028                                                                   | CUSIP: 29278DAA3<br>LEI: 549300YM5CWCAUVOPB53 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $198656.00    | 0.02%             | 2028-06-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2053#SD6736                                                                  | CUSIP: 3132DUPV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    947544 | PA      | $895600.64    | 0.09%             | 2053-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                            | EDISON INTERNATIONAL 5.45% 06/15/2029                                                             | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    650000 | PA      | $641659.54    | 0.07%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                           | 3M CO 2.375% 08/26/2029                                                                           | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    500000 | PA      | $460189.08    | 0.05%             | 2029-08-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 4.755%/VAR 06/09/2028                                                           | CUSIP: 404280DF3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    625000 | PA      | $624428.44    | 0.07%             | 2028-06-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5%/VAR 01/31/2056                            | CUSIP: 00774MBQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    950000 | PA      | $936395.93    | 0.10%             | 2056-01-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#FS2660                                                                  | CUSIP: 3140XH5W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8417097 | PA      | $6871712.70   | 0.72%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-CX10 COML MTG TR                                                     | CSAIL 2017-CX10 COMMERCIAL MORTGAGE TRUST 3.4578% 11/15/2027                                      | CUSIP: 12595JAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $431538.35    | 0.05%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                | ISRAEL STATE OF 2.75% 07/03/2030                                                                  | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   1500000 | PA      | $1334898.00   | 0.14%             | 2030-07-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                     | WALMART INC 2.5% 09/22/2041                                                                       | CUSIP: 931142EU3<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    500000 | PA      | $345285.26    | 0.04%             | 2041-09-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 2.559% 02/25/2030                                                      | CUSIP: 606822BR4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2250000 | PA      | $2045062.53   | 0.22%             | 2030-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.25% 08/15/2049                                                      | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26500000 | PA      | $16212617.32  | 1.71%             | 2049-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                  | FAIRFAX FINANCIAL HLDGS LTD 6.5% 05/20/2055 144A                                                  | CUSIP: 303901BW1<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |   1690000 | PA      | $1674686.39   | 0.18%             | 2055-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                    | ING GROEP NV 4.05% 04/09/2029                                                                     | CUSIP: 456837AQ6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1500000 | PA      | $1469546.58   | 0.15%             | 2029-04-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 1.5% 06/01/2040 #TBA                                                                    | CUSIP: 01F012460<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    850000 | PA      | $745465.39    | 0.08%             | 2040-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CSAIL 2021-C20                                                                  | CSAIL 2021-C20 2.8048% 03/15/2054                                                                 | CUSIP: 22945EAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $133066.59    | 0.01%             | 2054-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                                       | BENCHMARK 2019-B14 MTG TR 2.7946% 12/15/2062                                                      | CUSIP: 08162YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $368533.52    | 0.04%             | 2062-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                      | FISERV INC 3.5% 07/01/2029                                                                        | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1620659.59   | 0.17%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVANGRID INC                                                                    | AVANGRID INC 3.8% 06/01/2029                                                                      | CUSIP: 05351WAB9<br>LEI: 549300OX0Q38NLSKPB49 | Long             | DBT              | CORP              | US        |    950000 | PA      | $916546.79    | 0.10%             | 2029-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 2.375% 02/08/2041                                                                       | CUSIP: 037833EE6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    750000 | PA      | $513661.51    | 0.05%             | 2041-02-08      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO LEASE TRUST 2024-A                                                  | NISSAN AUTO LEASE TRUST 2024-A 4.97% 09/15/2028                                                   | CUSIP: 65481CAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    700000 | PA      | $703050.11    | 0.07%             | 2028-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 03/01/2054#SD8409                                                                    | CUSIP: 3132DWKW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1171162 | PA      | $1183805.10   | 0.12%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H022663<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -5250000 | PA      | $-4399679.03  | -0.46%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.5% 05/31/2029                                                                         | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48000000 | PA      | $49016250.24  | 5.17%             | 2029-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 6.565%/VAR 06/12/2029                                                     | CUSIP: 80282KBG0<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    750000 | PA      | $778298.54    | 0.08%             | 2029-06-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 08/20/2050#MA6819                                                                    | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10539818 | PA      | $8841614.07   | 0.93%             | 2050-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 6% 06/01/2055 #TBA                                                                      | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5050195.50   | 0.53%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                      | TENNESSEE VALLEY AUTHORITY 6.15% 01/15/2038                                                       | CUSIP: 880591CP5<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |    500000 | PA      | $553963.99    | 0.06%             | 2038-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO 5.389%/VAR 07/28/2027                                                         | CUSIP: 025816DG1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1008917.95   | 0.11%             | 2027-07-28      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                                                 | BANK 2020-BNK25 2.841% 01/15/2063                                                                 | CUSIP: 06539WBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355000 | PA      | $318313.63    | 0.03%             | 2063-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA 1.722%/VAR 09/14/2027                                                          | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2200000 | PA      | $2114750.84   | 0.22%             | 2027-09-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                    | ING GROEP NV 5.066%/VAR 03/25/2031                                                                | CUSIP: 456837BR3<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    750000 | PA      | $754233.08    | 0.08%             | 2031-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA 5.552%/VAR 03/14/2028                                                          | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1400000 | PA      | $1416857.48   | 0.15%             | 2028-03-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                   | APPLOVIN CORP 5.375% 12/01/2031                                                                   | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    500000 | PA      | $504630.89    | 0.05%             | 2031-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE PRIME AUTO RECEIVABLES TR 2024-1                                    | CAPITAL ONE PRIME AUTO RECEIVABLES TR 2024-1 4.62% 07/16/2029                                     | CUSIP: 14043NAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $501786.85    | 0.05%             | 2029-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 5.592%/VAR 11/19/2034                                                               | CUSIP: 172967PN5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    750000 | PA      | $751482.49    | 0.08%             | 2034-11-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                            | SABRA HEALTH CARE LP 3.9% 10/15/2029                                                              | CUSIP: 78572XAG6<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $937704.50    | 0.10%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL FINANCIAL INC                                                 | FIDELITY NATIONAL FINANCIAL INC 4.5% 08/15/2028                                                   | CUSIP: 31620RAH8<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $991160.18    | 0.10%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASTEC INC                                                                      | MASTEC INC 5.9% 06/15/2029                                                                        | CUSIP: 576323AT6<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |   2450000 | PA      | $2513908.25   | 0.26%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H062669<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $510691.85    | 0.05%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 07/01/2055 #TBA                                                                        | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6500000 | PA      | $6553230.45   | 0.69%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2016-BNK2                                               | MORGAN STANLEY CAP I TR 2016-BNK2 3.049% 11/15/2049                                               | CUSIP: 61690YBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $484626.20    | 0.05%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-2                               | GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-2 4.82% 10/16/2028                                | CUSIP: 362583AF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $502011.20    | 0.05%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 3.584%/VAR 05/22/2028                                                      | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $979797.54    | 0.10%             | 2028-05-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                                     | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15250000 | PA      | $14647148.44  | 1.54%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.5% 04/15/2038                                                                           | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $905410.34    | 0.10%             | 2038-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                                                  | BANK 2021-BN35 2.457% 06/15/2064                                                                  | CUSIP: 06540CCL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $303227.82    | 0.03%             | 2064-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                                                      | HASBRO INC 6.05% 05/14/2034                                                                       | CUSIP: 418056BA4<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    250000 | PA      | $253343.42    | 0.03%             | 2034-05-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 6.375% 05/16/2038                                                          | CUSIP: 718172AC3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    400000 | PA      | $434588.30    | 0.05%             | 2038-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-1                                                  | CARMAX AUTO OWNER TRUST 2024-1 4.92% 10/16/2028                                                   | CUSIP: 14318WAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $250911.48    | 0.03%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                           | QUEST DIAGNOSTICS INC 4.625% 12/15/2029                                                           | CUSIP: 74834LBF6<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    250000 | PA      | $250465.42    | 0.03%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C18 COML MTG TR                                                      | CSAIL 2019-C18 COML MTG TR 2.968% 12/15/2052                                                      | CUSIP: 12597DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $160785.47    | 0.02%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2037#MA4604                                                                    | CUSIP: 31418EDJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3635215 | PA      | $3428904.12   | 0.36%             | 2037-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WORLD FINL NETWORK CC MASTR TR                                                  | WORLD FINL NETWORK CC MASTR TR 5.47% 02/15/2031                                                   | CUSIP: 981464HR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $509781.00    | 0.05%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CUMMINS INC                                                                     | CUMMINS INC 4.7% 02/15/2031                                                                       | CUSIP: 231021AZ9<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | DBT              | CORP              | US        |    900000 | PA      | $896911.90    | 0.09%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                    | DISCOVERY COMMUNICATIONS LLC 4.125% 05/15/2029                                                    | CUSIP: 25470DBF5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $931124.07    | 0.10%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3% 06/01/2055 #TBA                                                                      | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14000000 | PA      | $11917493.00  | 1.26%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.24%/VAR 05/13/2031                                                            | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1250000 | PA      | $1255638.36   | 0.13%             | 2031-05-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 06/01/2055 #TBA                                                                      | CUSIP: 01F020661<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  22250000 | PA      | $17295027.35  | 1.82%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA LUXEMBOURG                                                     | ARCELORMITTAL SA LUXEMBOURG 6.55% 11/29/2027                                                      | CUSIP: 03938LBE3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    750000 | PA      | $777805.88    | 0.08%             | 2027-11-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | INTERCONTINENTAL EXCHANGE INC 5.2% 06/15/2062                                                     | CUSIP: 45866FAY0<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1348634.70   | 0.14%             | 2062-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAMDEN PROPERTY TRUST                                                           | CAMDEN PROPERTY TRUST 3.15% 07/01/2029                                                            | CUSIP: 133131AX0<br>LEI: 5493002MYX22OHYJBD89 | Long             | DBT              | CORP              | US        |    750000 | PA      | $710859.85    | 0.07%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 6.174%/VAR 01/09/2030                                                     | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    500000 | PA      | $515850.00    | 0.05%             | 2030-01-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                           | MICRON TECHNOLOGY INC 6.05% 11/01/2035                                                            | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1019713.72   | 0.11%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ESSENT GROUP LTD                                                                | ESSENT GROUP LTD 6.25% 07/01/2029                                                                 | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | BM        |    750000 | PA      | $773121.37    | 0.08%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GC39                                                        | GS MTG SECS TR 2019-GC39 3.567% 05/10/2052                                                        | CUSIP: 36260JAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $187408.26    | 0.02%             | 2052-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 05/01/2037#SB8155                                                                    | CUSIP: 3132D6BY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1730352 | PA      | $1632148.34   | 0.17%             | 2037-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE INC                                                       | UNITED PARCEL SERVICE INC 4.65% 10/15/2030                                                        | CUSIP: 911312CH7<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1505514.45   | 0.16%             | 2030-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2023-C19                                                           | BBCMS MTG TR 2023-C19 5.753% 04/15/2056                                                           | CUSIP: 05553RAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $354750.38    | 0.04%             | 2056-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY                                                          | SMURFIT KAPPA TREASURY 5.2% 01/15/2030                                                            | CUSIP: 83272GAD3<br>LEI: 635400B3DOXSWFOWJT40 | Long             | DBT              | CORP              | IE        |   1500000 | PA      | $1516512.00   | 0.16%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 4% 06/01/2040 #TBA                                                                      | CUSIP: 01F040461<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1900000 | PA      | $1839882.29   | 0.19%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INTL FIN BV                                                    | DEUTSCHE TELEKOM INTL FIN BV VAR 06/15/2030                                                       | CUSIP: 25156PAC7<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |   1400000 | PA      | $1641049.75   | 0.17%             | 2030-06-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ENACT HOLDINGS INC                                                              | ENACT HOLDINGS INC 6.25% 05/28/2029                                                               | CUSIP: 29249EAA7<br>LEI: 9845003CA5664B741N19 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3696214.97   | 0.39%             | 2029-05-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                                 | MAREX GROUP PLC 6.404% 11/04/2029                                                                 | CUSIP: 566539AA0<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |   1875000 | PA      | $1910745.30   | 0.20%             | 2029-11-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                     | EQUINOR ASA 3.125% 04/06/2030                                                                     | CUSIP: 29446MAF9<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    100000 | PA      | $94382.37     | 0.01%             | 2030-04-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 3.526%/VAR 03/24/2028                                                      | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1225995.76   | 0.13%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C3                                                         | UBS COML MTG TR 2017-C3 3.426% 08/15/2050                                                         | CUSIP: 90276GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $144615.20    | 0.02%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 06/01/2055 #TBA                                                                        | CUSIP: 21H020667<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1850000 | PA      | $-1486339.21  | -0.16%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BMO 2023-5C2 MORTGAGE TRUST                                                     | BMO 2023-5C2 MORTGAGE TRUST VAR 11/15/2056                                                        | CUSIP: 05610QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $533313.35    | 0.06%             | 2056-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                                          | CHUBB INA HOLDINGS INC 4.65% 08/15/2029                                                           | CUSIP: 171239AL0<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    250000 | PA      | $252455.57    | 0.03%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK12                                                                 | BANK 2018-BNK12 VAR 05/15/2061                                                                    | CUSIP: 06541KBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665000 | PA      | $650213.92    | 0.07%             | 2061-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LTD                                                       | TRANSCANADA PIPELINES LTD 6.2% 10/15/2037                                                         | CUSIP: 89352HAD1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $509817.86    | 0.05%             | 2037-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 3% 06/01/2040 #TBA                                                                      | CUSIP: 01F030462<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -3500000 | PA      | $-3298885.10  | -0.35%            | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 5.625% 07/01/2034                                                     | CUSIP: 92277GAX5<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    500000 | PA      | $505711.75    | 0.05%             | 2034-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                                     | HONEYWELL INTL INC 4.7% 02/01/2030                                                                | CUSIP: 438516CY0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302540.28    | 0.03%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUSTRIES INC                                               | HUNTINGTON INGALLS INDUSTRIES INC 5.353% 01/15/2030                                               | CUSIP: 446413BA3<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1523498.54   | 0.16%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | AMERICAN TOWER CORP 3.95% 03/15/2029                                                              | CUSIP: 03027XAU4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1654492.24   | 0.17%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST 2024-A                                         | HARLEY-DAVIDSON MOTORCYCLE TRUST 2024-A 5.29% 12/15/2031                                          | CUSIP: 412922AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    180000 | PA      | $183396.26    | 0.02%             | 2031-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 5.247%/VAR 07/26/2030                                                  | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201813.53    | 0.02%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEX INC                                                                 | ENTERGY TEX INC 5.25% 04/15/2035                                                                  | CUSIP: 29365TAQ7<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    750000 | PA      | $748257.44    | 0.08%             | 2035-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                  | US BANCORP DEL 6.787%/VAR 10/26/2027                                                              | CUSIP: 91159HJP6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    750000 | PA      | $772240.91    | 0.08%             | 2027-10-26      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                               | UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST 5.875% 04/15/2029                               | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    745305 | PA      | $758535.33    | 0.08%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 05/01/2036#MA4329                                                                    | CUSIP: 31418DY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    609094 | PA      | $551176.19    | 0.06%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 03/01/2054#SD8408                                                                  | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3663388 | PA      | $3632404.75   | 0.38%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F022667<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -8500000 | PA      | $-6927166.80  | -0.73%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NISOURCE INC 5.4% 06/30/2033                                                                      | CUSIP: 65473PAP0<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1157013.14   | 0.12%             | 2033-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                              | ROYALTY PHARMA PLC 5.15% 09/02/2029                                                               | CUSIP: 78081BAQ6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   1850000 | PA      | $1870761.63   | 0.20%             | 2029-09-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CORNING INC                                                                     | CORNING INC 5.45% 11/15/2079                                                                      | CUSIP: 219350BQ7<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1525063.91   | 0.16%             | 2079-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                    | NEXTERA ENERGY CAP HLDGS INC 4.8%/VAR 12/01/2077                                                  | CUSIP: 65339KAV2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    200000 | PA      | $188521.70    | 0.02%             | 2077-12-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.25% 01/31/2030                                                                        | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $1316046.88   | 0.14%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORP                                                                  | TD SYNNEX CORP 1.75% 08/09/2026                                                                   | CUSIP: 87162WAF7<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192467.21    | 0.02%             | 2026-08-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B29 MORTGAGE TRUST                                               | BENCHMARK 2021-B29 MORTGAGE TRUST 2.284% 09/15/2054                                               | CUSIP: 08163JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $408717.99    | 0.04%             | 2054-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TR 2022-3                                      | SANTANDER DRIVE AUTO RECEIVABLES TR 2022-3 4.49% 08/15/2029                                       | CUSIP: 80285UAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    635000 | PA      | $633823.22    | 0.07%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WEIR GROUP INC                                                                  | WEIR GROUP INC 5.35% 05/06/2030 144A                                                              | CUSIP: 94877DAA2<br>LEI: 2138009WEPEV2V98AV65 | Long             | DBT              | CORP              | US        |    750000 | PA      | $753076.64    | 0.08%             | 2030-05-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                | LPL HOLDINGS INC 5.2% 03/15/2030                                                                  | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1004450.21   | 0.11%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 5.473%/VAR 03/20/2029                                                     | CUSIP: 80282KBN5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2268123.28   | 0.24%             | 2029-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MANULIFE FINANCIAL CORP                                                         | MANULIFE FINANCIAL CORP 4.061%/VAR 02/24/2032                                                     | CUSIP: 56501RAE6<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |   2250000 | PA      | $2217117.98   | 0.23%             | 2032-02-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 10/20/2050#MA6930                                                                      | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1725861 | PA      | $1387203.67   | 0.15%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                  | PNC FINANCIAL SERVICES GRP INC 4.626%/VAR 06/06/2033                                              | CUSIP: 693475BE4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2138058.05   | 0.23%             | 2033-06-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                              | PANAMA REPUBLIC OF 3.16% 01/23/2030                                                               | CUSIP: 698299BK9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   1750000 | PA      | $1543255.00   | 0.16%             | 2030-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 2.956%/VAR 05/13/2031                                                       | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2276272.10   | 0.24%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                             | HUNGARY REPUBLIC OF 7.625% 03/29/2041                                                             | CUSIP: 445545AF3<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |   1000000 | PA      | $1107180.00   | 0.12%             | 2041-03-29      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                        | UTAH ACQUISITION SUB INC 3.95% 06/15/2026                                                         | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1233665.13   | 0.13%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 01/01/2037#SB8138                                                                  | CUSIP: 3132D6BF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    664927 | PA      | $614328.81    | 0.06%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                           | GENERAL DYNAMICS CORP 4.95% 08/15/2035                                                            | CUSIP: 369550BR8<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    700000 | PA      | $688670.23    | 0.07%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                            | EDISON INTERNATIONAL 5.25% 11/15/2028                                                             | CUSIP: 281020AY3<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    500000 | PA      | $492583.37    | 0.05%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 04/01/2055#FA1377                                                                    | CUSIP: 3140W1Q71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3948160 | PA      | $3988314.06   | 0.42%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                               | ATMOS ENERGY CORP 5.75% 10/15/2052                                                                | CUSIP: 049560AY1<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    250000 | PA      | $245416.10    | 0.03%             | 2052-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                                          | CENTERPOINT ENERGY INC 7%/VAR 02/15/2055                                                          | CUSIP: 15189TBH9<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1257608.28   | 0.13%             | 2055-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TR 2024-C                                                      | JOHN DEERE OWNER TR 2024-C 4.15% 08/15/2031                                                       | CUSIP: 477911AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45000 | PA      | $44693.50     | 0.00%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                                  | SHELL INTL FIN B V 3.125% 11/07/2049                                                              | CUSIP: 822582CE0<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $162156.24    | 0.02%             | 2049-11-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALBEMARL CORP                                                                   | ALBEMARLE CORP US 5.05% 06/01/2032                                                                | CUSIP: 012653AE1<br>LEI: HDBLS2Q6GV1LSKQPBS54 | Long             | DBT              | CORP              | US        |    250000 | PA      | $231980.02    | 0.02%             | 2032-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2016-C4                                                  | JPMDB COML MTG SECS TR 2016-C4 A3 3.1413% 12/15/2049                                              | CUSIP: 46646RAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $290773.62    | 0.03%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 5.125% 11/17/2027                                                          | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1933738.07   | 0.20%             | 2027-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CROWN CASTLE INC 5.6% 06/01/2029                                                                  | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1027505.59   | 0.11%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2018-C10                                                        | UBS COML MTG TR 2018-C10 A4 4.3134% 05/15/2051                                                    | CUSIP: 90276FAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $343176.23    | 0.04%             | 2051-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 06/01/2055 #TBA                                                                      | CUSIP: 01F020661<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -8250000 | PA      | $-6412762.95  | -0.68%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS5                                                         | GS MTG SECS TR 2017-GS5 3.674% 03/10/2050                                                         | CUSIP: 36252HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $389677.16    | 0.04%             | 2050-03-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TR 2023-5                                      | SANTANDER DRIVE AUTO RECEIVABLES TR 2023-5 6.16% 12/17/2029                                       | CUSIP: 80286PAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $152664.09    | 0.02%             | 2029-12-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                | SOUTHERN COMPANY 3.75%/VAR 09/15/2051                                                             | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   2075000 | PA      | $2027893.56   | 0.21%             | 2051-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 06/01/2055 #TBA                                                                        | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -6500000 | PA      | $-6563133.20  | -0.69%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2023-1 CLASS A PASS THROUGH TRUST                               | UNITED AIRLINES 2023-1 CLASS A PASS THROUGH TRUST 5.8% 07/15/2037                                 | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    382126 | PA      | $382498.33    | 0.04%             | 2037-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                              | CANADIAN IMPERIAL BK OF COMM 5.926% 10/02/2026                                                    | CUSIP: 13607LWT6<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   1000000 | PA      | $1018298.00   | 0.11%             | 2026-10-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                | ISRAEL STATE OF 5.75% 03/12/2054                                                                  | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   1000000 | PA      | $886720.00    | 0.09%             | 2054-03-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 4% 07/15/2029                                                                  | CUSIP: 756109CB8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1365957.57   | 0.14%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-5C33                                                          | BBCMS MTG TR 2025-5C33 6.168% 03/15/2058                                                          | CUSIP: 072924AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $414547.72    | 0.04%             | 2058-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 5.125% 02/15/2030                                                          | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    750000 | PA      | $766130.72    | 0.08%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#FS6925                                                                  | CUSIP: 3140XNVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2562114 | PA      | $2091708.47   | 0.22%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | AMERICAN TOWER CORP 5.2% 02/15/2029                                                               | CUSIP: 03027XCG3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    250000 | PA      | $254392.77    | 0.03%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F052664<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -4500000 | PA      | $-4456409.40  | -0.47%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MTR CR CO LLC 7.35% 11/04/2027                                                               | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    700000 | PA      | $720473.05    | 0.08%             | 2027-11-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 5.5% 01/01/2055#FA0445                                                             | CUSIP: 3140W0P74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6722174 | PA      | $6659522.77   | 0.70%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GRUPO TELEVISA SAB DE CV                                                        | GRUPO TELEVISA SAB DE CV 6.125% 01/31/2046                                                        | CUSIP: 40049JBC0<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |    750000 | PA      | $577912.50    | 0.06%             | 2046-01-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL LEASING TRUST 2024-1                                               | GM FINANCIAL LEASING TRUST 2024-1 5.09% 02/22/2028                                                | CUSIP: 36269FAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    270000 | PA      | $271136.67    | 0.03%             | 2028-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | KROGER CO 5.65% 09/15/2064                                                                        | CUSIP: 501044DX6<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    850000 | PA      | $784800.29    | 0.08%             | 2064-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KINROSS GOLD CORP                                                               | KINROSS GOLD CORP 6.25% 07/15/2033                                                                | CUSIP: 496902AT4<br>LEI: 549300UEBMAQDN0K0R06 | Long             | DBT              | CORP              | CA        |    750000 | PA      | $790563.37    | 0.08%             | 2033-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 8.125% 07/15/2039                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $2154581.87   | 0.23%             | 2039-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5% 07/01/2055 #TBA                                                                      | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $967616.90    | 0.10%             | 2055-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOTAL CAPITAL INTL SA                                                           | TOTAL CAP INTL 3.461% 07/12/2049                                                                  | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    750000 | PA      | $512999.48    | 0.05%             | 2049-07-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELEC PWR CO                                                           | WISCONSIN ELEC PWR CO 5% 05/15/2029                                                               | CUSIP: 976656CQ9<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1274944.00   | 0.13%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2054#SD8395                                                                  | CUSIP: 3132DWKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    448313 | PA      | $444801.86    | 0.05%             | 2054-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 5.721%/VAR 06/05/2030                                                    | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $618971.93    | 0.07%             | 2030-06-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2350000 | PA      | $2091713.15   | 0.22%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 11/20/2050#MA6994                                                                      | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3757792 | PA      | $3020418.21   | 0.32%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                              | ROYALTY PHARMA PLC 5.9% 09/02/2054                                                                | CUSIP: 78081BAS2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   1950000 | PA      | $1832003.75   | 0.19%             | 2054-09-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 3.668%/VAR 07/24/2028                                                               | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    650000 | PA      | $635532.27    | 0.07%             | 2028-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C2                                     | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C2 2.832% 08/10/2049                                     | CUSIP: 17291CBR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214594 | PA      | $209506.96    | 0.02%             | 2049-08-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 6.992%/VAR 06/13/2029                                                               | CUSIP: 02005NBT6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1880604.95   | 0.20%             | 2029-06-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FIN INC                                                              | BROOKFIELD FIN INC 4.35% 04/15/2030                                                               | CUSIP: 11271LAE2<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    750000 | PA      | $732091.34    | 0.08%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                      | CITIZENS FINANCIAL GRP INC 5.841%/VAR 01/23/2030                                                  | CUSIP: 174610BF1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    200000 | PA      | $205154.42    | 0.02%             | 2030-01-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES 2024-1 OWNER TR                                          | HONDA AUTO RECEIVABLES 2024-1 OWNER TR 5.17% 05/15/2030                                           | CUSIP: 437918AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    120000 | PA      | $121481.62    | 0.01%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                   | APPLOVIN CORP 5.95% 12/01/2054                                                                    | CUSIP: 03831WAE8<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3154005.10   | 0.33%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 3.059% 04/25/2034                                                  | CUSIP: 3137FMTT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $656188.50    | 0.07%             | 2034-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.375% 05/15/2034                                                                       | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59000000 | PA      | $59165937.50  | 6.24%             | 2034-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FIN INC                                                              | BROOKFIELD FIN INC 6.35% 01/05/2034                                                               | CUSIP: 11271LAK8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |   1300000 | PA      | $1376505.75   | 0.15%             | 2034-01-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.75% 08/31/2026                                                                        | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $14399414.10  | 1.52%             | 2026-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA 5.565% 01/17/2030                                                              | CUSIP: 05964HBJ3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $616737.08    | 0.06%             | 2030-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEERE JOHN CAPITAL CORP                                                         | DEERE JOHN CAPITAL CORP 4.5% 01/16/2029                                                           | CUSIP: 24422EXH7<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1006807.31   | 0.11%             | 2029-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICA MOVIL SAB DE CV                                                         | AMERICA MOVIL SAB DE CV 3.625% 04/22/2029                                                         | CUSIP: 02364WBH7<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |   2000000 | PA      | $1919780.00   | 0.20%             | 2029-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NATWEST GROUP PLC 6.475%/VAR 06/01/2034                                                           | CUSIP: 639057AP3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1950000 | PA      | $2024600.74   | 0.21%             | 2034-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.75% 08/15/2027                                                                        | CUSIP: 91282CLG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33000000 | PA      | $32896875.00  | 3.47%             | 2027-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 3.98%/VAR 03/20/2030                                                                | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2914091.94   | 0.31%             | 2030-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FIN LTD                                                                | WOODSIDE FIN LTD 5.7% 05/19/2032                                                                  | CUSIP: 980236AU7<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   1100000 | PA      | $1098248.91   | 0.12%             | 2032-05-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 2.45% 07/15/2028                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2762973.30   | 0.29%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 3.52%/VAR 10/27/2028                                                                | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1216161.28   | 0.13%             | 2028-10-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LTD                                                       | TRANSCANADA PIPELINES LTD 4.625% 03/01/2034                                                       | CUSIP: 89352HAM1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |   3750000 | PA      | $3530837.89   | 0.37%             | 2034-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-1                                                  | CARMAX AUTO OWNER TRUST 2024-1 4.94% 08/15/2029                                                   | CUSIP: 14318WAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $252250.85    | 0.03%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F022667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  42500000 | PA      | $34635834.00  | 3.65%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA GTD MTG PASS THRU CTF 1.27% 07/25/2030                                                       | CUSIP: 3136BBN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $215153.95    | 0.02%             | 2030-07-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                             | COMMONSPIRIT HEALTH 5.318% 12/01/2034                                                             | CUSIP: 20268JAS2<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1226620.09   | 0.13%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK 3.625%/VAR 09/15/2031                                                       | CUSIP: 891160MJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   3450000 | PA      | $3387498.94   | 0.36%             | 2031-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICA MOVIL SAB DE CV                                                         | AMERICA MOVIL SAB DE CV 6.125% 03/30/2040                                                         | CUSIP: 02364WAW5<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    350000 | PA      | $355288.50    | 0.04%             | 2040-03-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 5.15% 11/15/2046                                                                     | CUSIP: 00206RHA3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    950000 | PA      | $860781.24    | 0.09%             | 2046-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.5% 11/15/2054                                                       | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26000000 | PA      | $24269375.00  | 2.56%             | 2054-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                             | SYNCHRONY FINANCIAL 5.935%/VAR 08/02/2030                                                         | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1013338.58   | 0.11%             | 2030-08-02      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                          | EXTRA SPACE STORAGE LP 3.9% 04/01/2029                                                            | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    350000 | PA      | $339660.14    | 0.04%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                 | BANK 2019-BN21 A5 2.851% 10/17/2052                                                               | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $319318.06    | 0.03%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 6.125% 08/03/2065                                                                     | CUSIP: 68389XDC6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1699123.60   | 0.18%             | 2065-08-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 06/01/2036#SB8107                                                                    | CUSIP: 3132D6AG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2283830 | PA      | $2065236.87   | 0.22%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIBANK CR CARD ISSUANCE TR                                                    | CITIBANK CR CARD ISSUANCE TR 2007-A3 A3 6.15% 06/15/2039                                          | CUSIP: 17305EDT9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $108839.29    | 0.01%             | 2039-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | NUTRIEN LTD 5.4% 06/21/2034                                                                       | CUSIP: 67077MBD9<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    750000 | PA      | $747094.00    | 0.08%             | 2034-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 3.375% 02/15/2030                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    200000 | PA      | $182279.94    | 0.02%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                                                 | BANK 2020-BNK25 2.649% 01/15/2063                                                                 | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $721078.88    | 0.08%             | 2063-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 4.344% 01/09/2048                                                        | CUSIP: 53944YAE3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $383584.57    | 0.04%             | 2048-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.484% 10/23/2045 | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1635942.33   | 0.17%             | 2045-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                             | GILEAD SCIENCES INC 5.55% 10/15/2053                                                              | CUSIP: 375558CA9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    450000 | PA      | $431496.42    | 0.05%             | 2053-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 06/01/2055 #TBA                                                                        | CUSIP: 21H040665<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16050000 | PA      | $14709609.93  | 1.55%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                           | ENTERGY LA LLC 3.1% 06/15/2041                                                                    | CUSIP: 29364WBJ6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    750000 | PA      | $533615.32    | 0.06%             | 2041-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 2.048% 07/17/2030                                                      | CUSIP: 606822BU7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1250000 | PA      | $1096850.15   | 0.12%             | 2030-07-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                            | LAS VEGAS SANDS CORP 5.625% 06/15/2028                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1002262.84   | 0.11%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS7                                                         | GS MTG SECS TR 2017-GS7 A4 3.43% 08/10/2050                                                       | CUSIP: 36254CAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $259868.87    | 0.03%             | 2050-08-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 7% 01/15/2027                                                                   | CUSIP: 04010LBE2<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1287834.24   | 0.14%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                      | PACIFICORP 7.375%/VAR 09/15/2055                                                                  | CUSIP: 695114DF2<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    650000 | PA      | $661329.13    | 0.07%             | 2055-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017-C39                                                | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C39 3.418% 09/15/2050                                  | CUSIP: 95000XAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $241172.45    | 0.03%             | 2050-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GSA2                                                        | GS MTG SECS TR 2020-GSA2 2.012% 12/12/2053                                                        | CUSIP: 36264KAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $341923.40    | 0.04%             | 2053-12-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK22                                                                 | BANK 2019-BNK22 2.978% 11/15/2062                                                                 | CUSIP: 06540XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $147287.26    | 0.02%             | 2062-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 11/20/2054#MB0026                                                                    | CUSIP: 3618N5A41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2811821 | PA      | $2794086.20   | 0.29%             | 2054-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 5.088%/VAR 06/20/2030                                                                | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1750000 | PA      | $1743252.89   | 0.18%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 6.183%/VAR 01/30/2036                                                  | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $248138.27    | 0.03%             | 2036-01-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                    | ING GROEP NV 5.335%/VAR 03/19/2030                                                                | CUSIP: 456837BL6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   2250000 | PA      | $2293424.87   | 0.24%             | 2030-03-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 3% 06/01/2040 #TBA                                                                      | CUSIP: 01F030462<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3500000 | PA      | $3298885.10   | 0.35%             | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MTG TR                                                              | CD 2017-CD5 MTG TR A4 3.431% 08/15/2050                                                           | CUSIP: 12515HAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $387972.12    | 0.04%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 5.414% 05/10/2029                                                  | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   3450000 | PA      | $3551120.26   | 0.37%             | 2029-05-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                    | COCA COLA CO 2.5% 06/01/2040                                                                      | CUSIP: 191216CW8<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    300000 | PA      | $212631.63    | 0.02%             | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TR 2025-A                                             | CARMAX SELECT RECEIVABLES TR 2025-A 4.77% 09/17/2029                                              | CUSIP: 14319UAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    225000 | PA      | $225910.24    | 0.02%             | 2029-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN                       | TARGA RES P LP/TARGA RES P FIN 4% 01/15/2032                                                      | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1280184.47   | 0.13%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LTD                                                       | TRANSCANADA PIPELINES LTD 7.625% 01/15/2039                                                       | CUSIP: 8935268Z9<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    750000 | PA      | $857845.61    | 0.09%             | 2039-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 12/01/2054#SD8495                                                                    | CUSIP: 3132DWNL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    922518 | PA      | $931899.77    | 0.10%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GLAXOSMITHKLINE CAPITAL INC                                                     | GLAXOSMITHKLINE CAPITAL INC 6.375% 05/15/2038                                                     | CUSIP: 377372AE7<br>LEI: 5493007Q8VD7Q3ZYZS59 | Long             | DBT              | CORP              | US        |   4250000 | PA      | $4630752.40   | 0.49%             | 2038-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2053#                                                                        | CUSIP: 31418EMR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    763866 | PA      | $722946.43    | 0.08%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                | WELLTOWER OP LLC 2.05% 01/15/2029                                                                 | CUSIP: 95040QAN4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    750000 | PA      | $688651.55    | 0.07%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 01/20/2050#MA6408                                                                    | CUSIP: 36179VDM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487311 | PA      | $409199.97    | 0.04%             | 2050-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 0.743% 11/25/2029                                                  | CUSIP: 3137FVYT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92459 | PA      | $85124.27     | 0.01%             | 2029-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 5.7%/VAR 02/01/2030                                                    | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1745284.18   | 0.18%             | 2030-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                 | FOX CORP 4.709% 01/25/2029                                                                        | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1202853.60   | 0.13%             | 2029-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.702%/VAR 05/06/2030                                                       | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1448038.47   | 0.15%             | 2030-05-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NATWEST GROUP PLC 5.115%/VAR 05/23/2031                                                           | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $1003886.10   | 0.11%             | 2031-05-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.23%/VAR 01/15/2031                                                               | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    750000 | PA      | $761080.15    | 0.08%             | 2031-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 5.741%/VAR 03/20/2031                                                     | CUSIP: 80282KBQ8<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202076.09    | 0.02%             | 2031-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2051#FS3235                                                                    | CUSIP: 3140XJSZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2103672 | PA      | $1796054.94   | 0.19%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2019 C-17                                         | UBS COMMERCIAL MORTGAGE TRUST 2019 C-17 2.921% 10/15/2052                                         | CUSIP: 90278MBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $138535.68    | 0.01%             | 2052-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                  | AMERICAN ELECTRIC POWER INC 3.875%/VAR 02/15/2062                                                 | CUSIP: 025537AU5<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3341335.55   | 0.35%             | 2062-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST                                                   | SYNCHRONY CARD ISSUANCE TRUST 4.93% 07/15/2030                                                    | CUSIP: 87166PAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    350000 | PA      | $354267.48    | 0.04%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                            | LAS VEGAS SANDS CORP 3.5% 08/18/2026                                                              | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1222661.00   | 0.13%             | 2026-08-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2053#MA5164                                                                    | CUSIP: 31418EW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357396 | PA      | $346492.49    | 0.04%             | 2053-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.54%/VAR 05/01/2028                                                        | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1227123.95   | 0.13%             | 2028-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C31                                | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C31 A5 3.102% 10/15/2026                             | CUSIP: 61766RAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $436070.66    | 0.05%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 3.574%/VAR 11/07/2028                                                    | CUSIP: 539439AQ2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   3750000 | PA      | $3649562.70   | 0.38%             | 2028-11-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                  | US BANCORP DEL 5.083%/VAR 05/15/2031                                                              | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1260238.53   | 0.13%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                                                        | FLEX LTD 4.875% 06/15/2029                                                                        | CUSIP: 33938XAA3<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    950000 | PA      | $946312.16    | 0.10%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 6.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    750000 | PA      | $770155.88    | 0.08%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 4.15% 04/01/2045                                                   | CUSIP: 12189LAW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $449946.39    | 0.05%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                    | Fidelity Cash Central Fund                                                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        | 198140910 | NS      | $198180538.29 | 20.89%            |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2053#SD8340                                                                  | CUSIP: 3132DWHR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    714698 | PA      | $675518.73    | 0.07%             | 2053-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.625% 05/31/2031                                                                       | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27000000 | PA      | $27768867.12  | 2.93%             | 2031-05-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOTAL CAPITAL INTL SA                                                           | TOTAL CAP INTL 2.986% 06/29/2041                                                                  | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   1750000 | PA      | $1252829.59   | 0.13%             | 2041-06-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 3.875% 09/16/2046                                                                | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $895239.36    | 0.09%             | 2046-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V6 MTG TR                                                        | BENCHMARK 2024-V6 MTG TR 6.38427% 03/15/2057                                                      | CUSIP: 081927AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $435862.64    | 0.05%             | 2057-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 2.7% 08/20/2027                                                          | CUSIP: 37045XDA1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $951534.44    | 0.10%             | 2027-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IBM CORPORATION                                                                 | IBM CORPORATION 2.85% 05/15/2040                                                                  | CUSIP: 459200KK6<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    500000 | PA      | $359315.14    | 0.04%             | 2040-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MTR CR CO LLC 5.303% 09/06/2029                                                              | CUSIP: 345397G23<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $483733.08    | 0.05%             | 2029-09-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 7.75% 05/14/2038                                                      | CUSIP: 59023VAA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    650000 | PA      | $761023.56    | 0.08%             | 2038-05-14      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DELTA AIRLINES INC                                                              | DELTA AIRLINES INC 2% 12/10/2029                                                                  | CUSIP: 247361ZV3<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |   1096391 | PA      | $1023951.40   | 0.11%             | 2029-12-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029                                                  | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1881794.70   | 0.20%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-H1                                          | MORGAN STANLEY CAPITAL I TRUST 2017-H1 3.53% 06/15/2050                                           | CUSIP: 61691JAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $438683.94    | 0.05%             | 2050-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 06/01/2055 #TBA                                                                        | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6500000 | PA      | $6563133.20   | 0.69%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2053#                                                                        | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    882071 | PA      | $834818.99    | 0.09%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                   | FORD MOTOR CO 4.346% 12/08/2026                                                                   | CUSIP: 345370CR9<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1232350.43   | 0.13%             | 2026-12-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                   | SOUTHERN CALIFORNIA EDISON CO 5.85% 11/01/2027                                                    | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    750000 | PA      | $767108.39    | 0.08%             | 2027-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 5.59%/VAR 11/26/2035                                                     | CUSIP: 539439BA6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    750000 | PA      | $749704.60    | 0.08%             | 2035-11-26      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                          | ROPER TECHNOLOGIES INC 2.95% 09/15/2029                                                           | CUSIP: 776743AG1<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $935471.78    | 0.10%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 1.3% 08/21/2027                                                                   | CUSIP: 126650DM9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    450000 | PA      | $418413.12    | 0.04%             | 2027-08-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                   | APPLOVIN CORP 5.125% 12/01/2029                                                                   | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    850000 | PA      | $855644.96    | 0.09%             | 2029-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TR 2023-2                                        | MERCEDES-BENZ AUTO RECEIVABLES TR 2023-2 6.01% 01/15/2031                                         | CUSIP: 58769FAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $828900.88    | 0.09%             | 2031-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2052#MA4784                                                                  | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493714 | PA      | $467420.78    | 0.05%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                          | COMMONWEALTH EDISON CO 2.2% 03/01/2030                                                            | CUSIP: 202795JR2<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1352924.78   | 0.14%             | 2030-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                  | US BANCORP DEL 4.967%/VAR 07/22/2033                                                              | CUSIP: 91159HJG6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    350000 | PA      | $340464.80    | 0.04%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JOHNSON CONTROLS INTERNATIONAL PLC                                              | JOHNSON CTLS INTL PLC STEP 07/02/2044                                                             | CUSIP: 478375AL2<br>LEI: 549300XQ6S1GYKGBL205 | Long             | DBT              | CORP              | IE        |    100000 | PA      | $83565.41     | 0.01%             | 2044-07-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | TRUIST FINANCIAL CORP 7.161%/VAR 10/30/2029                                                       | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1211106.93   | 0.13%             | 2029-10-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2018-C9                                                         | UBS COML MTG TR 2018-C9 A4 4.117% 03/15/2051                                                      | CUSIP: 90291JAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97681.77     | 0.01%             | 2051-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IBM CORPORATION                                                                 | IBM CORPORATION 1.7% 05/15/2027                                                                   | CUSIP: 459200KH3<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1189219.71   | 0.13%             | 2027-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V10 COML MTG TR                                                  | BENCHMARK 2024-V10 COML MTG TR 5.7253% 10/15/2029                                                 | CUSIP: 08163UAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $147286.65    | 0.02%             | 2057-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 10/01/2036#                                                                          | CUSIP: 3132D6AY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1292238 | PA      | $1167746.35   | 0.12%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 11/20/2050#MA6995                                                                    | CUSIP: 36179VXY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5413684 | PA      | $4542544.52   | 0.48%             | 2050-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 6.82% 11/17/2033                                                             | CUSIP: 961214FP3<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   3075000 | PA      | $3346729.48   | 0.35%             | 2033-11-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/37 #FS9492                                                                   | CUSIP: 3140XRRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463080 | PA      | $428709.98    | 0.05%             | 2037-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-2                               | GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-2 4.43% 10/16/2028                                | CUSIP: 362583AE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $399797.20    | 0.04%             | 2028-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMW VECHILE OWNER TRUST 2023-A                                                  | BMW VECHILE OWNER TRUST 2023-A 5.25% 11/26/2029                                                   | CUSIP: 05592XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79000 | PA      | $79920.20     | 0.01%             | 2029-11-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 3.973%/VAR 05/22/2030                                                           | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3250000 | PA      | $3133895.77   | 0.33%             | 2030-05-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 4.75% 04/27/2032                                                     | CUSIP: 91087BAK6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2500000 | PA      | $2335000.00   | 0.25%             | 2032-04-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2023-A                                           | HYUNDAI AUTO RECEIVABLES TRUST 2023-A 4.48% 07/17/2028                                            | CUSIP: 448979AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    108000 | PA      | $108073.60    | 0.01%             | 2028-07-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA VAR 03/25/2031                                                     | CUSIP: 3136BF4D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $169067.04    | 0.02%             | 2031-03-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| TR FINANCE LLC                                                                  | TR FINANCE LLC 3.35% 05/15/2026                                                                   | CUSIP: 87268LAA5<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |    250000 | PA      | $246793.60    | 0.03%             | 2026-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROCTER and GAMBLE CO                                                           | PROCTER and GAMBLE CO 4.55% 10/24/2034                                                            | CUSIP: 742718GL7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    250000 | PA      | $246832.68    | 0.03%             | 2034-10-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WRKCO INC                                                                       | WRKCO INC 4% 03/15/2028                                                                           | CUSIP: 96145DAH8<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $982246.20    | 0.10%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 08/20/2050#MA6818                                                                      | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2594219 | PA      | $2086788.60   | 0.22%             | 2050-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2054#SD8429                                                                  | CUSIP: 3132DWLJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1129661 | PA      | $1066321.98   | 0.11%             | 2054-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.05% 03/30/2029  | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $200917.36    | 0.02%             | 2029-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                          | SEMPRA 4.125%/VAR 04/01/2052                                                                      | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    500000 | PA      | $471993.95    | 0.05%             | 2052-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2050#FM4862                                                                  | CUSIP: 3140X8ML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    691777 | PA      | $564766.64    | 0.06%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PSNH FUNDING LLC 3                                                              | PSNH FUNDING LLC 3 2018-1 A3 3.81% 02/01/2035                                                     | CUSIP: 69363PAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $484220.50    | 0.05%             | 2035-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 07/01/2053#SD8342                                                                  | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600003 | PA      | $595490.58    | 0.06%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 6% 05/07/2036                                                        | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2000000 | PA      | $1915000.00   | 0.20%             | 2036-05-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                  | US BANCORP DEL 2.491%/VAR 11/03/2036                                                              | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    400000 | PA      | $332976.63    | 0.04%             | 2036-11-03      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES                                                                 | FANNIE MAE-ACES VAR 11/25/2030                                                                    | CUSIP: 3136BDUC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $127945.52    | 0.01%             | 2030-11-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                     | CENCORA INC 4.85% 12/15/2029                                                                      | CUSIP: 03073EAW5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1007694.42   | 0.11%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NISOURCE INC 6.95%/VAR 11/30/2054                                                                 | CUSIP: 65473PAR6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    625000 | PA      | $639519.38    | 0.07%             | 2054-11-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/20/2050#MA7052                                                                    | CUSIP: 36179VZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250697 | PA      | $210356.13    | 0.02%             | 2050-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                             | GILEAD SCIENCES INC 5.25% 10/15/2033                                                              | CUSIP: 375558BZ5<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2036494.12   | 0.21%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 3.2% 05/11/2027                                                                         | CUSIP: 037833CR9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    250000 | PA      | $245845.33    | 0.03%             | 2027-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V9 MORTGAGE TRUST                                                | BENCHMARK MORTGAGE TRUST 2024-V9 AS 6.06412% 08/15/2057                                           | CUSIP: 081919AS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $667387.57    | 0.07%             | 2057-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | BRISTOL-MYERS SQUIBB CO 4.9% 02/22/2029                                                           | CUSIP: 110122EF1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    250000 | PA      | $254673.28    | 0.03%             | 2029-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN CORP                                                     | BERKSHIRE HATHAWAY FIN CORP 3.85% 03/15/2052                                                      | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $1649025.05   | 0.17%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5% 06/01/2055 #TBA                                                                      | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14000000 | PA      | $13555386.60  | 1.43%             | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES 2023-A OWNER TRUST                                      | NISSAN AUTO RECEIVABLES 2023-A A4 OWNER TRUST 4.85% 06/17/2030                                    | CUSIP: 65480WAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $502663.70    | 0.05%             | 2030-06-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 07/01/2054#RJ1974                                                                    | CUSIP: 3142GSFQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378166 | PA      | $382751.04    | 0.04%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                              | ROYALTY PHARMA PLC 5.4% 09/02/2034                                                                | CUSIP: 78081BAR4<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $497921.10    | 0.05%             | 2034-09-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                      | PACIFICORP 4.15% 02/15/2050                                                                       | CUSIP: 695114CV8<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $1771154.14   | 0.19%             | 2050-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MTR CR CO LLC 3.815% 11/02/2027                                                              | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3950000 | PA      | $3770523.93   | 0.40%             | 2027-11-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 7.119%/VAR 06/27/2034                                                                | CUSIP: 06738ECH6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   4675000 | PA      | $5037323.35   | 0.53%             | 2034-06-27      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                        | DUKE ENERGY PROGRESS LLC 6.3% 04/01/2038                                                          | CUSIP: 144141CY2<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    500000 | PA      | $532170.77    | 0.06%             | 2038-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                      | PACIFICORP 6% 01/15/2039                                                                          | CUSIP: 695114CL0<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2015189.32   | 0.21%             | 2039-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 03/01/2036#MA4279                                                                    | CUSIP: 31418DXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566703 | PA      | $513170.19    | 0.05%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 6% 11/20/2052#MA8430                                                                      | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262809 | PA      | $266650.34    | 0.03%             | 2052-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FIN INC                                                              | BROOKFIELD FIN INC 4.85% 03/29/2029                                                               | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $200307.16    | 0.02%             | 2029-03-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 07/01/2055 #TBA                                                                        | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1832738.80   | 0.19%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 4.625% 12/15/2029                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    500000 | PA      | $481500.50    | 0.05%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINANCE BV                                                  | EMBRAER NETHERLANDS FINANCE BV 5.98% 02/11/2035                                                   | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |   1350000 | PA      | $1360206.00   | 0.14%             | 2035-02-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2023-B                                           | HYUNDAI AUTO RECEIVABLES TRUST 2023-B 5.31% 08/15/2029                                            | CUSIP: 44933XAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75000 | PA      | $76137.26     | 0.01%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK20                                                                 | BANK 2019-BNK20 3.011% 09/15/2062                                                                 | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $321338.40    | 0.03%             | 2062-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 07/01/2055 #TBA                                                                    | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4700000 | PA      | $4168126.38   | 0.44%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 07/01/2054#MA5419                                                                    | CUSIP: 31418FAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    801125 | PA      | $775932.60    | 0.08%             | 2054-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK42                                                                 | BANK 2022-BNK42 A5 CSTR 06/15/2055                                                                | CUSIP: 06541MBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $219650.85    | 0.02%             | 2055-06-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NATWEST GROUP PLC 4.445%/VAR 05/08/2030                                                           | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   4000000 | PA      | $3933390.20   | 0.41%             | 2030-05-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 4.55% 08/16/2028                                                         | CUSIP: 539439AT6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1250000 | PA      | $1244345.89   | 0.13%             | 2028-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                    | ALPHABET INC 1.9% 08/15/2040                                                                      | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1146236.12   | 0.12%             | 2040-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                           | MICRON TECHNOLOGY INC 4.663% 02/15/2030                                                           | CUSIP: 595112BQ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $986633.48    | 0.10%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2053#MA5190                                                                  | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4409315 | PA      | $4374779.05   | 0.46%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                | LPL HOLDINGS INC 4.9% 04/03/2028                                                                  | CUSIP: 50212YAN4<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1001358.52   | 0.11%             | 2028-04-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                               | BERKSHIRE HATHAWAY ENERGY COMPANY 6.125% 04/01/2036                                               | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1050789.57   | 0.11%             | 2036-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TR 2022-3                                                 | ALLY AUTO RECEIVABLES TR 2022-3 5.07% 10/16/2028                                                  | CUSIP: 02008DAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    221000 | PA      | $221983.32    | 0.02%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/36#MA4384                                                                       | CUSIP: 31418D2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2031760 | PA      | $1880961.95   | 0.20%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.875% 05/15/2043                                                     | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19850000 | PA      | $14991402.44  | 1.58%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2054#                                                                          | CUSIP: 31418EZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1838466 | PA      | $1783526.53   | 0.19%             | 2054-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE 5.625% 07/15/2037                                                                      | CUSIP: 31398AFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   1250000 | PA      | $1350034.00   | 0.14%             | 2037-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MTR CR CO LLC 5.113% 05/03/2029                                                              | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    750000 | PA      | $720891.93    | 0.08%             | 2029-05-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 07/01/2055 #TBA                                                                      | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8250000 | PA      | $6416307.98   | 0.68%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                      | TENNESSEE VALLEY AUTHORITY 5.25% 02/01/2055                                                       | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |   2500000 | PA      | $2369804.40   | 0.25%             | 2055-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 4.322%/VAR 11/23/2031                                                        | CUSIP: 961214DF7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    800000 | PA      | $791769.66    | 0.08%             | 2031-11-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                                            | KYNDRYL HOLDINGS INC 6.35% 02/20/2034                                                             | CUSIP: 50155QAN0<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1941284.72   | 0.20%             | 2034-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                      | PACIFICORP 4.1% 02/01/2042                                                                        | CUSIP: 695114CN6<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $780493.31    | 0.08%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIAGEO INVT CORP                                                                | DIAGEO INVT CORP 4.25% 05/11/2042                                                                 | CUSIP: 25245BAA5<br>LEI: S4G8DPIPDVCF6CB81Z61 | Long             | DBT              | CORP              | US        |    500000 | PA      | $414256.63    | 0.04%             | 2042-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2017-C5                                                  | JPMDB 2017-C5 A5 3.6939% 03/50                                                                    | CUSIP: 46590TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $339247.69    | 0.04%             | 2050-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2037#FS6376                                                                  | CUSIP: 3140XNCN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4107420 | PA      | $3805131.50   | 0.40%             | 2037-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                        | EQT CORP STEP 02/01/2030                                                                          | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1338057.16   | 0.14%             | 2030-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7700000 | PA      | $6830137.16   | 0.72%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.95%/VAR 03/10/2055                           | CUSIP: 00774MBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    950000 | PA      | $974421.25    | 0.10%             | 2055-03-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 12/20/2050#MA7051                                                                      | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1315095 | PA      | $1057039.70   | 0.11%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO 5.016%/VAR 04/25/2031                                                         | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1054000 | PA      | $1065958.80   | 0.11%             | 2031-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 3.4% 02/04/2041                                                                  | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $1844624.36   | 0.19%             | 2041-02-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP                                                                  | WHIRLPOOL CORP 4.75% 02/26/2029                                                                   | CUSIP: 963320AW6<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |    750000 | PA      | $727268.51    | 0.08%             | 2029-02-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JOHNSON and JOHNSON                                                             | JOHNSON and JOHNSON 4.8% 06/01/2029                                                               | CUSIP: 478160CU6<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    250000 | PA      | $255898.37    | 0.03%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 04/01/2033   | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $691804.90    | 0.07%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SARL / JBS USA FOOD CO / JBS USA FOODS GROUP                        | JBS USA LUX SARL / JBS USA FOOD CO / JBS USA FOODS GROUP 6.375% 02/25/2055 144A                   | CUSIP: 472140AC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $497050.00    | 0.05%             | 2055-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                             | HUNGARY REPUBLIC OF 5.5% 03/26/2036 144A                                                          | CUSIP: 445545AU0<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |    400000 | PA      | $378160.00    | 0.04%             | 2036-03-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | TRUIST FINANCIAL CORP 5.435%/VAR 01/24/2030                                                       | CUSIP: 89788MAR3<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204495.93    | 0.02%             | 2030-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | NETFLIX INC 5.4% 08/15/2054                                                                       | CUSIP: 64110LBA3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    700000 | PA      | $673645.21    | 0.07%             | 2054-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                    | GLP CAP LP / GLP FING II INC 5.375% 04/15/2026                                                    | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2743945.90   | 0.29%             | 2026-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 3.375% 04/15/2029                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $953680.40    | 0.10%             | 2029-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 4% 06/01/2055 #TBA                                                                      | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  25000000 | PA      | $22921862.50  | 2.42%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                                  | SHELL INTL FIN B V 6.375% 12/15/2038                                                              | CUSIP: 822582AD4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    750000 | PA      | $813885.40    | 0.09%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUPONT (EI) DE NEMOURS and CO                                                   | DUPONT (EI) DE NEMOURS and CO 5.125% 05/15/2032                                                   | CUSIP: 263534CS6<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1513939.14   | 0.16%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                    | DISCOVERY COMMUNICATIONS LLC 3.625% 05/15/2030                                                    | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $928572.47    | 0.10%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RENAISSANCERE HOLDINGS LTD                                                      | RENAISSANCERE HOLDINGS LTD 5.8% 04/01/2035                                                        | CUSIP: 75968NAG6<br>LEI: EK6GB9U3U58PDI411C94 | Long             | DBT              | CORP              | BM        |    350000 | PA      | $352631.48    | 0.04%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                    | COCA COLA CO 1.65% 06/01/2030                                                                     | CUSIP: 191216CV0<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    250000 | PA      | $220136.97    | 0.02%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 09/20/2050#MA6864                                                                      | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7127914 | PA      | $5733692.18   | 0.60%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2037#FS6377                                                                  | CUSIP: 3140XNCP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821379 | PA      | $760928.97    | 0.08%             | 2037-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 3.39% 02/25/2032                                                   | CUSIP: 3137H8BH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476649 | PA      | $457597.57    | 0.05%             | 2032-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                      | FIDELITY NATL INFORMN SVCS INC 1.65% 03/01/2028                                                   | CUSIP: 31620MBS4<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $926887.09    | 0.10%             | 2028-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WORLD FINL NETWORK CC MASTR TR                                                  | WORLD FINL NETWORK CC MASTR TR 4.62% 05/15/2031                                                   | CUSIP: 981464HU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    630000 | PA      | $632567.06    | 0.07%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 5.375% 05/30/2030 144A                                                | CUSIP: 05401AAZ4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     75000 | PA      | $75013.50     | 0.01%             | 2030-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES 2023-1 OWNER TRUST                                       | HONDA AUTO RECEIVABLES 2023-1 A4 OWNER TRUST 4.97% 06/21/2029                                     | CUSIP: 43815JAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100505.56    | 0.01%             | 2029-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP NEW                                                         | PILGRIMS PRIDE CORP NEW 6.25% 07/01/2033                                                          | CUSIP: 72147KAK4<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518247.50    | 0.05%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 04/20/2051#MA7313                                                                      | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    720446 | PA      | $628878.97    | 0.07%             | 2051-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                                | AMERICAN INTERNATIONAL GRP INC 4.85% 05/07/2030                                                   | CUSIP: 026874DW4<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1003840.41   | 0.11%             | 2030-05-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2053#SD8360                                                                  | CUSIP: 3132DWJD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438995 | PA      | $414654.98    | 0.04%             | 2053-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                         | MERCEDES-BENZ FINANCE NORTH AMERICA LLC 8.5% 01/18/2031                                           | CUSIP: 233835AQ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1206400.31   | 0.13%             | 2031-01-18      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                                         | ASTRAZENECA FINANCE LLC 1.75% 05/28/2028                                                          | CUSIP: 04636NAE3<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $956030.11    | 0.10%             | 2028-05-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST                                        | CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST 2.5608% 03/15/2053                                       | CUSIP: 12597NAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $222498.98    | 0.02%             | 2053-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO TRUST 2024-C                                                    | WORLD OMNI AUTO TRUST 2024-C 4.44% 05/15/2030                                                     | CUSIP: 98164NAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    130000 | PA      | $129919.48    | 0.01%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC 5.316% 07/09/2029                                                    | CUSIP: 86562MDM9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2000000 | PA      | $2049872.34   | 0.22%             | 2029-07-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 06/01/2055 #TBA                                                                        | CUSIP: 21H020667<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4950000 | PA      | $3976961.67   | 0.42%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.13%/VAR 03/03/2031                                                            | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    750000 | PA      | $751906.40    | 0.08%             | 2031-03-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                              | PANAMA REPUBLIC OF 6.4% 02/14/2035                                                                | CUSIP: 698299BT0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   1300000 | PA      | $1226225.00   | 0.13%             | 2035-02-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 5.353%/VAR 09/06/2030                                                     | CUSIP: 80282KBM7<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1256700.81   | 0.13%             | 2030-09-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 3.25%/VAR 01/15/2082                                                         | CUSIP: 26441CBP9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $2951463.81   | 0.31%             | 2082-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 4.999%/VAR 09/11/2030                                              | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    750000 | PA      | $746700.42    | 0.08%             | 2030-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 10/20/2050#MA6931                                                                    | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623927 | PA      | $523528.41    | 0.06%             | 2050-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.95% 02/15/2030                                                               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1984286.18   | 0.21%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                                      | VMWARE INC 1.8% 08/15/2028                                                                        | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    750000 | PA      | $686358.20    | 0.07%             | 2028-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 08/01/2036#MA4403                                                                    | CUSIP: 31418D3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1885956 | PA      | $1704855.84   | 0.18%             | 2036-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLAN MAST OWN TR                                                   | FORD CR FLOORPLAN MAST OWN TR 4.06% 11/15/2030                                                    | CUSIP: 34528PAK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    525000 | PA      | $518112.16    | 0.05%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.643%/VAR 05/07/2028                                                               | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $998459.15    | 0.11%             | 2028-05-07      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2023-2                                                     | CARMAX AUTO OWNER TR 2023-2 5.01% 11/15/2028                                                      | CUSIP: 142921AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    222000 | PA      | $223300.48    | 0.02%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2024-C                                             | FORD CREDIT AUTO OWNER TRUST 2024-C 4.11% 07/15/2030                                              | CUSIP: 34532UAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $396487.60    | 0.04%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9500000 | PA      | $9407975.40   | 0.99%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                 | SANTANDER UK GROUP HOLDINGS PLC 5.694%/VAR 04/15/2031                                             | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    475000 | PA      | $485802.23    | 0.05%             | 2031-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                        | WARNERMEDIA HOLDINGS INC 4.054% 03/15/2029                                                        | CUSIP: 55903VBB8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $931202.74    | 0.10%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                                        | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                                     | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96476.43     | 0.01%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2018-COR3 MORTGAGE TRUST                                                   | COMM 2018-COR3 MORTGAGE TRUST 4.228% 05/10/2051                                                   | CUSIP: 12595VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $194311.28    | 0.02%             | 2051-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer